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Stochastic Analysis on Manifolds
Elton P. Hsu, Northwestern University, Evanston, IL

Graduate Studies in Mathematics
2002; 281 pp; hardcover
Volume: 38
ISBN-10: 0-8218-0802-8
ISBN-13: 978-0-8218-0802-3
List Price: US$50
Member Price: US$40
Order Code: GSM/38
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See also:

Heat Kernel and Analysis on Manifolds - Alexander Grigor'yan

Probability theory has become a convenient language and a useful tool in many areas of modern analysis. The main purpose of this book is to explore part of this connection concerning the relations between Brownian motion on a manifold and analytical aspects of differential geometry. A dominant theme of the book is the probabilistic interpretation of the curvature of a manifold.

The book begins with a brief review of stochastic differential equations on Euclidean space. After presenting the basics of stochastic analysis on manifolds, the author introduces Brownian motion on a Riemannian manifold and studies the effect of curvature on its behavior. He then applies Brownian motion to geometric problems and vice versa, using many well-known examples, e.g., short-time behavior of the heat kernel on a manifold and probabilistic proofs of the Gauss-Bonnet-Chern theorem and the Atiyah-Singer index theorem for Dirac operators. The book concludes with an introduction to stochastic analysis on the path space over a Riemannian manifold.


Advanced graduate students, research mathematicians, probabilists and geometers interested in stochastic analysis or differential geometry; mathematical physicists interested in global analysis.


"The purpose of this fine book is to explore connections between Brownian motion and analysis in the area of differential geometry, from a probabilist's point of view."

-- Zentralblatt MATH

Table of Contents

  • Introduction
  • Stochastic differential equations and diffusions
  • Basic stochastic differential geometry
  • Brownian motion on manifolds
  • Brownian motion and heat kernel
  • Short-time asymptotics
  • Further applications
  • Brownian motion and analytic index theorems
  • Analysis on path spaces
  • Notes and comments
  • General notations
  • Bibliography
  • Index
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