Martingale Representation and a Simple Proof of Logarithmic Sobolev Inequalities on Path Spaces

Mireille Capitaine (Universite Paul-Sabatier)
Elton P. Hsu (Northwestern University)
Michel Ledoux (Universite Paul-Sabatier)

Abstract


We show how the Clark-Ocone-Haussmann formula for Brownian motion on a compact Riemannian manifold put forward by S. Fang in his proof of the spectral gap inequality for the Ornstein-Uhlenbeck operator on the path space can yield in a very simple way the logarithmic Sobolev inequality on the same space. By an appropriate integration by parts formula the proof also yields in the same way a logarithmic Sobolev inequality for the path space equipped with a general diffusion measure as long as the torsion of the corresponding Riemannian connection satisfies Driver's total antisymmetry condition.

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Pages: 71-81

Publication Date: December 15, 1997

DOI: 10.1214/ECP.v2-986

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