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Divergence theorems in path space
Authors:Denis Bell
Affiliation:Department of Mathematics, University of North Florida, 4567 St. Johns Bluff Road South, Jacksonville, FL 32224, USA
Abstract:
We obtain divergence theorems on the solution space of an elliptic stochastic differential equation defined on a smooth compact finite-dimensional manifold M. The resulting divergences are expressed in terms of the Ricci curvature of M with respect to a natural metric on M induced by the stochastic differential equation. The proofs of the main theorems are based on the lifting method of Malliavin together with a fundamental idea of Driver.
Keywords:Elliptic stochastic differential equation   Compact manifold   Integration by parts formula   Divergence theorem   Path space
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