Itô maps and analysis on path spaces

DOI10.1007/S00209-007-0145-0MaRDI QIDQ2384754zbMATH OpenOpenAlexFDO

Authors Xue-Mei Li, K. D. Elworthy

Publication date 10 October 2007

Published in Mathematische Zeitschrift (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0605089

zbMATH Keywords

Malliavin calculusSobolev spacesBanach manifoldPath spaceMarkov uniquenessMarkovian connectionDivergence operatorWeak derivativesItô map

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: We consider versions of Malliavin calculus on path spaces of compact manifolds with diffusion measures, defining Gross-Sobolev spaces of differentiable functions and proving their intertwining with solution maps, I, of certain stochastic differential equations. This is shown to shed light on fundamental uniqueness questions for this calculus including uniqueness of the closed derivative operator $d$ and Markov uniqueness of the associated Dirichlet form. A continuity result for the divergence operator by Kree and Kree is extended to this situation. The regularity of conditional expectations of smooth functionals of classical Wiener space, given I, is considered and shown to have strong implications for these questions. A major role is played by the (possibly sub-Riemannian) connections induced by stochastic differential equations: Damped Markovian connections are used for the covariant derivatives.

Recommendations

• Gross-Sobolev spaces on path manifolds: uniqueness and intertwining by Itô maps.
• Intertwining and the Markov uniqueness problem on path spaces
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• Renormalized differential geometry on path space: Structural equation, curvature

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Cited in

(9)

• A Poincaré inequality on loop spaces
• Intertwining and the Markov uniqueness problem on path spaces
• Gross-Sobolev spaces on path manifolds: uniqueness and intertwining by Itô maps.
• A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric
• Asymptotics of spectral gaps on loop spaces over a class of Riemannian manifolds
• The vanishing of \(L^2\) harmonic one-forms on based path spaces
• An \(L^{2}\) theory for differential forms on path spaces. I
• Differential structure and flow equations on rough path space
• Poincaré inequality on the path space of Poisson point processes

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