All Questions
Tagged with riemannian-geometry stochastic-processes
18 questions
1
vote
0
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44
views
What do we know about Poisson boundaries of arbitrary Riemannian manifolds?
For closed manifolds, we know that the Poisson boundary is trivial due to compactness and for radially symmetric manifolds for which diffusion is one dimensional, there are A Brief Introduction to ...
- 168
4
votes
1
answer
107
views
Identify an SDE on the sphere from its generator
I have a diffusion on the 2-sphere with expression:
$$
(L\phi)(u):=\frac{1}{2{N(u)}}\Big(f(u)\Delta_{\mathbb S^2}\phi+
2g\left( \nabla_{\mathbb S^2}\phi, \nabla_{\mathbb S^2}f\right)\Big)
$$
...
- 73
2
votes
0
answers
81
views
Assumptions for uniform measure of SDE on manifolds
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 ...
3
votes
1
answer
390
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Reference request for a Riemannian Fokker-Planck equation
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:...
- 187
3
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0
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201
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Elworthy’s 1982 “Stochastic Differential Equations on Manifolds” - relevant?
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 ...
- 177
1
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0
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157
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The stochastic parallel transport as a limit of piecewise geodesic parallel transports
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 $\Delta = \{t_1, \dots, t_m\} \subset [0,1]$,...
- 5,407
2
votes
0
answers
101
views
The Itō isometry for Riemannian manifolds
If $\alpha$ is a real smooth $1$-form, and if $\mathcal C$ is the space of continuous functions $c : [0,1] \to \mathbb R^n$, endowed with the Wiener measure $w$, and if $I_\alpha : \mathcal C \to \...
- 5,407
0
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0
answers
88
views
Independent increments for the Brownian motion on a Riemannian manifold
In am not a probabilist, but I must do some stochastic-flavoured work on a connected Riemannian manifold $M$. A nice thing about the Brownian motion on $\mathbb R^n$ is that we may talk about its ...
- 5,407
2
votes
0
answers
56
views
What is the Wiener measure of the set of curves with given Hölder constant on a Riemannian manifold?
Let $M$ be a connected Riemannian manifold and $x_0 \in M$. For $0 < \alpha < \frac 1 2$, let
$$H = \{ c : [0,1] \to M \mid c(0) = x_0 \text{ and } \exists C>0 \text { s.t. } d(c(s), c(t)) \...
- 5,407
4
votes
0
answers
804
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Feynman-Kac formula for domains with boundary
As far as I know (I am not an expert), any solution of the heat equation on $\mathbb{R}^n$ or on a closed Riemannian manifold with the given initial condition can be presented in terms of stochastic ...
- 21.8k
2
votes
1
answer
221
views
Is there Brownian motion on Alexandrov spaces?
It is well known that there is a notion of Brownian motion on smooth Riemannian manifolds.
I am wondering if there is a more general notion of Brownian motion on finite dimensional Alexandrov ...
- 21.8k
10
votes
2
answers
767
views
Intuition for the Drift Term of the Laplace-Beltrami Operator
In coordinates, the Laplace-Beltrami operator on a Riemannian manifold $(M,g)$ can be written as:
$$
\Delta_g = g^{ij}\partial_{ij} - g^{jk}\Gamma^\ell_{jk}\partial_\ell
$$
The second term:
$$
\mu^\...
- 213
3
votes
0
answers
68
views
Brownian motion on a $\mathbb{Z}$-cover
Let $(M,g)$ a smooth closed Riemannian manifold with non trivial first homology group $H^1(M,\mathbb{R})$. Any element of $H^1(M,\mathbb{Z})$ will define a riemannian $\mathbb{Z}$-cover of $M$ ...
user50806
2
votes
2
answers
253
views
Conditional Wiener measure continuous
consider a complete Riemannian manifold $M$ with heat kernel $p_M$ and let $U\subset M$ be an open set. Let $W_{x,t}^{y}$ be the Wiener measure associated to the Brownian motion starting at $x$ and ...
- 107
4
votes
1
answer
736
views
Carre du Champ, Subunit Paths and CC-metrics
Let the operator $L$ be given by $Lf(x):=\nabla\cdot (A\nabla f(x))$, where $f:\mathbb{R}^d\rightarrow \mathbb{R}$ belongs to a suitable class of functions $\mathcal{A}$. The carre du champ operator $\...
- 213
5
votes
1
answer
647
views
Stochastic interpretation of heat kernel on fiber bundle
I'm looking for a stochastic interpretation of the heat equation for vector valued function.
The classical set up is the following :
If $(M,g)$ is a riemannian manifold then we could consider the ...
user50806
3
votes
2
answers
325
views
Ito Diffusions with low regularity?
I would like to have an Itô Diffusion
$$ X_t = \int_0^t b(s) \mathrm{d}s + \int_0^t \sigma(s) \mathrm{d}B_s.$$
where the (vector- and matrix-valued, respectively) functions $b$ and $\sigma$ have lower ...
- 9,853
5
votes
0
answers
275
views
stochastic control / geometric mean
Consider the following problem:
Given $\Omega$ and $U$ two symmetric definite positive matrices, choose a matrix $K$ to minimize the expectation $x' \Omega x + x'K'UKx$ when $x$ follows the invariant ...
- 427