American Institute of Mathematical Sciences

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2013, 2013(special): 115-121. doi: 10.3934/proc.2013.2013.115

Stochastic geodesics and forward-backward stochastic differential equations on Lie groups

Xin Chen 1, and  Ana Bela Cruzeiro 2,

1. 

Grupo de Física-Matemática da Universidade de Lisboa, Av. Prof. Gama Pinto 2, 1649-003 Lisboa, Portugal
2. 

GFMUL and Departamento de Matemática IST-UTL, Av. Rovisco Pais, 1049-001 Lisboa, Portugal

Received  September 2012 Revised  March 2013 Published  November 2013

We describe how to generalize to the stochastic case the notion of geodesic on a Lie group equipped with an invariant metric. As second order equations (in time), stochastic geodesics are characterized in terms of stochastic forward-backward differential systems.
    When the group is the diffeomorphisms group this corresponds to a probabilistic description of the Navier-Stokes equations.
Keywords: Lagrangian stochastic flows., Forward-backward stochastic differential equations, Navier-Stokes equation, stochastic variational principles, stochastic geodesics on Lie groups.
Mathematics Subject Classification: Primary: 58J65, 70H30; Secondary: 60H10, 49Q2.
Citation: Xin Chen, Ana Bela Cruzeiro. Stochastic geodesics and forward-backward stochastic differential equations on Lie groups. Conference Publications, 2013, 2013 (special) : 115-121. doi: 10.3934/proc.2013.2013.115
References:
[1]

M. Arnaudon, X. Chen and A.B. Cruzeiro, Stochastic Euler-Poincaré reduction,, preprint, ().   Google Scholar

[2]

M. Arnaudon and A.B. Cruzeiro, Lagrangian Navier Stokes diffusions on manifolds: variational principle and stability, Bull. Sci. Math. 136 (2012), no. 8, 857-881.  Google Scholar

[3]

V.I. Arnold, Sur la géométrie différentielle des groupes de Lie de dimension infinie et ses applications à l'hydrodynamique des fluides parfaits, Ann. Inst. Fourier, 16 (1966), 316-361.  Google Scholar

[4]

J.-M. Bismut, An introductory approach to duality in optimal stochastic control, SIAM Rev, 20 (1978), 62-78.  Google Scholar

[5]

J.-M. Bismut, Mécanique Aléatoire, Lecture Notes in Math. 866, Springer-Verlag (1981).  Google Scholar

[6]

F. Cipriano and A.B. Cruzeiro, Navier-Stokes equation and diffusions on the group of homeomorphisms of the torus, Comm. Math. Phys., 275 (2007), 255-269.  Google Scholar

[7]

A.B. Cruzeiro and E. Shamarova, Navier-Stokes equations and forward-backward SDEs on the group of diffeomorphisms of the torus, Stoch. Proc. and their Applic., 119 (2009), 4034-4060.  Google Scholar

[8]

A.B. Cruzeiro and Zh. Qian, Backward stochastic differential equations associated with the vorticity equations,, preprint, ().   Google Scholar

[9]

D. Ebin and J. Marsden, Groups of diffeomorphisms and the motion of an incompressible fluid, Ann. of Math., 92 (1970), 102-163.  Google Scholar

[10]

A. Estrade and M. Pontier, Backward stochastic differential equations in a Lie group, Séminaire de Probabilités, XXXV, Lecture Notes in Math., 1755, Springer-Verlag (2001), 241-259.  Google Scholar

[11]

W.H. Fleming and H.M. Soner, Controlled Markov processes and viscosity solutions, Applications of Mathematics 25, Springer-Verlag, New York (1993).  Google Scholar

[12]

B. Khesin, Groups and topology in the Euler hydrodynamics and KdV, in Hamiltonian dynamical systems and applications, Ed. W.Craig, NATO Science series B, XVI Springer-Verlag (2008), 93-102.  Google Scholar

[13]

J.A. Lázaro-Camí and J.P. Ortega, Stochastic Hamiltonian dynamical systems, SIAM Review, 20 (1978), 65-122.  Google Scholar

[14]

J. Ma and J. Yong, Forward-backward stochastic differential equations and their applications, Springer-Verlag, Lecture Notes in Math. 1702, Springer-Verlag (2007).  Google Scholar

[15]

J.E. Marsden and T.S. Ratiu, Introduction to Mechanics and Symmetry, Springer-Verlag, Texts in Applied Math. (2003).  Google Scholar

[16]

E. Pardoux and S. G. Peng, Adapted solution of a backward stochastic differential equation, Systems Control Lett. , 14 (1990), 55-61.  Google Scholar

[17]

J.-C. Zambrini, Variational processes and stochastic versions of mechanics, Journal of Mathematical Physics, 27 (1986), 2307-2330.  Google Scholar

[18]

J.-C. Zambrini, Stochastic Deformation of Classical Mechanics,, in these Proceedings., ().   Google Scholar

show all references

References:
[1]

M. Arnaudon, X. Chen and A.B. Cruzeiro, Stochastic Euler-Poincaré reduction,, preprint, ().   Google Scholar

[2]

M. Arnaudon and A.B. Cruzeiro, Lagrangian Navier Stokes diffusions on manifolds: variational principle and stability, Bull. Sci. Math. 136 (2012), no. 8, 857-881.  Google Scholar

[3]

V.I. Arnold, Sur la géométrie différentielle des groupes de Lie de dimension infinie et ses applications à l'hydrodynamique des fluides parfaits, Ann. Inst. Fourier, 16 (1966), 316-361.  Google Scholar

[4]

J.-M. Bismut, An introductory approach to duality in optimal stochastic control, SIAM Rev, 20 (1978), 62-78.  Google Scholar

[5]

J.-M. Bismut, Mécanique Aléatoire, Lecture Notes in Math. 866, Springer-Verlag (1981).  Google Scholar

[6]

F. Cipriano and A.B. Cruzeiro, Navier-Stokes equation and diffusions on the group of homeomorphisms of the torus, Comm. Math. Phys., 275 (2007), 255-269.  Google Scholar

[7]

A.B. Cruzeiro and E. Shamarova, Navier-Stokes equations and forward-backward SDEs on the group of diffeomorphisms of the torus, Stoch. Proc. and their Applic., 119 (2009), 4034-4060.  Google Scholar

[8]

A.B. Cruzeiro and Zh. Qian, Backward stochastic differential equations associated with the vorticity equations,, preprint, ().   Google Scholar

[9]

D. Ebin and J. Marsden, Groups of diffeomorphisms and the motion of an incompressible fluid, Ann. of Math., 92 (1970), 102-163.  Google Scholar

[10]

A. Estrade and M. Pontier, Backward stochastic differential equations in a Lie group, Séminaire de Probabilités, XXXV, Lecture Notes in Math., 1755, Springer-Verlag (2001), 241-259.  Google Scholar

[11]

W.H. Fleming and H.M. Soner, Controlled Markov processes and viscosity solutions, Applications of Mathematics 25, Springer-Verlag, New York (1993).  Google Scholar

[12]

B. Khesin, Groups and topology in the Euler hydrodynamics and KdV, in Hamiltonian dynamical systems and applications, Ed. W.Craig, NATO Science series B, XVI Springer-Verlag (2008), 93-102.  Google Scholar

[13]

J.A. Lázaro-Camí and J.P. Ortega, Stochastic Hamiltonian dynamical systems, SIAM Review, 20 (1978), 65-122.  Google Scholar

[14]

J. Ma and J. Yong, Forward-backward stochastic differential equations and their applications, Springer-Verlag, Lecture Notes in Math. 1702, Springer-Verlag (2007).  Google Scholar

[15]

J.E. Marsden and T.S. Ratiu, Introduction to Mechanics and Symmetry, Springer-Verlag, Texts in Applied Math. (2003).  Google Scholar

[16]

E. Pardoux and S. G. Peng, Adapted solution of a backward stochastic differential equation, Systems Control Lett. , 14 (1990), 55-61.  Google Scholar

[17]

J.-C. Zambrini, Variational processes and stochastic versions of mechanics, Journal of Mathematical Physics, 27 (1986), 2307-2330.  Google Scholar

[18]

J.-C. Zambrini, Stochastic Deformation of Classical Mechanics,, in these Proceedings., ().   Google Scholar

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