The differentiation of hypoelliptic diffusion semigroups

MaRDI QIDQ1928879zbMATH OpenFDO

Publication date 4 January 2013

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.2174, https://projecteuclid.org/euclid.ijm/1348505529

derivative formula hypo-elliptic diffusion semigroup integration-by-parts formula Malliavin calculus

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. Emphasis is placed on developing integration by parts formulas at the level of local martingales. Combined with the optional sampling theorem, this turns out to be an efficient way of dealing with boundary conditions, as well as with finite lifetime of the underlying diffusion. Our formulas require hypoellipticity of the diffusion in the sense of Malliavin calculus (integrability of the inverse Malliavin covariance) and are formulated in terms of the derivative flow, the Malliavin covariance and its inverse. Finally some extensions to the nonlinear setting of harmonic mappings are discussed.

Review text

This paper treats the differentiation of diffusion semigroups, and the authors actually derive basic formulas for the derivative of hypoelliptic heat semigroups by resorting to integration-by-parts formulas at the level of local martingales. More precisely, let \(M\) be a smooth \(n\)-dimensional manifold and consider on it the Stratonovich stochastic differential equation (SDE) \[ \delta X = A(X) \delta Z + A_0(X) dt, \tag{1} \] with \(A_0 \in \Gamma(TM)\), \(A \in \Gamma( {\mathbb R}^r \otimes TM)\) and an \({\mathbb R}^r\)-valued Brownian motion \(Z\), where \(\Gamma(TM)\) (resp., \(\Gamma( {\mathbb R}^r \otimes TM)\)) denotes the smooth sections of the tangent bundle \(TM\) over \(M\) (resp., the vector bundle \({\mathbb R}^r \otimes TM\)). Solutions \(X\) to (1) are diffusions with generator of Hörmander form \[ L = A_0 + \frac{1}{2} \sum_{i=1}^r A_i^2, \] where \(A_i \equiv A(\cdot) e_i \in \Gamma (TM)\) and \(e_i\) is the \(i\)-th standard unit vector in \({\mathbb R}^r\). There is a partial flow \(X_t(\cdot)\), \(\zeta(\cdot)\) to (1) such that, for each \(x \in M\), the process \(X_t(x)\), \(0 \leqslant t < \zeta(x)\), is the maximal strong solution to (1) with starting point \(X_0(x)=x\) and explosion time \(\zeta(x)\). We adopt the notation: \(X_t(x,\omega)=X_t(x)(\omega)\), \(\zeta(x, \omega)=\zeta(x)(\omega)\) and \(M_t(\omega)=\{ x \in M\) : \(t < \zeta(x, \omega) \}\). Let \[ (P_t f)(x) = \operatorname{E}[ ( f \circ X_t(x) ) 1_{ \{ t < \zeta(x) \} } ] \tag{3} \] be the minimal semigroup associated to (1), acting on the bounded measurable functions \(f : M \to {\mathbb R}\). Let \(\operatorname{Lie}(A_0, A_1, \dotsc, A_r)\) denote the Lie algebra generated by \(A_0, \dotsc, A_r\), that is, the smallest \({\mathbb R}\)-vector space of vector fields on \(M\) containing \(A_0, \dotsc, A_r\) and being closed under the Lie bracket. We suppose that (2) is non-degenerate in the sense that the ideal generated by \(( A_1, \dotsc, A_r)\) in \(\operatorname{Lie}(A_0, A_1, \dotsc, A_r)\) is the full tangent space at each point \(x \in M\): \[ \operatorname{Lie}(A_i, [A_0, A_i] : i=1, \dotsc, r)(x) = T_xM \quad \text{for all } x \in M. \tag{H1} \] Note that (H1) is equivalent to the following Hörmander condition for \(\frac{\partial}{\partial t} + L\) on \({\mathbb R} \times M\): \[ \dim \operatorname{Lie} ( \frac{\partial}{\partial t} + A_0, A_1, \dotsc, A_r)(t,x) = n+1 \quad \text{for all } (t,x) \in {\mathbb R} \times M. \] By Hörmander's theorem, and under (H1), the semigroup (3) is strongly Feller and has a smooth density \(p \in C^{\infty}( (0, \infty) \times M \times M)\) such that \[ \operatorname{P}\{ X_t(x) \in dy,\, t < \zeta(x) \} = p(t,x,y) \operatorname{vol}(dy), \quad t>0,\;x \in M. \] The goal of the paper is to find stochastic representations, under hypothesis (H1), for the derivative \(d ( P_t f)\) of (3) which do not involve derivatives of \(f\). Analogously, in the situation of \(L\)-harmonic functions \(u : D \to {\mathbb R}\), given on some domain \(D\) in \(M\) by its boundary values \(u | \partial D\) via \[ u(x) = \operatorname{E}[ u \circ X_{ \tau(x)} (x) ], \] formulas are developed for \(du\) not involving derivatives of the boundary function, where \(\tau(x)\) is the first exit time of \(X(x)\) from \(D\). The main results of the paper read as follows. Theorem A. Let \(x \in M\), \(v \in T_xM\) and \(t > 0\). Then \[ d ( P_t f)_x v = \operatorname{E}[ f( X_t(x) ) 1_{ \{ t < \zeta(x) \} } \Phi_tv ] \] for the minimal semigroup \(P_tf\), where \(\Phi_t\) is a \(T_x^* M\)-valued random variable which is \(L^p\)-integrable for any \(1 \leqslant p < \infty\) and local in the sense thatt, for any relatively compact neighborhood \(D\) of \(x\) in \(M\), there is a choice for \(\Phi_t\) which is \({\mathcal F}_{\sigma}\)-measurable with \(\sigma =\) \(t \wedge \tau_D(x)\). The proof of Theorem A is basically due to a result obtained in [the second author and \textit{F.-Y. Wang}, J. Funct. Anal. 155, No. 1, 109--124 (1998; Zbl 0914.58042)]. Theorem B. Let \(M\) be compact with smooth boundary \(\partial M \not= \emptyset\) and \(u \in C(M)\) be \(L\)-harmonic on \(M \setminus \partial M\). Let \(x \in M \setminus \partial M\) and \(v \in T_x M\). Denote by \(\tau(x)\) the first hitting time of \(X_.(x)\) of \(\partial M\). Then the following formula holds: \[ (du)_x v = \operatorname{E} [ u( X_{\tau(x)}(x) ) \Phi_{\tau(x)} v ], \] where \(\Phi_{\tau(x)}\) {is a} \(T_x^* M\)-valued random variable which is in \(L^p\) for any \(1 \leqslant p < \infty\) and local in the similar sense as above. Finally, adopting their method, the authors try to extend the results to the nonlinear case of harmonic maps between manifolds. For another related work, see, e.g., [\textit{D. Bell}, J. Funct. Anal. 251, No. 1, 232--253 (2007; Zbl 1132.58020)].

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