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I have a diffusion on the 2-sphere with expression: $$ (L\phi)(u):=\frac{1}{2{N(u)}}\Big(f(u)\Delta_{\mathbb S^2}\phi+ 2g\left( \nabla_{\mathbb S^2}\phi, \nabla_{\mathbb S^2}f\right)\Big) $$ ...

The original post is in StackExchange but no one has answered it yet. I personally think it is more related to the research area so I put it in MathOverflow. Below is the question in the original post:...

Let $M$ be a compact Riemannian manifold and let $X \in \mathfrak{X}(\mathbb{R}\times M)$ be a time-dependent vector field on $M$. I want to construct the Itô integral $$ I(X) = \int_0^T \langle X(t, ...

In 1982, D. Elworthy published “Stochastic Differential Equations on Manifolds”. Apparently, this was quite a seminal book in the field of stochastic DE’s/processes on manifolds. Is this reference ...

Suppose we're working on a compact, Riemannian manifold $M$. Suppose $dX_t = -b(X_t, t)\,dt + \sigma^2 \,dB_t$ is started at the uniform measure on $M$. What kind of assumptions on $b$ make it so that ...

Let $(M,g)$ be a Riemannian manifold, and $E \to M$ be a vector bundle endowed with a connection $\nabla$. If $c:[0,1] \to M$ is a continuous curve, and if $\Delta = \{t_1, \dots, t_m\} \subset [0,1]$,...