On drift, diffusion and geometry

DOI10.1016/J.GEOMPHYS.2005.06.012MaRDI QIDQ2496834zbMATH OpenOpenAlexFDO

Authors Michel De Lara

Publication date 20 July 2006

Published in Journal of Geometry and Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.geomphys.2005.06.012

zbMATH Keywords

connectiondifferential geometric structuresRiemannian metric

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Second-order parabolic equations (35K10) Connections (general theory) (53C05) Methods of global Riemannian geometry, including PDE methods; curvature restrictions (53C21) Relations of PDEs with special manifold structures (Riemannian, Finsler, etc.) (58J60) Diffusion processes (60J60) Interacting particle systems in time-dependent statistical mechanics (82C22)

Review text

The author reports on relations between drift, diffusion and geometry. Different sources of ``diffusion models in physics and mathematics are examined. Diffusion processes may arise from original models either deterministic, or random but where dynamics (``drift) and noise (``diffusion) are clearly delineated. At the end, the author presents a diffusion process, where noise and dynamics are generally intimately entangled in a second-order partial differential operator. The importance of recurrent differential geometric structures -- connections and Riemannian metrics -- needed to properly define a ``diffusion term and also to separate drift from diffusion is stressed. In particular, the following questions are considered: Are there implicit geometric structures to properly define a diffusion? How are drift / dynamics and diffusion mixed? Are there geometric structures needed to separate drift and diffusion?

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Cited in

(2)

• Intertwinned diffusions by examples
• Brownian motion on a pseudo sphere in Minkowski space \(\mathbb {R}^l_v\)

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