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Optimal control of diffusion processes
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ISSN: 02693674 ISBN: 0470213272 9780470213278 Year: 1989 Volume: 203 Publisher: New York Longman Scientific & Technical

Uniqueness and non-uniqueness of singular diffusion operators
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ISBN: 3540666281 3540480765 Year: 1999 Volume: 1718 Publisher: New York Springer

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Abstract

This book addresses both probabilists working on diffusion processes and analysts interested in linear parabolic partial differential equations with singular coefficients. The central question discussed is whether a given diffusion operator, i.e., a second order linear differential operator without zeroth order term, which is a priori defined on test functions over some (finite or infinite dimensional) state space only, uniquely determines a strongly continuous semigroup on a corresponding weighted Lp space. Particular emphasis is placed on phenomena causing non-uniqueness, as well as on the relation between different notions of uniqueness appearing in analytic and probabilistic contexts.

On the geometry of diffusion operators and stochastic flows
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ISBN: 3540667083 3540470220 Year: 1999 Volume: 1720 Publisher: New York Springer

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Abstract

Stochastic differential equations, and Hoermander form representations of diffusion operators, can determine a linear connection associated to the underlying (sub)-Riemannian structure. This is systematically described, together with its invariants, and then exploited to discuss qualitative properties of stochastic flows, and analysis on path spaces of compact manifolds with diffusion measures. This should be useful to stochastic analysts, especially those with interests in stochastic flows, infinite dimensional analysis, or geometric analysis, and also to researchers in sub-Riemannian geometry. A basic background in differential geometry is assumed, but the construction of the connections is very direct and itself gives an intuitive and concrete introduction. Knowledge of stochastic analysis is also assumed for later chapters.

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