All Questions
Tagged with stochastic-processes dg.differential-geometry
24 questions
1
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0
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44
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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
2
votes
0
answers
301
views
Ito lemma for SDEs on a Lie group
I'm trying to generalize the theorem described in this paper https://arxiv.org/abs/2001.01098 to the case of a semisimple compact matrix Lie group.
In doing so i'm trying to define a formula ...
- 293
3
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0
answers
201
views
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
5
votes
1
answer
531
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Riemannian metric induced by a stochastic differential equation
Following this paper, a diffusion process in $\mathcal{R}^d$
$$dX_t = f(X_t) \, dt + \sigma(X_t) \, dW_t ,$$
with $\sigma(x) \in \mathbb{R}^{d \times m}$ and $m$ dimensional Brownian motion can be ...
2
votes
1
answer
204
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Comparing diffusion processes in different metrics
I would like to know if it is possible to compare two diffusion processes defined on the same manifold $\mathcal{M}$ but with respect to different metrics say $g_1$ and $g_2$.
Is there a way to apply ...
11
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1
answer
553
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A geometric law of large numbers
Question: Choose independent uniformly distributed random variables $X$ and $Y$ on a closed Riemannian manifold $(M,g).$ The geodesic midpoint of $X$ and $Y$ is well-defined a.e., and is distributed ...
- 119
0
votes
1
answer
115
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Average over spheres finite
Let $X_1,...,X_N$ be random variables that are iid with the uniform distribution over $\mathbb S^n.$
I am curious how to see that $f(X_1,..,X_N):=\left \lvert \sum_{i=1}^N X_i \right\rvert^{-1}$ has ...
- 124
5
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1
answer
319
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Spherical average of $\frac{1}{x}$
Let $X_1,...,X_n$ be points on $\mathbb S^1.$
We then define the expectation value $E(X)=\frac{1}{n}\sum_{i=1}^n X_i.$
Let $\frac{dS(X_1)}{2\pi}$ be the normalized surface measure of $\mathbb S^1,$ i....
- 124
1
vote
1
answer
170
views
Diffeomorphism for mapping one SDE into another
Let $Y_t,X_t$ be $(\Omega,\mathcal{F},\mathcal{F}_t,\mathbb{P})$-adapted Markov diffusion processes with valued in $\mathbb{R}^n$. (When) does there exist a diffeomorphism $\phi:\mathbb{R}^n\to \...
- 5,405
3
votes
1
answer
474
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Orthonormal frame bundles on a manifold
Let $(\mathcal{M},g)$ be a torsion free compact Riemannian manifold of dimension $n$. Hence from the metric we know there is an associated horizontal sub-bundle $H_u F \mathcal{M}$ of the orthonormal ...
- 396
4
votes
1
answer
417
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An application of Itô's formula to an SDE on a Lie group
I'm trying to understand a calculation in this paper (equation (3.8)). With some details removed, the setup is as follows.
Let $G$ be a Lie group, and $g(t)$ a curve in $G$ satisfying the SDE
$$dg(t)...
- 41
2
votes
0
answers
140
views
Is there a distinct Ito-Sasaki version of Riemannian stochastic development?
Given a smooth manifold $M$ with a linear torsion-free connection on its tangent bundle, the Eells-Elworthy-Malliavin stochastic development provides a way of transforming a semimartingale $X$ defined ...
- 319
10
votes
2
answers
767
views
Intuition for the Drift Term of the Laplace-Beltrami Operator
In coordinates, the Laplace-Beltrami operator on a Riemannian manifold $(M,g)$ can be written as:
$$
\Delta_g = g^{ij}\partial_{ij} - g^{jk}\Gamma^\ell_{jk}\partial_\ell
$$
The second term:
$$
\mu^\...
- 213
2
votes
0
answers
385
views
Ito lemma for manifold semimartingales
I'm looking for a generalization of the usual Ito lemma to manifolds $M$, preferably not under the assumption that $M$ is embedded in $\mathbb{R}^d$. Unfortunately any reference I've found either ...
- 5,405
5
votes
1
answer
372
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Reference: Stochastic Analysis on Hilbert Manifolds
I'm looking for a reference to a book which develops an It\^{o} lemma for semi-martingales with values in infinite dimensional Hilbert-Manifolds. I expect the techniques to be the same but still I ...
- 5,405
2
votes
2
answers
253
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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
0
answers
112
views
Feynman-Kac formula and time-ordering for vector bundles
Let $M$ be a compact Riemannian manifold and let $\mathrm{d}\mathbb{W}^{yx;T}(\gamma)$ denote the Brownian Bridge measure, i.e. the Wiener measure on the paths that travel from $x$ to $y$ in time $T$ (...
- 9,853
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
4
votes
1
answer
294
views
Exponential of approximate quadratic variation of Brownian motion
Let $X_t$ be a Brownian motion or a Brownian Bridge on a (\edit: compact) Riemannian manifold. Let $T>0$ be given.
The question is: Does there exists a constant $C>0$ such that for all ...
- 9,853
2
votes
2
answers
442
views
Principal bundles and Subriemannian Geometry
In sub-Riemannian geometry, one considers manifolds $P$ equipped with a subbundle $\mathcal{H}$ of $TP$, the horizontal distribution. One then has a Riemannian metric only on this distribution $\...
- 9,853
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
1
answer
105
views
Density for Translated Process
Let $M$ be a (compact) Riemannian manifold. Let $v$ be a smooth vector field on $M$ with flow $\Theta_t$. Let $L$ be an elliptic second order differential operator on $M$ that generates the Ito ...
- 9,853
3
votes
0
answers
90
views
Almost sure transversality of smooth random maps
I still am novice as far as probability is concerned and after fruitlessly Googling for an answer for a few days I thought I might have a better chance with MO.
Let me first formulate the ...
- 34.7k
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