The Annals of Probability

White noise indexed by loops

Ognian B. Enchev

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Abstract

Given a Riemannian manifold $M$ and loop $\phi: X^1 \mapsto M$, we construct a Gaussian random process $S^1 \ni \theta \leadsto X_{\theta} \epsilon T_{\phi(\theta)}M$, which is an analog of the Brownian motion process in the sense that the formal covariant derivative $\theta \leadsto \nabla_{\theta}X_{\theta}$ appears as a stationary process whose spectral measure is uniformly distributed over some discrete set. We show that $X$ satisfies the two-point Markov property reciprocal process if the holonomy along the loop $\phi$ is nontrivial. The covariance function of $X$ is calculated and the associated abstract Wiener space is described. We also characterize $X$ as a solution of a special nondiffusion type stochastic differential equation. Somewhat surprisingly, the nature of $X$ turns out to be very different if the holonomy along $\phi$ is the identity map $I: T_{\phi(0)}M \mapsto T_{\phi(0)}M$. In this case, we show that the usual periodic Ornstein-Uhlenbeck process, associated with a harmonic oscillator at nonzero temperature, may be viewed as a standard velocity process in which the driving Brownian motion is replaced by the process $X$.

Article information

Source
Ann. Probab., Volume 26, Number 3 (1998), 985-999.

Dates
First available in Project Euclid: 31 May 2002

Permanent link to this document
https://projecteuclid.org/euclid.aop/1022855741

Digital Object Identifier
doi:10.1214/aop/1022855741

Mathematical Reviews number (MathSciNet)
MR1634411

Zentralblatt MATH identifier
0937.60024

Subjects
Primary: 60G10: Stationary processes 60J25: Continuous-time Markov processes on general state spaces 60J65: Brownian motion [See also 58J65]

Keywords
White noise process stationary Gaussian process reciprocal process diffusion

Citation

Enchev, Ognian B. White noise indexed by loops. Ann. Probab. 26 (1998), no. 3, 985--999. doi:10.1214/aop/1022855741. https://projecteuclid.org/euclid.aop/1022855741


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References

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  • BOSTON, MASSACHUSETTS 02215 E-MAIL: ogi@math.bu.edu