Logarithmic derivatives of diffusion measures in a Hilbert space

DOI10.1007/BF02515401MaRDI QIDQ2730507zbMATH OpenFDO

Authors V. G. Bondarenko

Publication date 8 August 2001

Published in Ukraïns'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02515401

zbMATH Keywords

diffusionlogarithmic derivative

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

If \(\mu\) is a measure on a Riemannian manifold, its logarithmic derivative (if it exists) is a vector field \(\Lambda\) defined by the formula NEWLINE\[NEWLINE \int_X(\Lambda (y),V(y)) d\mu (y)=-\int_X\operatorname{div}V(y) d\mu (y) NEWLINE\]NEWLINE that is valid for all vector fields \(V\), for which the right-hand side is defined. The author considers the logarithmic derivative \(\Lambda\) of the transition probability of a diffusion process on an infinite-dimensional Hilbert space. A sequence of vector fields on certain \(n\)-dimensional Riemannian manifolds converging to \(\Lambda\), as \(n\to \infty\), is constructed.

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