Intrinsic Stochastic Differential Equations and Extended Ito Formula on Manifolds

Abstract

A general way of representing Stochastic Differential Equations (SDEs) on smooth manifold is based on Schwartz morphism. In this manuscript we are interested in SDEs on a smooth manifold $M$ that are driven by p-dimensional Wiener process $W_t\in {\mathbb{R}}^p$. In terms of Schwartz morphism, such SDEs are represented by Schwartz morphism that morphs the semi-martingale $(t,W_t)\in {\mathbb{R}}^{p+1}$ into a semi-martingale on the manifold $M$. We show that it is possible to construct such Schwartz morphisms using special maps that we call as diffusion generators. We show that one of the ways of constructing diffusion generator is by using regular Lagrangian. Using this diffusion generator approach, we also give extended Ito formula (also known as generalized Ito formula or Ito-Wentzell's formula) for SDEs on manifold.

Typos in generalized Ito formula have been corrected in this version