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Stochastic Analysis for the Complex Monge-Ampère
Equation. (An Introduction to Krylov’s Approach.)
François Delarue
To cite this version:
François Delarue. Stochastic Analysis for the Complex Monge-Ampère Equation. (An Introduction
to Krylov’s Approach.). Complex Monge-Ampère Equations and Geodesics in the Space of Kähler
Metrics. Lectures Notes in Mathematics 2038. (Editor: V. Guedj), Springer, pp.55-198, 2012, Lecture
Notes in Mathematics, �10.1007/978-3-642-23669-3�. �hal-00555590v2�
EQUATION
(AN INTRODUCTION TO KRYLOV'S APPROACH)
FRANÇOISDELARUE
Laboratoire J.-A. Dieudonné, Université de Ni e Sophia-Antipolis, Par Valrose, 06108 Ni e Cedex 02, Fran e
Wehere gatherinasinglenote several originalprobabilisti worksdevoted tothe analysis of the
C
1,1
regularity of the solution to the possibly degenerate omplex Monge-Ampère equation. The whole analysis relies on a probabilisti writing of the solution as the value fun tionofasto hasti optimal ontrolproblem. Su harepresentation hasbeen introdu ed by Gaveau [3℄inthe late 70's and usedinan exhaustive way by Krylov inaseries of papers published in the late 80's up to the nal paper [7℄ in whi h the
C
1,1
-estimate is eventually established. Allthe argumentswe here use followfromthese seminal works.
Nota Bene. This is an expanded version of the notes I prepared for a series of le tures I delivered in LATP, Marseille, inde ember2009.
1. Introdu tion
Ba kground. This Chapteris devotedtothe sto hasti analysisof the possibly degener-ate Monge-Ampère equation and spe i ally to the probabilisti proof of the
C
1,1
-estimate of the solutionsunder some suitable assumption.
Fora ompletereview ofthe stakesofsu haresult, wereferthereadertoChapters 0and 1by V.Guedj and A. Zeriahi: we herefo us onthe probabilisti ounterpart onlyand keep silentabout the geometri motivationsthat are hidden behind.
Theideaofunderstandingthe omplexMonge-Ampèreequationfromaprobabilisti point of view goes ba k tothe earlier paper by Gaveau [3℄ in the late 70's. Therein, the solution is shown to write as the value fun tion of a sto hasti optimal ontrol problem, i.e. as the minimal value of some averaged ost omputed along the traje tories of dierent diusion pro esses evolving insidethe underlyingdomain.
Insome sense,this representation formulaisa ompa t (or losed)representationformula that appears as a generalization of the Kolmogorov formula for the heat equation: the so-lution of the heat equation may be expressed as some averaged value omputed along the traje tories of the Brownian motion. Brownian motion might be understood as follows: at any given time and at any given position, the diusive parti le at hand moves at random, independently of the past and in an isotropi way. A tually, Kolmogorov formula extends to linear (say to simplify purely) se ond-order partial dierentialequations with a variable diusion oe ient: the solutionisthenunderstoodassomeaveragedvalue omputedalong the solutionofadierentialequationofsto hasti typedriven by the oe ientof the PDE at hand. This appears as a sto hasti method of hara teristi s: at any given time and at any given position, the diusive parti leasso iated with the sto hasti dierentialequation
dire tions are given by the main eigenve tors of the diusion matrix at the urrent point. In the ase of Monge-Ampère, the story might read as follows: at any given time and at any given position, the parti le at hand moves at random, independently of the past, and the diusion oe ient is hosen amongall the possible diusion oe ient of determinant 1 a ording tosome lo aloptimization riterionor,equivalently,to some lo al ost.
Purpose of the Note. In his paper, Gaveau managed to derive some Hölder ontinuity property of the solution to Monge-Ampère from the probabilisti formulation, but the ex-haustiveuse of the formulafor the analysis of the regularity of the derivatives goesba k to Krylov. The referen e paper on the subje t is [7℄: the solution is shown to be
C
1,1
on the whole domain (i.e. up to the boundary) under some suitable assumption that may in lude thedegenerate ase. Basi ally,itappliestoamu hmoregeneralframeworkthanthe Monge-Ampère one: it applies to a general lass of Hamilton-Ja obi-Bellmanequations, i.e. to a general lass ofequationssummarizingthedynami sof thevaluefun tionofsomesto hasti optimizationproblem.
A tually,the paper[7℄ is not self- ontained. It must be seen as the on lusion of a series of papers initiatedin the 80's: see, among others, [5℄, [6℄, [8℄ and, nally, [7℄. This note is an attempt to gather in a single manus ript most of the ingredients of the whole proof, at leastinthe spe i ase ofMonge-Ampère: fromthebasi rulesofsto hasti al ulustothe detailed omputations of the nal estimateof the rst- and se ond-order derivatives.
However, the proof we here provide is a bit dierent from the original one and may appear as less straightforward. In some sense, the obje tive is here both mathemati al and...pedagogi al: the ideais both toprovide analmost omplete and self- ontainedproof of the
C
1,1
estimateand to explainto the reader the way weare following torea h it.
A Short Review of the Strategy. The arguments used by Krylov have been developed sin e the 70's. Some of them may be found in the seminal work by Malliavin [11℄ and [12℄, even if used dierently. In short, Malliavin initiated a program to prove by means of sto hasti arguments only the Sum of Squares Theorem by Hörmander: Sum of Squares Theorem providessomesu ient ondition ontheLiealgebrageneratedbythe ve tor elds of apossibly degenerate diusion matrix to let the orresponding operator be hypoellipti . The program onsists in an exhaustive analysis of the sto hasti ow generated by the asso iateddierentialequationofsto hasti type. (ForthepurelyLapla eoperator,theow is trivial sin e the urrent diusion pro ess redu es to a Brownian motion plus a starting point.) Apart of the problemis then toinvestigate the regularity of the ow.
Inthe urrent framework, themain ideaof Krylov onsistsinredu ing theanalysis of the
C
1,1
regularity of the solution to Monge-Ampère to a long-runanalysis of the derivatives of theowofthediusionpro essesbehind. Roughlyspeaking,the pointisto ontrolthe rst-andse ond-order derivativesof theowboth intimeand intheoptimizationparameter. At rst sight, it turns out to be really hallenging. By the way, it is in some sense: stated under this form, the obje tive may not be rea hable. Here is the key-point of the proof: the required long-run estimate of the derivatives of order one and two of the ow may be relaxed a ording to the underlying se ond-order dierentialstru ture. As an example, the analysis may benet from some uniform ellipti ity(or non-degenera y) property: when
Monge-Ampère equation, the original required long-run estimate of the derivatives of the ow an be relaxed to a mu h more less restri tive version (and in fa t an almost be an elled) thanks to the non-degenera y assumption itself. (The argument is explained in the note.) In the ase of Monge-Ampère, the equation may degenerate, but the analysis may benet from the des ription of the boundary: if the domain is stri tly pseudo- onvex, the originalrequired long-runestimate of the derivatives of the ow an be relaxed as well (but annot be an elled); that is, stri t pseudo- onvexity plays the role of a weak non-degenera y assumption. Finally, the analysis may also benet from the Hamilton-Ja obi-Bellman formulation, i.e. from the writing of the Monge-Ampère equation as an equation derivingfromasto hasti optimizationproblem: thestru tureisindeedkeptinvariantunder sometransformationsoftheoptimizationparameters. Asexplainedbelow,thismayalsohelp toredu e the long-run onstraint onthe derivativesof the ow.
As mentioned, the way the required long-run onstraint on the derivatives of the ow is relaxedisdetailedinthenote. Atleast,wemayherespe ifythe keyword only: perturbation. Indeed, the strategy is ommon tothe Malliavin pointof view and onsists of awell- hosen perturbation of the original probabilisti representation. This is ageneral meta-prin iplein sto hasti analysis: froma probabilisti point of view, regularity properties are understood through the rea tion of the sto hasti system under onsiderationto an external perturba-tion.
Main Result. In the end, the result we here prove isthe following: Theorem 1.1. Let (A)stand forthe assumption:
• D
is a bounded domain ofC
d
,
d
≥ 1
, des ribed by someC
4
fun tion
ψ
in the neigh-borhood ofD
¯
, i.e.D :=
z
∈ C
d
: ψ(z) > 0
.
•
The fun tionψ
is assumed to be plurisuperharmoni in the neighborhood ofD
¯
, i.e.∀a ∈ H
+
d
: Trace(a) = 1,
∀z ∈ ¯
D, Trace aD
2
z,¯
z
ψ(z)
< 0,
whereH
+
d
stands for the set of non-negative Hermitian matri es of sized
× d
.•
The fun tionψ
is non-singular in the neighborhood of the boundary ofD
, i.e.∃δ > 0, ∀z ∈ ∂D, |D
z
ψ(z)
| ≥ δ.
• f
andg
are two fun tions of lassC
2
and
C
4
on
D
¯
with values inR
+
andR
respe -tively.Then, under Assumption (A), there exists a fun tion
u
fromD
¯
toR
, of lassC
1,1
on the whole
D
¯
(i.e. with Lips hitz rst-order derivatives on the losure of the domainD
), plurisubharmoni , i.e.∀a ∈ H
+
d
: Trace(a) = 1,
a.e. z
∈ D, Trace aD
z,¯
2
z
u(z)
≥ 0,
and (1.1)det
1/d
D
2
z,¯
z
u(z)
=
f (z)
d
a.e. z
∈ D, u(z) = g(z), z ∈ ∂D,
i.e.
u
satises theMonge-Ampère equationonD
withf
d
(upto somenormalizing onstant) as sour e term and
g
as boundary ondition. (Compare with Chapter 0, Se tion 1, by V. Guedj.)Payattention thatTheorem1.1 doesnotre overTheorem 1.3.1inChapter1by V.Guedj andA.Zeriahi(thatholdsfortheballonly)sin etheboundary onditionthereinis
C
1,1
only.
Organization of the Note. Thenote isorganized asfollows. InSe tion2,weexplain the basi optimization prin ipleon whi h the whole proof relies. In Se tions 3 and 4,we intro-du e the Kolmogorov representation of the Diri hlet problem with onstant oe ients by meansof the Brownianmotion. Wethen givea shortoverview of the basi rules of sto has-ti al ulus. In Se tion 5, we introdu e the probabilisti representation of Monge-Ampère, as originally onsidered by Gaveau. The program for the analysis of the representation is explainedinSe tion 6. Se tion7 isa shortpresentation of the dierentiability properties of the owof asto hasti dierentialequation. In Se tion8,we give arst sket h ofthe proof ofthe
C
1
-regularity. Asexplainedtherein, itfailsforthe se ond-order derivatives. Theright argumentis given in Se tion9.
Useful Notation. Below, the gradient of a fun tion isunderstood as a rowve tor and for any pair of ve tors
(x, y)
(of the same dimensiond
) with real or omplex oordinates, the notationhx, yi
stands forP
d
i=1
x
i
y
i
.2. Hamilton-Ja obi-Bellman Formulation
Wehereintrodu ethe Hamilton-Ja obi-Bellmanformulationof the Monge-Ampère equa-tion.
2.1. OptimizationProblem. Generallyspeaking,Hamilton-Ja obi-Bellmanequations de-s ribethe dynami s inspa e onlyfor astationaryproblemand in timeas wellfor an evo-lution equation of the value fun tionof an optimal(possibly sto hasti ) ontrolproblem.
In the spe i ase of Monge-Ampère, the Hamilton-Ja obi-Bellmanformulation follows froma simple Lemma taken from the originalarti le by Gaveau [3℄:
Lemma 2.1. Given a non-negative Hermitian matrix
H
of sized
× d
, the determinant ofH
is the solution of the minimization problem:det
1/d
(H) =
1
d
inf
Trace[aH] ; a
∈ H
+
d
, det(a) = 1
.
Proof. Uptoadiagonalization,wemay assume
H
tobediagonal. Denotingby(λ
1
, . . . , λ
d
)
its(non-negative real) eigenvalues, we obtain for somea
∈ H
+
d
Trace[aH] =
d
X
i=1
a
i,i
λ
i
.
Noting that the elements
(a
i,i
)
1≤i≤d
are non-negative, the standard inequality between the arithmeti and geometri means yields1
d
Trace[aH]
≥
d
Y
i=1
a
i,i
λ
i
1/d
= det
1/d
(H)
d
Y
i=1
a
i,i
1/d
.
Finally,Hadamardinequality says that
Trace[aH]
≥ d det
1/d
(H)
,that is
inf
{Trace[aH]; a ∈ H
+
d
, det(a) = 1
} ≥ d det
1/d
(H).
To prove the equality between both quantities, we hoose
a
i,i
= λ
−1
i
det
1/d
(H)
(anda
i,j
equal to zero fori
andj
dierent) whenH
is non-degenerate (so that the inmum then reads as a minimum). In the degenerate ase, it issu ient to hoosea
i,i
= ε
whenλ
i
> 0
anda
i,i
= N
whenλ
i
= 0
, withε
small andN
large to be hosen so that the determinant be equal to 1(again,a
i,j
is set equal to0
fori
andj
dierent). Lemma 2.1 suggests us to write, at least formally, Monge-Ampère Eq. (1.1) under the form: (2.1)sup
a∈H
+
d
, det(a)=1
−Trace[aD
z,¯
2
z
u](z)
+ f (z) = 0,
z
∈ D.
(With the same boundary ondition.) This formulation makes the family of diusion oper-ators
(Trace[aD
2
z,¯
z
·])
a∈H
+
d
, det(a)=1
appear.
Roughlyspeaking,anequationdriven byaninmum (orasupremum)takenoverafamily of se ond-order operatorsis alleda se ond-order Hamilton-Ja obi-Bellman equation. 2.2. First-Order Case. We rst explain how minimization (or maximization) may ae t afamily of rst-order partialdierentialequations. In su h a ase, the resultingequationis alled a rst-order Hamilton-Ja obi-Bellman equation. Consider to this end a very simple one-dimensional evolution problem:
(2.2)
D
t
u(t, x)
−
sup
a∈R, |a|=1
aD
x
u
(t, x) = 0,
(t, x)
∈ (0, +∞) × R,
with a given regular boundary ondition
u(0,
·) = u
0
(
·)
. This is a non-linear equationwithD
t
u(t, x)
−
D
x
u
(t, x) = 0, (t, x) ∈ (0, +∞) × R,
as expli it form.The purpose ishere to understand how the method of hara teristi s may write for su h anequation. When the parameter or ontrol
a
is frozen, the equation(2.3)
D
t
u(t, x)
− aD
x
u(t, x) = 0,
(t, x)
∈ (0, +∞) × R,
is a simple transport equation with
−a
as onstant velo ity, whose solution is expli itly known:u(t, x) = u
0
(x + at),
(t, x)
∈ [0, +∞) × R.
Said dierently, the initial shape
u
0
is translated at velo ity−a
: as an example, the value ofu
at timet
and apoint−at
isu
0
(0)
. Said dierently, the mappingt
≥ 0 7→ u(t, x − at)
is onstant.Here,thelinearmapping
t
≥ 0 7→ x+at
is alledaba kward hara teristi ofthetransport equation (2.3).Gonowba k tothe general ase. We understandthat the supremum inEq. (2.2)favours the velo ityelds of samesign asthe lo alspatialvariationofthe solution. Said dierently, the possible hara teristi s must now besoughtamong paths driven by positiveor negative
paths of the form
(2.4)
x
t
= x
0
+
Z
t
0
a
s
ds,
t
≥ 0,
where
(a
t
)
t≥0
isa(measurable)fun tion withvaluesin{−1, 1}
andx
0
isanarbitraryinitial ondition. The whole point is then to understand the behavior of the solution to the PDE along all these traje tories. To do so, wa may dierentiate, at least formally,u
along some(x
t
)
t≥0
as in(2.4). For agiven timeT > 0
and somet
∈ [0, T ]
,we writed
dt
u(T
− t, x
t
)
=
−D
t
u(T
− t, x
t
) + a
t
D
x
u(T
− t, x
t
)
=
−|D
x
u
|(T − t, x
t
) + a
t
D
x
u(T
− t, x
t
)
≤ 0,
by taking intoa ount the equality
|a
t
| = 1
. Therefore,u(T, x
0
)
≥ u
0
x
0
+
Z
T
0
a
s
ds
,
that is (2.5)u(T, x
0
)
≥
sup
(a
t
)
0≤t≤T
:|a
t
|=1
u
0
x
0
+
Z
T
0
a
s
ds
.
Now, the formal hoi e
(a
t
= sign[D
x
u(T
− t, x
t
)])
t≥0
says that equality might hold. We thus deriveas a (possible) losed representation formulaofu
:(2.6)
u(T, x
0
) =
sup
(a
t
)
0≤t≤T
:|a
t
|=1
u
0
(x
a
T
)
,
withx
a
t
= x
0
+
Z
t
0
a
s
ds,
t
≥ 0.
Theargumentishereformalonly. However, itsuggestssomepossible losed representation forthe solutionofEq. (2.2)asthe valuefun tionof adeterministi ontrolproblem: the so- alled ontrolparameterisoftheform
(a
t
)
t≥0
with|a
t
| = 1
,t
≥ 0
,andtheresulting ontrolled path is of the form(x
a
t
)
t≤0
. We stress out that the supremum in (2.2) is kept preserved in the representation formula(2.6). This follows froma maximum prin iple argument: by the maximum prin iple, the solution to(2.2) is above the solutionto any linear transport PDE with the same initial onditionu
0
and with a (possibly time-dependent) velo ity eld of norm 1. (See (2.5).)Wealsoemphasize thatthe theory ofvis osity solutionsprovidesa rigorousframeworkto the formal argument we have here given. (See for example Chapter 2, Lemma 2.1, in the monograph by Barles [1℄.)
2.3. Se ond-Order Equations. Gonowba ktotheHamilton-Ja obi-Bellmanformulation (2.1). In omparisonwith theprevious subse tion,we maydistinguishtwomain dieren es. On the hand,Eq. (2.1) has asour e term. On the other hand,the underlyingoperatoris of se ond-order. (The readermayalsonoti ethat the equationisalsostationaryand thatitis set on abounded domain ofthe spa e only. We will ome ba k tothese two pointslater.)
Pluggingasour e term(say
f
inthe right-handside) inthe Hamilton-Ja obiformulation (2.2) would not really modify the analysis we just performed. In a su h a ase, the right formof (2.6) would be (2.7)u(T, x
0
) =
sup
(a
t
)
0≤t≤T
:|a
t
|=1
u
0
(x
a
T
) +
Z
T
0
f (x
a
t
)dt
.
(That is,the sour e term would beintegrated alongthe ontrolled traje tories.)
Repla ingthe rst-orderoperatorbyase ond-order oneisa tuallymu h moredi ultto understand. To do so, the rst point onsists in going ba k to the frozen problemwithout any optimization, i.e. to the ase when the diusion oe ient in (2.1) is given by some xed
a
∈ H
+
d
,and then in seeking for the right hara teristi sin that framework.Under this form, the problem is not well-posed. The whole point is the following: for a se ond-order operator, there are no true hara teristi s; the only possible way to obtain a losed formula for the solution onsists in introdu ing an additional parameter, i.e. some randomness, and then in onsidering random hara teristi s. This follows from some s ale fa tors: there isno way to balan e, in a single dierentiation,rst-order terms intime and in spa e and se ond-order terms in spa e. More pre isely, to balan e rst-order terms in time and se ond-order terms in spa e, the point is to introdu e some hara teristi s with unbounded variation and, in fa t, hara teristi s that are not absolutely ontinuous w.r.t. the Lebesgue measure. Randomnessmaybeuselessforthe onstru tionofsu htraje tories: as wewill see below, randomnesspermitsto get ridof some parasiti terms of orderone by a simpleintegration w.r.t. to the underlyingprobability measure.
The typi al ase is the purely Lapla e one. When
a
mat hes the identity matrixI
d
, the operatorTrace[D
2
z,¯
z
·]
admits the omplex Brownian motion of dimensiond
as random hara teristi . A tually,Trace[D
2
z,¯
z
·]
may be expanded inreal oordinates asTrace[D
2
z,¯
z
·] =
1
4
∆
x,x
+ ∆
y,y
,
so that it is equivalent to onsider the real Brownian motion of dimension
2d
as random hara teristi : Brownian motion is the right sto hasti pro ess asso iated with the heat equation.3. Brownian Motion
Werst explain what Brownianmotion is inthe simplest ase when the dimension is 1. 3.1. Gaussian Density. The onne tion between Brownian motion and heat equation is well-understood through the so- alled marginal laws, that is the laws of the positions of a Brownian motion at a given time. Re all indeed that the timespa e heat equation in dimension 1 (3.1)
D
t
u(t, x)
−
1
2
D
2
x,x
u(t, x) = 0,
(t, x)
∈ (0, +∞) × R,
with an initial ondition of the form
u(0,
·) = u
0
(
·)
admits assolution (say ifu
0
is bounded and ontinuous) (3.2)u(t, x) =
1
√
2πt
Z
R
u
0
(x
− y) exp −
|y|
2
2t
dy,
(t, x)
∈ (0, +∞) × R.
the Gaussian density of zero mean and of varian e
t
, i.e. the fun tiony
∈ R 7→
√
1
2πt
exp
−
|y|
2
2t
dy.
The density ishere said to be of zero mean and of varian e
t
sin e1
√
2πt
Z
R
y exp
−
|y|
2
2t
dy = 0
1
√
2πt
Z
R
y
2
exp
−
|y|
2
2t
dy = t.
(The se ond resultfollows froma simple hange of variable .)
Convolutionby aGaussiankernelmay beexpressed inasimpleprobabilisti way. Indeed, if
(Ω,
F, P)
denotes a omplete1
probability spa e and
(B
t
)
t≥0
a family of random variables (i.e. of measurable fun tions from(Ω,
F)
toR
endowed with its Borel sets) su h that, for anyt > 0
,B
t
has aGaussian density of zero mean and varian et
, i.e. (below,E
stands for the expe tation)∀f ∈ C
b
(R),
E
f (B
t
)
=
Z
Ω
f (X
t
(ω))dP(ω)
=
√
1
2πt
Z
R
f (y) exp
−
|y|
2
2t
dy,
andP
{B
0
= 0
} = 1
, then (3.3)u(t, x) = E
u
0
(x + B
t
)
,
t
≥ 0.
3.2. Dynami s. The onne tionwejustgavebetweenheatequationandGaussianvariables is a tually too mu h stati to be fully relevant. Nothing is said about the joint behavior of the variables
(B
t
)
t≥0
ones with others.To understandthe dynami s, weuse adis retizationartifa t. Assume indeedthat we are applying a nite dieren e numeri al s heme to solve heat equation (3.1). Spe i ally, for a small time step
∆t
and a small spatial step∆x
, assume that we are seeking for a family of reals(u
n,k
)
n∈N,k∈Z
approximating the true values(u(n∆t, k∆x))
k∈Z
. A ommons heme onsists indening(u
n,k
)
n∈N,k∈Z
through the iterativepro edure(3.4)
u
n+1,k
− u
n,k
∆t
=
1
2
u
n,k+1
+ u
n,k−1
− 2u
n,k
∆x
2
,
n
∈ N, k ∈ Z,
with
u
n,k
= u
0
(k∆x)
as initial ondition. Obviously, in the above equation, the left-hand side is understood as an approximation of the time-derivativeofu
and the right-hand side of itsse ond-order spatial derivative.We an write (3.4) as
u
n+1,k
= 1
−
∆t
∆x
2
u
n,k
+
∆t
∆x
2
u
n,k+1
+ u
n,k−1
2
.
1Choosing
∆t = ∆x
2
, we obtainthe simpler formula
(3.5)
u
n+1,k
=
u
n,k+1
+ u
n,k−1
2
,
n
∈ N, k ∈ Z
Repla enowtheapproximatingvalues
(u
n,k
)
k∈Z,n≥0
in(3.5)by the truequantitiesand writeu (n + 1)∆t, k∆x
≈
u n∆t, (k + 1)∆x
+ u n∆t, (k
− 1)∆x
2
= E
u(n∆t, k∆x + ∆x ε)
,
where
ε
is a random variable taking the values1
and−1
with probability1/2
. Noti e that it is possible to repeat the argument by approximatingu(n∆t,
·)
with a new expe tation ( omputed w.r.t. anew random variable,independent ofε
). Therefore,u (n + 1)∆t, k∆x
≈ E
u (n
− 1)∆t, k∆x + ∆x(ε
1
+ ε
2
)
,
where
ε
1
andε
2
are two independent random variables taking the values1
and−1
with probability1/2
. Iteratingthe pro edureN
times, we dedu e that(3.6)
u N∆t, k∆x
≈ E
u 0, k∆x + ∆x(ε
1
+ ε
2
+
· + ε
N
)
.
Clearly,the symbol
≈
is not reallymeaningful be ause of the numerous approximations we just performed. However, hoosing to simplifyk = 0
andN∆t = 1
, so that∆x = N
−1/2
sin e
∆t = ∆x
2
,we understandthat the randomvariable inthe right-handside in(3.6) has the form
N
−1/2
ε
1
+ ε
2
+
· + ε
N
.
CentralLimitTheoremsaysthatit onverges,intheweaksense,towardstheGaussianlawof zero mean and varian e1. (Here, weak onvergen e means weak onvergen e of probability measures.) In parti ular, passingto the limitin(3.6), we re over Eq. (3.3).
A tually,thisnon-rigorousargumentsays thatthe rightstru turefor
(B
t
)
t≥0
in(3.3) isof independent in rement type. Indeed, we understand that, on disjoint intervals, the under-lying variables(ε
n
)
n≥1
are asked to be independent. Moreover, the stru ture is stationary: randomness between times0
andt
− s
is the same in law as the randomness plugged into the system between timess
andt
. This says that the right hoi e for(B
t
)
t≥0
isDenition 3.1. A family of random variables
(B
t
)
t≥0
is a Brownian motion starting from0
if(1)
P
{B
0
= 0
} = 1
,(2) for any
n
≥ 1
, for anyt
0
= 0 < t
1
< t
2
<
· · · < t
n
, the in rementsB
t
1
,B
t
2
− B
t
1
,· · ·
,B
t
n
− B
t
n−1
are independent,(3) for any
0 < s < t
, the in rementB
t
− B
s
has a Gaussian law of zero mean and varian et
− s
.(4) with probability 1, the paths
t
≥ 0 7→ B
t
(ω)
are ontinuous.Thelast ondition isthe mostte hni alone: roughlyspeaking, itsays thatthedierential stru tureasso iatedwithBrownianmotionislo al. Add alsothat,bydenition,aBrownian motion startingfrom
x
is nothingelse butx
plus aBrownianmotion startingfrom0
.heat equation, the point isto ompute the innitesimalvariationof
(u(T
− t, B
t
))
0≤t≤T
, for a givenT > 0
,whereu
is given by (3.1). We here expand by Taylor'sformulau(T
− (t + h), B
t+h
− B
t
+ B
t
)
= u(T
− t, B
t
)
− D
t
u(t, B
t
)h + D
x
u(t, B
t
)(B
t+h
− B
t
)
+
1
2
D
2
x,x
u(t, B
t
)(B
t+h
− B
t
)
2
+
1
2
D
2
t,t
u(t, B
t
)h
2
− D
2
t,x
u(t, B
t
)(B
t+h
− B
t
)h + . . .
Expansion is given at least of order two: we aim to re over heat equation. (Moreover, it makes sense sin e
u
isregular away fromthe boundary.).A tually, it is enough to stop the expansion at order two: by denition of a Brownian motion,
E[(B
t+h
− B
t
)
2
] = h
; using a simple Gaussian argument, this result may be gen-eralized as
E
[(B
t+h
− B
t
)
2p
] = C
p
h
p
for any integerp
, the onstantC
p
being universal. In parti ular, the only term of order1
inh
among the derivatives of order two is the term in spatial derivatives. The others are of orderh
3/2
and
h
2
. Therefore, we write
u(T
− (t + h), B
t+h
− B
t
+ B
t
)
= u(T
− t, B
t
)
− D
t
u(t, B
t
)h + D
x
u(t, B
t
)(B
t+h
− B
t
)
+
1
2
D
2
x,x
u(t, B
t
)(B
t+h
− B
t
)
2
+ . . .
(3.7)
Here, we wish to repla e
(B
t+h
− B
t
)
2
by
h
. Using aGaussian argumentagain,E
(B
t+h
− B
t
)
2
− h
2
= 2h
2
.
Clearly, this does not show that the term
(B
t+h
− B
t
)
2
− h
is less than
h
. However, on the long run, the sum of the terms of this type, i.e.(3.8)
n−1
X
i=0
(B
t
i+1
− B
t
i
)
2
− h
2
for a subdivision
0 < t
1
< t
2
<
· · · < t
n
of stepsizeh
is a sum of independent random variables of varian e2h
2
. In the independent ase, the varian e is additive: the varian e of the sum is equal to
2nh
2
. Noting that
nh
is ma ros opi ,we understand that the a tion of this term is negligiblefroma ma ros opi pointof view.Thereader an he kthattheargumentstillholdswhenthequantity
D
2
x,x
u(t, B
t
)
isadded tosum asin (3.7).Finally,we write
u(T
− (t + h), B
t+h
− B
t
+ B
t
)
= u(T
− t, B
t
)
− D
t
u(t, B
t
)h + D
x
u(t, B
t
)(B
t+h
− B
t
)
+
1
2
D
2
x,x
u(t, B
t
)h + o(h)
when gettingrid of the negligibleterms),wewrite (3.9)
d
u(T
− t, B
t
)
= D
x
u(t, B
t
)dB
t
,
0
≤ t ≤ T,
Weemphasizethattheresultisnotzero! Saiddierently,thevariationof
(u(T
−t, B
t
))
0≤t≤T
isnotzero,asforequationsoforderone. A tually,understanding
D
x
u(t, B
t
)dB
t
asD
x
u(t, B
t
)(B
t+h
−
B
t
)
, wededu e from the independen e ofD
x
u(t, B
t
)
andB
t+h
− B
t
that the expe tation of the in rement iszero. Therefore,(u(T
− t, B
t
))
0≤t≤T
is onstant...inexpe tation.3.4. Dierential Rules. In the end, everything worksas if we had written
d
u(T
− t, B
t
)
=
−D
t
u(t, B
t
)dt +
1
2
D
2
x,x
u(t, B
t
)dB
t
2
+ D
x
u(t, B
t
)dB
t
,
and setdB
2
t
= dt
. We willuse this rule below.Theorem 3.2. [It'sformula℄ Let
(B
t
)
t≥0
areal Brownianmotion andf
a fun tionof lassC
1,2
([0, +
∞), R)
. Then, the innitesimalvariation of
(f (t, B
t
))
0≤t≤T
writesd
f (t, B
t
)
=
D
t
f (t, B
t
) +
1
2
D
2
x,x
f (t, B
t
)
dt + D
x
f (t, B
t
)dB
t
.
Said dierently, It's formula is a Taylor formula with onvention
dB
2
t
= dt
.4. Sto hasti Integral
Wehereexplain thebasi steps ofthe onstru tionof the sto hasti integral. Spe i ally, the problemis to give ameaning, from ama ros opi point of view, to the term
(4.1)
D
x
u(t, B
t
)dB
t
,
in the statementof Theorem 3.2.
4.1. Heuristi s. Under ama ros opi form,the termin(4.1) readsasasto hasti integral
Z
T
0
D
x
u(t, B
t
)dB
t
.
ThisintegralisnotdenedintheLebesguesense: Brownianmotionpathsarenotofbounded variation. However, it maybeunderstood in aspe i way, as the limit(ina ertain sense) of some Riemannsums. Indeed, the integralis understood asthe
L
2
limitof the sum
n−1
X
i=0
D
x
u(t
i
, B
t
i
) B
t
i+1
− B
t
i
,
where
0 = t
0
< t
1
<
· · · < t
n
is a subdivision of[0, T ]
of (say uniform) stepsize, equal toT /n
.Dene now the pro ess (i.e. a family of randomvariables depending ontime)
α
n
t
=
n−1
X
i=0
Z
T
0
α
n
t
dB
t
:=
n−1
X
i=0
D
x
u(t
i
, B
t
i
) B
t
i+1
− B
t
i
.
As we already said, this term is of zero expe tation. The varian e is equal to
E
Z
T
0
α
n
t
dB
t
2
=
n−1
X
i=0
E
D
x
u(t
i
, B
t
i
)
2
|B
t
i+1
− B
t
i
|
2
+ 2
X
0≤i<j≤n−1
E
D
x
u(t
i
, B
t
i
)D
x
u(t
j
, B
t
j
) B
t
i+1
− B
t
i
B
t
j+1
− B
t
j
.
Intherstsum,wemaytakeadvantageoftheindependen eof
B
t
i+1
−B
t
i
andB
t
i
tosplitthe expe tations. Similarly, in the se ond sum, the expe tation ofB
t
j+1
− B
t
j
may beisolated: it isequal to0
. Therefore,E
Z
T
0
α
t
n
dB
t
2
= h
n−1
X
i=0
ED
x
u(t
i
, B
t
i
)
2
= E
Z
T
0
(α
t
n
)
2
dt.
Said dierentily, we just built an isometry between
L
2
(Ω,
F, P)
and
L
2
([0, T ]
× Ω, B(R) ⊗
F, dt ⊗ P)
. Itiswell-seenthatthe sequen e(α
n
t
)
0≤t≤T
onverges (atleast pointwise)towards(D
x
u(t, B
t
))
0≤t≤T
. It may be assumed to be bounded if the initial onditionu
0
in (3.1) is Lips hitz. Therefore, ithas alimitinL
2
([0, T ]
× Ω, B(R) ⊗ F, dt ⊗ P)
and, thus, is Cau hy. As a onsequen e, the sequen e
Z
T
0
α
n
t
dB
t
0≤t≤T
is Cau hy inL
2
(Ω,
F, P)
as well. It is onvergent: by denition, the limit is the sto hasti integral
Z
T
0
D
x
u(t, B
t
)dB
t
.
4.2. Constru tion. [The reader may skip this part.℄ A tually, the pro edure may be gen-eralized to integrate more general sto hasti pro esses. To do so, we rst spe ify some elements of the theory of sto hasti pro esses (keep in mind that
(Ω,
F, P)
stands for a omplete probability spa e):Denition 4.1. We all a ltration any non-de reasingfamily
(
F
t
)
t≥0
of subσ
-elds ofF
. In pra ti e, a ltration stands for the available information by observation of the events o ured between the initial and present times. In what follows, ltrations are assumed to be right- ontinuous, i.e.∩
ε>0
F
t+ε
=
F
t
and omplete, i.e. ontaining sets of zero measure. This is ne essary tostate some fundamentalresults for sto hasti pro esses.Denition 4.2. A pro ess
(X
t
)
t≥0
issaidto be adapted w.r.t. altration(
F
t
)
t≥0
if, for anyDenition 4.3. A Brownian motion
(B
t
)
t≥0
issaid to be an(
F
t
)
t≥0
-Brownian motion if it isadapted w.r.t.(
F
t
)
t≥0
and if, for any(t, h)
∈ R
2
+
, thein rementB
t+h
− B
t
isindependent ofF
t
. For instan e, a Brownian motion(B
t
)
t≥0
is always a Brownian motion w.r.t. its natural ltration(4.2)
F
t
= σ(B
s
, s
≤ t) ∨ N , t ≥ 0.
Here,
σ(B
s
, s
≤ t)
stands for the smallest ltration for whi h the variables(B
s
)
0≤s≤t
are measurableandN
for the olle tion of sets of zero-measure.Weare now inpositionto generalize the denition of the sto hasti integral:
Denition 4.4. A simple pro ess w.r.t. to the ltration
(
F
t
)
t≥0
is a pro ess of the formH
t
=
n−1
X
i=0
H
i
1
(t
i
,t
i+1
]
(t),
whereH
i
is a square-integrableF
t
i
-measurable random variable and0 < t
1
< t
2
<
· · · < t
n
. Then, the sto hasti integral is(4.3)
Z
+∞
0
H
t
dB
t
=
n−1
X
i=0
H
i
B
t
i+1
− B
t
i
.
Using, as above,the independen e of
H
i
and of
B
t
i+1
− B
t
i
, we an show thatE
Z
+∞
0
H
t
dB
t
2
= E
Z
+∞
0
H
t
2
dt.
As announ edabove,the integral denes anisometry. Bydensity, we an extendthe deni-tion of the integralto the lass of so- alledprogressively-measurable pro esses:
Denition 4.5. A pro ess
(H
t
)
t≥0
is saidto be progressively-measurable w.r.t. the ltration(
F
t
)
t≥0
if, at any timeT
≥ 0
, the joint mapping(t, ω)
∈ [0, T ] × Ω 7→ X
t
(ω)
is measurablefor the produ t
σ
-eldB([0, T ]) ⊗ F
T
. Given a progressively-measurablepro ess su h thatE
Z
+∞
0
H
t
2
dt < +
∞,
thereexistsasequen e
(H
n
t
)
t≥0
ofsimplepro esses onverginginL
2
([0, +
∞)×Ω, B([0, +∞))⊗
F, dt ⊗ P)
towards(H
t
)
t≥0
so thatZ
+∞
0
H
s
dB
s
exists as a limit inL
2
(Ω,
F, P)
of a Cau hysequen e. It satises It's isometry, i.e.
E
Z
+∞
0
H
s
dB
s
2
= E
Z
+∞
0
H
s
2
ds.
The notionof progressive-measurability isne essary: as the isometryproperty shows, the pro essisseen asjointfun tionoftimeand randomness. Asexample,itmaybeproven that any (left-or right-) ontinuous adapted pro ess isprogressively-measurable.
4.5 and
Z
T
0
D
x
u(t, B
t
)dB
t
,
we understand the above sto hasti integral as
Z
+∞
0
1
(0,T ]
(t)D
x
u(t, B
t
)dB
t
.
Below, weuse the rst writingonly. Goingba k to(3.9), we nallywrite(repla ing
(B
t
)
t≥0
by(x + B
t
)
t≥0
),for allt
≥ 0
,(4.4)
u(T
− t, x + B
t
) = u(T, x) +
Z
t
0
D
x
u(T
− s, x + B
s
)dB
s
.
This writing is a bit awkward be ause of the time reversal. To obtain a straightforward probabilisti formulation,itturnsout tobeeasiertosetEq. (3.1)inaba kward senseitself, i.e. with a terminal boundary ondition. A tually, in the spe i ase of Monge-Ampère, this has noreal inuen e sin e the equation is stationary.
However, weunderstandfromEq. (4.4)howitmay beusefultoseethe sto hasti integral as a pro ess, indexed by the upper integration bound. A tually, it is not so easy to do: the integral being dened as anelement of
L
2
(Ω,
F, P)
, it is dened up to an event of zero measure only. To let the upper integration bound vary, it is ne essary to hoose a suitable version atea h time:
Proposition 4.6. Given a progressively-measurable sto hasti pro ess
(H
t
)
t≥0
w.r.t. a l-tration(
F
t
)
t≥0
su h that∀t ≥ 0, E
Z
t
0
H
s
2
ds < +
∞,
it is possible to hoose for any
t
≥ 0
a version of the sto hasti integralZ
t
0
H
s
dB
s
=
Z
+∞
0
1
]0,t]
(s)H
s
dB
s
,
su h that the pro ess
Z
t
0
H
s
dB
s
t≥0
be of ontinuous paths. (That is, is ontinuous
ω
byω
.)Noti e that the ontinuity property is well-understood in (4.4) sin e the left-hand side therein is ontinuous.
4.4. Martingale Property. There is another remarkable property of the sto hasti inte-gral: it is of zero expe tation. Said dierently,taking the expe tationin (4.4) when
t = T
, we obtainu(T, x) = E
u
0
(x + B
T
)
.
This is nothingbut the representation announ edin (3.3): this representation is referredas Feynman-Ka formula.
ofamore generalproperty: thesto hasti integralisamartingale. Themartingaleproperty is aproje tive property based upon the notionof onditinal expe tation:
Denition4.7. An adapted pro ess
(M
t
)
t≥0
w.r.t. altration(
F
t
)
t≥0
is alled a martingale if it isintegrable at any time and∀0 ≤ s ≤ t, E
M
t
|F
s
= M
s
.
In parti ular, a martingalehas a onstant expe tation.
Go now ba k to Denition 4.4. Considering (4.3), we noti e, with the same notations, that
Z
t
j
0
H
r
dB
r
=
j−1
X
i=0
H
i
(B
t
i+1
− B
t
i
),
for0
≤ j ≤ n
. By onditioning w.r.t.F
t
j−1
, weobtainE
Z
t
j
0
H
r
dB
r
|F
t
j−1
=
j−2
X
i=0
H
i
(B
t
i+1
− B
t
i
) + E
H
j−1
(B
t
j
− B
t
j−1
)
|F
t
j−1
,
sin e the
j
− 1
rst terms are measurable w.r.t. theσ
-eldF
t
j−1
. Examinate now the remainingpart: weknowthatH
j−1
ismeasurablew.r.t.
F
t
j−1
andthatthein rement(B
t
j
−
B
t
j−1
)
isindependentofF
t
j−1
. Therefore,theprodu tofbothisorthogonaltoL
2
(Ω,
F
t
j−1
, P)
: the onditional expe tationis zero. Finally,E
Z
t
j
0
H
r
dB
r
|F
t
j−1
=
Z
t
j−1
0
H
r
dB
r
.
The argument isa tually true for any onditioning by
F
t
ℓ
,0
≤ ℓ ≤ j − 1
. Moreover, noting thatany pair(s, t)
,0
≤ s ≤ t
, maybeunderstoodasasubsetofthe subdivision{t
0
, . . . , t
n
}
, we obtainthatE
Z
t
0
H
r
dB
r
|F
s
=
Z
s
0
H
r
dB
r
,
for any
s
andt
. By adensity argument,we dedu eProposition4.8. Givenaprogressively-measurablepro ess
(H
t
)
t≥0
w.r.t. altration(
F
t
)
t≥0
and satisfying∀t ≥ 0, E
Z
t
0
H
2
s
ds
< +
∞,
the sto hasti integral
Z
t
0
H
s
dB
s
t≥0
is a martingale w.r.t.(
F
t
)
t≥0
.zero mean and a martingale. A tually, a martingale is a pro ess whose expe tation is zero when stopped atany suitable randomtimes, alled stopping times.
Here is the denition (together with an example):
Denition 4.9. Given a ltration
(
F
t
)
t≥0
, a random variableτ
with non-negative (but pos-sibly innite) values is alled a stopping-time if∀t ≥ 0, {τ ≤ t} ∈ F
t
.
As an example, a ontinuous and adapted pro ess
(X
t
)
t≥0
w.r.t. a ltration(
F
t
)
t≥0
and a losed subsetF
⊂ R
, the variableτ := inf
{t ≥ 0 : X
t
∈ F },
is a stopping time (the inmum being set as
+
∞
isthe set is empty). Stopping times are really useful be ause of the followingDoobTheorem:Theorem 4.10. Given a martingale
(M
t
)
t≥0
w.r.t. a ltration(
F
t
)
t≥0
and a stopping timeτ
,(M
t∧τ
)
t≥0
isalso a martingale (w.r.t. the same ltration). (Heret
∧ τ = min(t, τ)
.) In parti ular, ifτ
is bounded by someT
, thenE
[M
τ
] = E[M
T ∧τ
] = E[M
0
]
.In the above statement,
t
∧ τ
, for some deterministi timet
, is a stopping time again. Indeed, we let the reader he k that the minimum of twostopping times is a stoppingtime as well.Below, we willalsomake use of the following version of Doob's theorem:
Theorem 4.11. For a ltration
(
F
t
)
t≥0
and a stopping timeτ
(w.r.t.(
F
t
)
t≥0
), we allσ
-eld of events o ured before timeτ
, theσ
-eldF
τ
:=
A
∈ F : ∀t ≥ 0, A ∩ {τ ≤ t} ∈ F
t
.
Then, for a martingale
(M
t
)
t≥0
w.r.t.(
F
t
)
t≥0
and for another stopping timeσ
≥ τ
,∀t ≥ 0, 1
{τ ≤t}
E
M
σ∧t
|F
τ
= 1
{τ ≤t}
M
σ∧t
.
(Again,itisaneasyexer i eto he kthat
{τ ≤ t}
isinF
τ
. Indeed,F
τ
mustbeunderstood as the olle tionof events for whi h it may be de ided if they have o ured or not at timeτ
.)5. Probabilisti Writing of Monge-Ampère
Wenow go ba k to Se tion 2. In order to givea probabilisti representation of (2.1), we rst investigatethe probabilisti writing of the solutionto the Diri hletproblem
(5.1)
Trace
aD
z,¯
2
z
u
(z) = f (z),
z
∈ D,
with the boundary ondition
u(z) = g(z)
,z
∈ ∂D
, the non-negative Hermitian matrixa
being given.Trace
aD
x,x
2
u
(x) + f (x) = 0,
x
∈ D ; u(x) = g(x), x ∈ ∂D,
the matrix
a
being real, symmetri and non-negative. Obviously,in this writing,the oe- ientsf
andg
together with the domainD
are supposed tobeof real stru ture.In the ase when
a
is equal tothe identity matrix, the pro ess asso iatedwith the dier-entialoperatorTrace[D
2
x,x
·]
is (up toamultipli ative onstant)thed
-dimensional Brownian motion,as dened byDenition5.1. Apro ess
(B
1
t
, . . . , B
t
d
)
t≥0
withvalues inR
d
is alleda
d
-dimensional Brow-nian motion if ea h pro ess(B
i
t
)
t≥0
,1
≤ i ≤ d
, is a Brownian motion and if all of them are independent, i.e., for any time-indi es0 < t
1
<
· · · < t
n
,n
≥ 1
, the ve tors(B
1
t
1
, . . . , B
1
t
n
)
,. . .
,(B
d
t
1
, . . . , B
d
t
n
)
are independent.Generallyspeaking,thesto hasti integrationtheoryworksindimension
d
asindimension 1. Spe i ally, the point is to onsider a ommon referen e ltration: the natural hoi e onsistsinrepla ingB
s
in(4.2)by(B
1
s
, . . . , B
s
d
)
. Itisalsone essary toextendthedierential rules given inthe statement of Theorem 3.2 tothe multi-dimensional ase.Theorem 5.2. It's formula (or sto hasti Taylor formula) in Theorem 3.2 extends to the multi-dimensional setting. For a
d
-dimensional Brownian motion(B
t
= (B
1
t
, . . . , B
t
d
))
t≥0
and a fun tion
f
∈ C([0, +∞) × R
d
, R)
, the innitesimal variation of
(f (t, B
t
))
t≥0
expands asd
f (t, B
t
)
=
D
t
f (t, B
t
) +
1
2
d
X
i=1
D
x
2
i
,x
i
f (t, B
t
)
dt +
d
X
i=1
D
x
i
f (t, B
t
)dB
i
t
,
t
≥ 0.
Sket h of the Proof. We just providethe main idea. Generally speaking, the proof relies on the
d
-dimensional Taylor formula. The only problem is to understand how behave the innitesimal produ tsdB
i
t
dB
j
t
,1
≤ i, j ≤ d
. Obviously,dB
i
t
dB
t
i
= dt
for any1
≤ i ≤ d
. Wheni
6= j
,dB
i
t
dB
j
t
is set as0
. This denition may be understood by dis retizing the underlying dynami s with a mi ros opi stepsize. Indeed, if0 = t
0
< t
1
<
· · · < t
n
is atime-gridof stepsizeh
, we may omputeE
n−1
X
k=0
(B
t
i
k+1
− B
i
t
k
)(B
j
t
k+1
− B
j
t
k
)
2
,
as in(3.8).Theideaisthenthe sameasin(3.8). Variablesare learlyindependentand ofzero expe -tationso that theexpe tationof the squareof the sum is equal tothe sum ofthe varian es. Now, sin e
E[(B
i
t
k+1
− B
i
t
k
)
2
(B
j
t
k+1
− B
j
t
k
)
2
] = h
2
, the sum is equal to
nh
2
. It is thus mi ro-s opi at the ma ros opi level a ording to the same argument as in (3.8). Ma ros opi
ontributions of the rossed terms are therefore zero.
We now provide an example of appli ation. (In what follows, we will write
B
t
for(B
1
When
a = (1/2)I
d
andf
andg
are regularenough(sayf
is Hölder ontinuous andg
has Hölder ontinuousse ond-order derivatives), itiswell-known thatthe realDiri hlet problem1
2
∆u(x) + f (x) = 0,
x
∈ D ; u(x) = g(x), x ∈ ∂D,
has a unique lassi alsolution,with bounded derivatives. For
x
∈ D
,we write the innites-imaldynami s of(u(x + B
t
))
t≥0
. We obtaindu(x + B
t
) =
d
X
i=1
D
x
i
u(x + B
t
)dB
i
t
+
1
2
d
X
i=1
D
2
x
i
,x
i
u(x + B
t
)dt
=
d
X
i=1
D
x
i
u(x + B
t
)dB
i
t
− f(x + B
t
)dt.
(5.2)On the ma ros opi s ale, we obtain(with
B
0
= 0
)u(x + B
t
) = u(x)
−
Z
t
0
f (x + B
s
)ds +
d
X
i=1
Z
t
0
D
x
i
u(x + B
t
)dB
i
t
.
This writing is a tually unsatisfa tory: it holds when
x + B
t
belongs toD
only; otherwise, it ismeaningless. To makethings rigorous, weintrodu ethe stoppingtime:τ
x
:= inf
t
≥ 0 : x + B
t
∈ D
∁
.
Weare then able towrite
u(x + B
t
)
= u(x)
−
Z
t
0
f (x + B
s
)ds +
d
X
i=1
Z
t
0
D
x
i
u(x + B
t
)dB
i
t
,
0
≤ t ≤ τ
x
.
We emphasize that the martingale term is well-dened sin e the gradient is bounded. (At-ually, for what follows, it would be su ient that the gradient be ontinuous inside
D
and thus bounded on every ompa t subset ofD
.) Taking the expe tation at timet
∧ τ
x
and applying Doob's Theorem de Doob4.10, we obtain
(5.3)
E
u(x + B
t∧τ
x
)
= u(x)
− E
Z
t∧τ
x
0
f (x + B
s
)ds.
Wethen intend to let
t
tend to the innity. This is possible ifE[τ
x
] < +
∞
. Theorem 5.3. For any
x
∈ D
, deneτ
x
as
τ
x
:= inf
{t ≥ 0 : x + B
t
∈ D
∁
}
. Then, for anyx
∈ D
,E
[τ
x
] < +
∞
.
In parti ular, if
f
is Hölder ontinuous onD
andg
has Hölder ontinuous se ond-order derivatives in the neighborhoodofD
¯
, then the solutionu
to the Diri hlet problem1
2
∆u(x) + f (x) = 0,
x
∈ D ; u(x) = g(x), x ∈ ∂D,
admits the followingFeynman-Ka representation
u(x) = E
g(x + B
τ
x
) +
Z
τ
x
0
f (x + B
s
)ds
.
Proof. It is su ient to prove
E[τ
x
] < +
∞
. Feynman-Ka formulathen follows by letting
t
to+
∞
in (5.3). To proveE[τ
x
] < +
∞
, we use the non-degenera y property of the identity matrix in one arbitrarily hosen dire tion of the spa e. Compute indeed
d
|x + B
t
|
2
= d
X
d
i=1
|x
i
+ B
t
i
|
2
=
d
X
i=1
2(x
i
+ B
t
i
)dB
t
i
+ (dB
t
i
)
2
= 2
d
X
i=1
(x
i
+ B
t
i
)dB
t
i
+ d dt.
Takeexpe tationattime
t
∧ τ
x
. Sin e
D
is bounded, we obtainsup
t≥0
E
t
∧ τ
x
< +
∞.
By monotonous onvergen e Theorem, we omplete the proof.
Whenthe identitymatrix isrepla ed byanon-zerosymmetri matrix
a
,Brownianmotion is repla ed by the pro ess(5.4)
X
t
:= x +
Z
t
0
σdB
s
,
t
≥ 0,
where
σ
is a square-rootofa
, i.e.σσ
∗
= a
. This writing must be understood as
X
t
i
= x
i
+
d
X
j=1
Z
t
0
σ
i,j
dB
s
j
,
t
≥ 0.
Following (5.2), we then obtain
(5.5)
du(X
t
) =
d
X
i=1
D
x
i
u(X
t
)dX
i
t
+
1
2
d
X
i,j=1
D
x
2
i
,x
j
u(X
t
)dX
t
i
dX
j
t
,
t
≥ 0.
Here,dX
i
t
=
P
d
j=1
σ
i,j
dB
j
t
and the dierentialrules have the formdX
t
i
dX
t
j
=
d
X
k,ℓ=1
σ
i,k
σ
j,ℓ
dB
t
k
dB
ℓ
t
=
d
X
k=1
σ
i,k
σ
j,k
dt = (σσ
∗
)
i,j
dt.
If
det(a)
6= 0
,wethenobtainananalogousrepresentationtotheoneobtainedfortheLapla e operator.Theorem 5.4. Considera positive symmetrix matrix
a
withσ
as square-root, i.e.a = σσ
∗
. For anyx
∈ D
, onsider(X
x
t
)
t≥0
as in (5.4) and setτ
x
:= inf
{t ≥ 0 : X
t
∈ D
∁
}
. Then,E[τ
x
] < +
∞
.Moreover,if