Brownian Motion - Riemannian Manifold

Riemannian Manifold

The infinitesimal generator (and hence characteristic operator) of a Brownian motion on Rn is easily calculated to be ½Δ, where Δ denotes the Laplace operator. This observation is useful in defining Brownian motion on an m-dimensional Riemannian manifold (M, g): a Brownian motion on M is defined to be a diffusion on M whose characteristic operator in local coordinates xi, 1 ≤ i ≤ m, is given by ½ΔLB, where ΔLB is the Laplace–Beltrami operator given in local coordinates by

where = −1 in the sense of the inverse of a square matrix.

Read more about this topic:  Brownian Motion

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