Stochastic Taylor Formulas and Riemannian Geometry

Mark A. Pinsky

doi:10.1007/978-1-4614-5906-4_2

Stochastic Taylor Formulas and Riemannian Geometry

Mark A. Pinsky

Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

Let (X_t, P_x) be the standard Brownian motion on a complete Riemannian manifold. We investigate the asymptotic behavior of the moments of the exit time from a geodesic ball when the radius tends to zero. This is combined with a "stochastic Taylor formula" to obtain a new expansion for the mean value of a function on the boundary of a geodesic ball.

Original language	English (US)
Title of host publication	Malliavin Calculus and Stochastic Analysis
Subtitle of host publication	A Festschrift in Honor of David Nualart
Publisher	Springer New York LLC
Pages	9-23
Number of pages	15
Volume	34
ISBN (Print)	9781461459057
DOIs	https://doi.org/10.1007/978-1-4614-5906-4_2
State	Published - Jan 1 2013

ASJC Scopus subject areas

Mathematics(all)

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10.1007/978-1-4614-5906-4_2

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title = "Stochastic Taylor Formulas and Riemannian Geometry",

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AB - Let (Xt, Px) be the standard Brownian motion on a complete Riemannian manifold. We investigate the asymptotic behavior of the moments of the exit time from a geodesic ball when the radius tends to zero. This is combined with a "stochastic Taylor formula" to obtain a new expansion for the mean value of a function on the boundary of a geodesic ball.

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UR - http://www.scopus.com/inward/citedby.url?scp=84883406422&partnerID=8YFLogxK

U2 - 10.1007/978-1-4614-5906-4_2

DO - 10.1007/978-1-4614-5906-4_2

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AN - SCOPUS:84883406422

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VL - 34

SP - 9

EP - 23

BT - Malliavin Calculus and Stochastic Analysis

PB - Springer New York LLC

ER -

Stochastic Taylor Formulas and Riemannian Geometry

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