water

Article
Stochastic Approaches to Deterministic Fluid
Dynamics: A Selective Review
Ana Bela Cruzeiro
Departamento Matemática I.S.T. and Grupo de Física-Matemática University, Av. Rovisco Pais,
1049-001 Lisbon, Portugal; [email protected]




Received: 20 January 2020; Accepted: 13 March 2020; Published: 19 March 2020


Abstract: We present a stochastic Lagrangian view of fluid dynamics. The velocity solving the
deterministic Navier–Stokes equation is regarded as a mean time derivative taken over stochastic
Lagrangian paths and the equations of motion are critical points of an associated stochastic action
functional involving the kinetic energy computed over random paths. Thus the deterministic
Navier–Stokes equation is obtained via a variational principle. The pressure can be regarded as a
Lagrange multiplier. The approach is based on Itô’s stochastic calculus. Different related probabilistic
methods to study the Navier–Stokes equation are discussed. We also consider Navier–Stokes
equations perturbed by random terms, which we derive by means of a variational principle.

Keywords: Navier–Stokes equation; stochastic Lagrangian flows; stochastic variational principles;

stochastic geometric mechanics

1. Introduction
The dynamics of an incompressible viscous fluid is modeled by the Navier–Stokes equation,
a second order, nonlinear, partial differential equation describing the balance of mass and momentum
of the fluid flow. In the absence of external forces and considering a perfectly incompressible fluid,
the Navier–Stokes equation reads

∂
u + (u.∇)u = ν∆u − ∇ p (1)
∂t
where the velocity field u is required to satisfy the incompressibility condition divu = 0, the fluid
density being equal to 1. The constant ν denotes the kinematic viscosity and u the fluid velocity.
Moreover, the symbol p stands for the pressure within the fluid, and is yet another unknown in the
equation. Equation (1) has a huge number of applications in physics and engineering.
The Navier–Stokes equation is deterministic, but it is well known that some of its solutions seem
to exhibit random behavior, which might eventually provide an insight into the onset of turbulence
although from a purely mathematical point of view, the very important problem of existence and
smoothness of the solutions to Equation (1) remains largely unsolved to this day. In this article we will
review various ways of introducing randomness into the analysis of the solutions to Equation (1).
In Physics, the most famous deterministic equation hiding randomness is the Schrödinger
equation. There is no mathematical probability theory behind it, but there is manifestly randomness in
any Quantum Physics Lab. This puzzling situation did not prevent Quantum Theory to develop an
impressive corpus of techniques to control, in particular, the transition from (in principle differentiable)
solutions of classical equations of motion to some forms of randomness. Is it possible to draw an
analogy between this classical/quantum relation and the one between Euler and Navier–Stokes
equations? Of course the status of the two hydrodynamical equations are quite different from the

Water 2020, 12, 864; doi:10.3390/w12030864 www.mdpi.com/journal/water

Water 2020, 12, 864 2 of 20

above ones. Euler equation, although modeling only “dry water” (Von Neumann) is already quite
complicated. It does not seem, yet, to have proof that it does not produce singularities. But the
abovementioned analogy could, in particular, provide an insight into the onset of turbulence.
There are different ways to introduce randomness: uncertainty may have its origin in errors in
the initial conditions, for example. In this case statistical approaches are considered: one studies the
time evolution of some probability measure, supported on the relevant physical initial data. This is
part of the statistical approach to turbulence, initiated already in the 19th century (c.f, among many
others, [1,2]). Other various types of Langevin dynamics, using stochastic diffusion processes, have
been proposed to describe equilibrium and non-equilibrium dynamics as well as Kraichnan’s model
in turbulent advection (c.f, for instance, [3]). On the other hand uncertainty may be generated by
the chosen numerical model (we refer to [4] for a discussion on these issues in climate modeling,
see also [5]).
Another very popular way to introduce stochasticity is to perturb the Navier–Stokes equation
with random forces, so that stochastic partial differential equations then come into play. There is a
huge literature in this subject, after the pioneering mathematical work [6]. Stochasticity is typically
introduced at a Eulerian level, although some stochastic Lagrangian models of Langevin type (with
smooth Lagrangian trajectories and stochastic velocities) have also been considered in turbulence ([7]).
More recently stochastic advection by Lie transport was introduced by D.D. Holm in [8].
The resulting equations of motion are stochastic partial differential equations and the approach
is also Eulerian.
It would be impossible to mention here all stochastic approaches to fluid dynamics. We have only
chosen some topics and a few corresponding references. It is worthwhile to mention that there are
some interesting probabilistic representation formulae. Representing solutions of partial differential
equations as expected values of functionals of stochastic processes is a tradition in the field of stochastic
analysis and has also been considered for fluid dynamics. Very roughly speaking, we can find three
different approaches: the probabilistic representation of the vorticity field as in [9], the analysis through
branching processes and the Fourier transform as in [10] and that using Lagrangian diffusion processes
as in [11].
On the other hand, in this paper, we are concerned with variational principles for deterministic
dissipative fluid dynamics, and a brief state-of-the-art review follows. There are relatively few
references on the special stochastic view of deterministic fluid dynamics advocated here. The oldest
we know are [12,13], where the Laplacian term of the Navier–Stokes equation was interpreted, quite
informally, as the presence of an underlying Brownian motion. In the famous paper [14], as well as in
[15,16], a rigorous geometric strategy for the Euler equation was developed. These geometric ideas
have been extended by us to the Navier–Stokes equation, together with the associated variational
principle, giving rise to a new stochastic geometric approach to dissipative dynamics. Recently, [17,18],
more physical-oriented works, were influenced by references [12,13] and also by our work.
The review paper presented here is, of course, very selective, not in terms of the qualities of quoted
references, but in terms of their perspectives, in relation with the interplay between deterministic and
stochastic viewpoints. We apologize to the many authors whose important works we were not able to
describe here. We hope, however, to describe a special viewpoint in a consistent manner.
In a nutshell, the goal of this review is to show that probabilistic methods play a central role in
the study of the deterministic Navier–Stokes equation, both from a conceptual and a practical point of
view. Indeed, on the one hand the solutions to that equation satisfy stochastic variational principles.
On the other hand, since the solutions to the Navier–Stokes equation may be interpreted as drifts of
diffusion processes, one may import many techniques from stochastic analysis to investigate them.
Those techniques include the use of stochastic differential equations, of forward–backward stochastic
systems and of related numerical techniques.
Water 2020, 12, 864 3 of 20

2. Results
As a dissipative system, there are well known obstructions if we want to derive the classic
Navier–Stokes equation from a deterministic variational principle. Allowing the Lagrangian paths to be
random and using Itô differential calculus (c.f [19]), we show how we can still derive the Navier–Stokes
equation, without any randomness in the external forces, from a (stochastic) variational principle,
where the Lagrangian functional is still the classic one, but computed over random Lagrangian
trajectories. In some sense, the equation can be regarded as a generalized geodesic equation defined in
some suitable space and the variational principle reduces to Hamilton’s principle for the incompressible
Euler equation when the viscosity vanishes. Our variational approach can be extended in order to
consider stochastic Navier–Stokes equations as well.
After recalling Arnold’s variational approach to the Euler equation, we describe in Section 4 two
stochastic variational principles for the Navier–Stokes equation. The first is a “direct” generalization
of Arnold’s variational principle to the viscous case, the viscosity being associated with the random
behavior of the particles. Incompressibility is incorporated in the definition of their trajectories.
The second imposes incompressibility via a Lagrange multiplier.
Having justified our approach of Navier–Stokes equation using stochastic Lagrangian paths,
Section 5 is devoted to several possible mathematical methods to study such paths. We can use
the theory of forward–backward stochastic differential equations: this is explained in Section 5.1.
We can also use entropy methods, since our action functional is essentially given by an entropy
quantity. A notion of weak solutions, in the spirit of Brenier’s work for the Euler equation and of
optimal transport theory, allows us to consider cases where other methods are not accessible by
lack of regularity. In Section 6 we describe some stability properties of the Navier–Stokes stochastic
Lagrangian flows. The following paragraph is devoted to stochastic perturbations of the Navier–Stokes
equation: we show that they can also be derived from a variational principle. Other equations and
methods are mentioned in Section 8, as well as some future research problems. Finally a brief appendix
contains basic notions of Itô stochastic calculus that are used in this paper.

3. The Non Viscous Case

As pointed out by Arnold ([14]), the incompressible Euler equation, corresponding to the case
where the viscosity of the fluid is equal to zero, is an equation of geodesics on a suitable (infinite
∂
dimensional) space of functions. If we consider Lagrangian paths g(t, x ) such that ∂t g(t, x ) =
u(t, g(t, x )), with u solution of the Euler equation

∂
u + (u.∇)u = −∇ p, divu = 0, (2)
∂t
2
the acceleration ∂∂t g is equal to a gradient function and thus, at every time, orthogonal (for the L2 scalar
product) to vector fields of zero divergence. This means that, if we endow the space of diffeomorphisms
preserving the volume measure m of the underlying configuration space a structure of manifold, the
Lagrangian flows g(t, ·) will be geodesics in such a manifold since its tangent space will consist of
divergence free vector fields. In particular they will be critical points of the action functional defined
by the kinetical energy:
Z TZ Z T
1 1
S[ g] = | ġ(t, x )|2 dm( x )dt = k ġ(t)k2L2 (dm) dt. (3)
2 0 2 0

More precisely, Arnold showed that the Euler equation above corresponds to the equation
of the geodesic flow of the (right-invariant) L2 metric on the group of diffeomorphisms of the
underlying configuration space that preserve the volume measure and have a certain Sobolev regularity.
∂
The velocity can be recovered from the Lagrangian flow: u(t, x ) = ( ∂t gt )( gt−1 ( x )).
Water 2020, 12, 864 4 of 20

This program was rigorously developed in [15] and geodesics were shown to exist locally and
under certain regularity restrictions on the initial conditions. Moreover the information on the
geometry of the problem had important consequences, for instance in describing the chaotic behavior
of Euler Equation (c.f [16]) and its consequences for weather prediction. Instability of the geodesic
Euler flows can be described in terms of the sectional curvatures of the group of volume preserving
diffeomorphisms. Explicit estimates for the curvatures, being non positive, show that, essentially,
the weather is unpredictable.
Notice that this is a special case of Lagrangian system treated in Geometric Mechanics via
variational principles on Lie groups ([20]). Indeed the space of volume preserving diffeomorphisms
has also a group structure for the composition of maps and the L2 metric is right-invariant.

4. The Deterministic Navier–Stokes Equation

The situation concerning variational principles for the Navier–Stokes equation is radically
different since, contrary to the Euler one, this system is dissipative. Our approach describes dissipation
through an introduction of noise in the Lagrangian trajectories. We replace deterministic Lagrangian
paths by semimartingales of the form

dξ t ( x ) = dMt ( x ) + Dt ξ t ( x ), ξ 0 (x) = x (4)

where Mt is a martingale (for instance, a Brownian motion) and Dt ξ t denotes the bounded variation
part of the semimartingale. The use of the notation Dt is not an accident, since it corresponds to
a mean derivative in time (recall that, almost-everywhere, ξ t satisfying Equation (3) will not be
time-differentiable). Consider the definition of the generalized derivative Dt . Namely, for every
regular function F,
1
Dt F (t, ξ t ) = lim Et [ F (t + e, ξ t+e ) − F (t, ξ t )], (5)
e →0 e

where Et denotes the conditional expectation with respect to the past information of the process ξ.
Applying this definition to the identity function, and since the operator Dt vanishes when considered
on martingales, we see that Dt ξ t coincides with the drift of the process and can indeed be understood
as a regularized derivative. This notion has been known in Stochastic Analysis since its beginnings,
as it corresponds to the definition of the generator of the process ξ t , but it became more relevant in
dynamics with the works of Nelson [21].
When ξ takes values in a non-Euclidean space, notably a Riemannian manifold or a Lie group,
one can extend the definition of generalized derivative using parallel transport. In this paper we
will mainly consider the Euclidean setting. We denote the configuration space by O and, for now,
we assume that O has no boundary (case with periodic boundary conditions, for example).

4.1. Stochastic Geometric Mechanics Approach

We consider the space GV of bijective maps g : O → O which belong to L2 = L2 (dm) and keep
R R
the volume measure invariant, namely such that f ( g( x ))dm( x ) = f dm( x ) for every (continuous)
function f . This infinite dimensional space of maps has a group structure under composition and a
Riemannian one with respect to the L2 metric ([15]). The tangent space to the identity map consists
of vector fields on O with zero divergence. Moreover a simple covariant derivative can be defined:
for such two vector fields X and Y, ∇ X Y = Π(∂ X Y ) where ∂ is the usual Lie derivative and Π the
projection operator from L2 to divergence free vectors associated to the Helmholtz (or Hodge, according
to the source) decomposition.
The next result was proved in [22], then extended to Riemannian manifolds in [23] and formulated
on general Lie groups in [24].
Water 2020, 12, 864 5 of 20

We consider a stochastic action functional where the Lagrangian is the kinetic energy computed
on the generalized derivative of a semimartingale. The corresponding norm is the L2 one. More
precisely, for a GV -valued semimartingale ξ as in Equation (4) we define
Z TZ
1
S[ξ ] = E | Dt ξ t ( x )|2 dtdm( x ) (6)
2 0 O

where E means expectation with respect to the underlying probability. A particular class of such
semimartingales is the following. To a time dependent vector field with zero divergence u(t, ·),
t ∈ [0, T ], and belonging to L2 , we associate the stochastic differential equation (c.f [19], for example,
as a reference for Itô stochastic calculus, as well as the Appendix A in this article),
√
dgtu ( x ) = 2ν dWt + u(t, gtu ( x ))dt, g0u ( x ) = x (7)

where W is a standard Brownian motion. This equation defines a stochastic flow of maps on O that
belong to GV and satisfy Dt gtu = u(t, gt ).
Considering a simple Brownian motion may be regarded as oversimplifying. Actually one should
introduce martingales driven by vector fields modeling the correlations observed in the physical model
([8]). Typically Lagrangian paths are of the form

dgt = ∑ Hk ( gt )dWtk + u(t, gt )dt

k

where Hk are correlation eigenvectors and W k independent Brownian motions. Our approach covers
such cases ([22,24,25]) and we chose here a Brownian motion only to simplify the exposition.
We are interested in derivating S[ gu ]; in particular we want to consider variations of the paths
u
g for which the functional above is still well defined, i.e., they are still GV -valued semimartingales.
Consider the exponential type functions
Z t
et (ev)( x ) = x + e v̇(s, es (ev)( x ))ds
0

with e > 0 and where v(t, ·) is a smooth time dependent vector field such that v(0) = v( T ) = 0
and div v(t, ·) = 0 for every t ∈ [0, T ]. Notice that, up to the first order in e, we have et (ev)( x ) '
x + ev(t, x ). The variations of the paths gu (t) will be defined by left composition, since the functional
is right-invariant:

gtu,e = et (ev) ◦ gu (t)

We have, using Itô calculus,

√
dgtu,e = ∇et (ev)( gtu ) 2νdWt + [ėt (ev) + (u.∇)et (ev) + ν∆et (ev)]( gtu )]dt

By the definition of et (v),

 Z T Z 
d  u u u
S[e· (ev) ◦ g (·)] = E Dt g (t)( x ).Dt v( g (t)( x ))dm( x ) dt
de e=0 0

and by Itô’s formula,

Z Z Z
u u u u
d Dt g (t)( x ).v( g (t)( x ))dm( x ) = dDg (t)( x ).v( g u(t)( x ))dm( x ) + Dgu (t)( x ).dv( gu (t)( x ))dm( x )

Z
+ dDt gu (t)( x ).dv( gu (t)( x ))dm( x )
Water 2020, 12, 864 6 of 20

The last (Itô’s contraction) term is equal to

Z
2ν( (∇v ⊗ ∇u)( gu (t)( x ))dm( x ))dt

As v(0) = v( T ) = 0 this implies,

 Z T Z Z T Z
d  u u
S [ e · ( ev ) ◦ g (·)] = − E ( ( D t D t g ( t )( x ) dm ( x )) dt − 2νE ( (∇v ⊗ ∇u)( gu (t)( x ))dm( x ))dt
de e=0 0 0

On the other hand

∂
Dt Dt gu (t) = Dt u(t, gu (t)) = ( u + (u.∇)u + ν∆u)( gu (t)).
∂t
Therefore, using the invariance of the measure with respect to the process gu and integration by parts,
we obtain

 Z TZ  
d  u ∂ u
S [ e · ( ev ) ◦ g (·)] = − E ([ u + ( u. ∇) u − ν∆u ] .v )( t, g ( t )( x )) dm ( x ) dt
de e=0 0 ∂t

Z T Z 
∂
=− ([ u + (u.∇)u − ν∆u].v)(t, x )dm( x ) dt
0 ∂t
for every v with zero divergence, which means that ∂
∂t u + (u.∇)u − ν∆u is the gradient of
some function.
We have therefore the following

Theorem 1. Let u(t, ·) be a smooth time dependent divergence-free

√ vector field defined on [0, T ] × O . Let gu (t)
be a stochastic Brownian flow with diffusion coefficient 2ν and drift u (as in Equation (7)). Then gu is a critical
point of the energy functional S if and only if there exists a function p such that u(t) verifies the incompressible
Navier–Stokes Equation (1).

Remark 1. When O is a Riemannian manifold (say, without boundary), we can still define an action functional
of the form in Equation (6), but some more concepts are needed.

In that case the Itô differential of an O -valued semimartingale Y is defined by

·
Z 
dYt = P (Y )t d P (Y ) −
s
1
◦ dYs
0 t

where P (Y )t : TY0 M → TYt M is the parallel transport associated with the Levi–Civita connection along
t 7→ Yt . Alternatively, in local coordinates,
 
1 j
dYt = dYti + Γijk (Yt )dYt ⊗ dYtk ∂i
2

where Γijk are the Christoffel symbols of this connection.

If the semimartingale Yt has an absolutely continuous drift, we denote it by DYt : for every
R· R·
1-form α ∈ Γ( T ∗ O), the finite variation part of 0 hα(Yt ), dYt i is 0 hα(Yt ), DYt dti. We consider an
incompressible Brownian flow gu (t) with covariance a ∈ Γ( T O ⊗ T O) and time dependent drift
u(t, ·) ∈ Γ( T O). We assume that for all x ∈ O , a( x, x ) = 2νg−1 ( x ) for some ν > 0, where g denotes
the metric tensor of the manifold. Such incompressible flows are known to be well defined on compact
symmetric spaces and on compact Lie groups.
Water 2020, 12, 864 7 of 20

This means that

dgu (t)( x ) ⊗ dgu (t)(y) = a ( gu (t)( x ), gu (t)(y)) dt,

dgu (t)( x ) ⊗ dgu (t)( x ) = 2νg−1 ( gu (t)( x )) dt,

the drift of gu (t)( x ) is absolutely continuous and satisfies Dgu (t)( x ) = u(t, gu (t)( x )). Then, using the
same kind of variations as in the flat case, we derive (c.f [23]), from the energy functional

T
Z Z  
1
S( gu ) = E | Dgu (t)( x )|2 dm( x ) dt ,
2 0 O

the equation
∂
u + ∇u u = νLu − ∇ p
∂t
where L = dd∗ + d∗ d is the the Laplace–de Rham operator. We recall that when computed on forms and,
in particular, on vector fields, L differs from the usual Levi–Civita Laplacian by a Ricci curvature term.

4.2. Lagrange Multipliers Approach

Here we describe another stochastic variational principle for the Navier–Stokes equation, that
uses a Lagrange multiplier formulation. Its advantage is that it does not need to be formulated in the
space GV , since incompressibility is not incorporated in the definition of the flows, but given instead by
the multiplier condition. The problem becomes strictly finite-dimensional and variations of the paths
may be defined simply by shifts. It also allows us to consider domains with boundary. References for
the Lagrange multipliers approach are [26,27], where one can find detailed proofs. The first concerns
the case of a domain without boundary (more precisely the torus) and in the second one can find its
extension to a domain with boundary.
Let O be a domain with a regular boundary. We consider the Navier–Stokes equation with
Neumann boundary condition on [0, T ] × O , namely the condition ∇u.n = 0, where n denotes the unit
vector normal to the boundary. The stochastic Lagrangian flows can now take into account reflections
at the boundary of the domain and can be written,
√
dgt ( x ) = 2νdWt + u(t, gt ( x ))dt + n( gt ( x ))d`(t), g0 ( x ) = x ∈ Ō (8)
Rt
where `(t) = 0 1δO ( gs ( x ))d`(s) is the local time, representing the amount of time spent by the
diffusion process in the neighborhood of points in the boundary.
The action functional is defined as

1
Z T Z Z TZ
S( g, p) = E | Dt gt ( x )|2 dtdm( x ) + E p(t, gt ( x ))(det ∇ gt ( x ) − 1)dtdm( x ) (9)
2 0 0
:= S1 ( g, p) + S2 ( g, p) (10)

The extra term S2 corresponds to a Lagrange multiplier whose constraint forces the paths to keep
the volume measure preserved during the evolution (incompressibility condition). The variable p is
defined in the linear space L2 ([0, T ] × O). We consider variations of the form

gt (·) → gte (·) = gt (·) + eh(t, gt (·))

p(t, ·) → pe (t, ·) = p(t, ·) + eϕ(t, gt (·))

with h(t, x ) and ϕ(t, x ) deterministic and smooth, satisfying h( T, ·) = h(0, ·) = 0, h = 0 on ∂O .

Water 2020, 12, 864 8 of 20

Concerning S2 , we have,
 Z TZ
d  2 e e
S ( g , p ) = E ϕ(t, gt ( x ))(det ∇ gt ( x ) − 1)dtdm( x ) (11)
dε ε=0 0
Z TZ
+E (∇ p(t, gt ( x )).h(t, gt ( x ))(det ∇ gt ( x ) − 1)dtdm( x ) (12)
0
Z TZ 
d
+E p(t, gt ( x ))  det ∇( gt ( x ) + eh(t, gt ( x ))dtdm( x ) (13)
0 dε ε=0

Since ϕ is arbitrary we conclude from the first term of Equation (11) that critical points of the action
are volume-preserving diffeomorphisms (det ∇ gt ( x ) = 1) and therefore have divergence-free drifts. It
follows immediately that Equation (12) is also equal to zero. The computation of the third term gives
 Z TZ
d  2 e e
S ( g , p ) = − E (∇ p(t, gt ( x )). h(t, gt ( x )))dtdm( x ).
dε ε=0 0

Actually this last computation does not use stochastic calculus:

 
d  
−1 d 
 
det ∇( gt ( x ) + eh(t, gt ( x ))) = det ∇ gt ( x ) tr (∇ gt ( x )) ∇ gte ( x )
dε ε=0
 dε ε=0


= det(∇ gt ( x )) tr (∇ gt ( x ))−1 ∇(h(t, gt ( x ))) .

Since

∂i ( p(t, gt )(∇ gt )ij−1 h(t, gt ) j ) = ∂i ( p(t, gt ))(∇ gt )ij−1 h(t, gt ) j + p(t, gt )(∇ gt )ij−1 ∂i (h j (t, gt ))

+ p(t, gt )h j (t, gt )∂i (∇ gt )ij−1 ,

Z TZ
(13) = − E [∂i ( p(t, gt ))(∇ gt )ij−1 + p(t, gt )∂i ((∇ gt )ij−1 )]h j (t, gt ) det ∇ gt dtdx.
0
Notice that we already concluded that det ∇ gt = 1. On the other hand,

∑ ∂i (∇ gt )ij−1 = 0.
i

Indeed, derivating the equality det ∇ gt = 1, we get

∑(∇ gt )ij−1 ∂k ∂i gt = 0.
j
∂k det(∇ gt ) = tr (∇ gt )−1 ∂k (∇ gt ) =


i
j
Also, derivating equality (∇ gt )ij−1 ∂k gt = δik , we obtain

∑ ∂i (∇ gt )ij−1 ∂k gt + (∇ gt )ij−1 ∂i ∂k gt = 0;
j j

therefore
∑ ∂i (∇ gt )ik−1 = −
j

(∇ gt )ij−1 ∂k ∂i gt (∇ gt )− 1
jk = 0
i

and Z TZ
j
(13) = − E (∂i ( p(t, gt ( x )))(∇ gt ( x ))ij−1 )ht ( gt ( x )) det ∇ gt ( x ))dtdm( x )
0
Water 2020, 12, 864 9 of 20

Z TZ
= −E (∇ p(t, gt ( x )).h(t, gt ( x )))dtdm( x ).
0

We now look at the derivation of S1 . We can prove, using Itô calculus and similarly to the
computation in Section 4.1, that
 Z TZ
d  1 e e
S ( g , p ) = E < Dg T , h ( T, g T ) > − E < Dg 0 , h ( 0, g 0 ) > − E ( Dt Dt gt ( x ).h(t, gt ( x )))dtdx
dε ε=0 0

Z TZ
−E (dDt gt ( x ).dh(t, gt ( x )))dx.
0

Z TZ Z T
= −E ( Dt Dt gt ( x ).h(t, gt ( x )))dtdm( x ) − 2νE (∇u.∇h)(t, gt ( x ))dtdm( x )
0 0
∂
Using equality Dt Dt gt ( x ) = ( ∂t u + (u.∇)u + ν∆u + n∇u `(t))(t, gt ( x )) and integration by parts,
we deduce that
 Z TZ
d  1 e e ∂
S ( g , p ) = − E [(( u + (u.∇)u − ν∆u). h) + (n.∇u) h `(t)](t, gt ( x ))dtdm( x ).
dε ε=0 0 ∂t

Combining the expressions above for the variation of the action functional and using the
invariance of the volume measure for the flows, we obtain the following result,

Theorem 2. A diffusion gt of the form of Equation (8) and a function p are critical for the action functional in
Equation (9) if and only if the drift u(t, ·) of gt satisfies the Navier–Stokes equation

∂t u + (u.∇)u = ν∆u − ∇ p, div u(t, ·) = 0, ∇u.n = 0 in ∂O (14)

with t ∈ [0, T ].

5. Constructing Solutions of Navier–Stokes Equation by Probabilistic Methods

5.1. Forward–Backward Stochastic Differential Systems

The stochastic Lagrangian flows gt (·) obtained either via the geometric or the Lagrangian
multiplier approach described above satisfy an equation of Newton type. More precisely, on a
fixed time interval [0, T ] and after the change of time v(t, x ) = −u( T − t, x ), we have Dgt ( x ) =
−v( T − t, gt ( x )) and
Dt v(t, gt ( x )) = −∇ p(t, gt ( x )), g0 ( x ) = x (15)

or, regarded as an equation in the weak L2 sense,

Dt v(t, gt (·)) = 0, g0 = id. (16)

Formally, when the viscosity is zero, this is Arnold’s geodesic equation and ours can be seen, indeed,
as a generalized geodesic equation. Moreover, although we only consider in this paper an Euclidean
setting, the framework can be extended without essential difficulties to a general Riemannian manifold
or a Lie group ([23,24]).
How does one solve directly this equation of motion? One possible way is to characterize it
in terms of forward–backward stochastic differential systems, which are second order stochastic
equations (c.f the Appendix A). We have formulated the problem in [28] first, then solved it in [29,30]
for some specific function spaces and in two and three dimensions, respectively. The characterization
in terms of forward–backward stochastic differential equations has also the advantage that it may
Water 2020, 12, 864 10 of 20

allow to implement numerical methods, known for such systems (c.f for example, [31] and the recent
work [32]).
The forward–backward system solved by our stochastic Lagrangian flows can be written in
the form ( √
dgt = 2ν dWt + Yt dt
dYt = Zt dWt − ∇ p( gt )dt

together with a given initial condition for the forward equation (g0 = x) and a final condition for the
backward one, YT . It can be proved these type of systems are well posed and their solutions are of the
form Yt = Yt ( x ) = v(t, gt ( x ))(= −u(t, gt ( x ))) for some vector field v. We have,

Dt Yt = Dt Dt gt = −∇ p( gt )

(compare√with Equation (15)). Variable Z, although a priori unknown, is a posteriori determined and
equal to 2ν∇v( gt ).
To be more precise, let u be a solution of the Navier–Stokes equation in the time interval
t ∈ [0, T ] and assume that u is regular. Let gst ( x ) be the unique solution of the following stochastic
differential equation,
( √
dgst ( x ) = 2νdWs − u( T − s, gst ( x ))ds
gtt ( x ) = x,

with s > t. We define Yst ( x ) = u( T − s, gst ( x )), Zst ( x ) = ∇u( T − s, gst ( x )); applying Itô’s
formula directly, the following forward–backward stochastic differential system with solution
( gst ( x ), Yst ( x ), Zst ( x ), u(t, x ), p(t, x )) is derived,
 √

 dgst ( x ) = 2νdWs − u( T − s, gst ( x ))ds

 √
dYst ( x ) = 2νZst ( x )dWs − ∇ p( T − s, gst ( x ))ds


(17)


 Ytt ( x ) = u( T − t, x )

gtt ( x ) = x, YTt ( x ) = u0 ( gTt ( x ))



Recall also that the pressure satisfies the following identity

3
∆p(t, x ) = ∑ ∂i u j (t, x )∂ j ui (t, x ). (18)
i,j=1

On the other hand, if ( gst ( x ), Yst ( x ), Zst ( x ), u(t, x ), p(t, x )) is a solution of Equation (17) together
−t
with Equation (18) and u is regular enough, then the vector field u(t, x ) := YTT− t ( x ) satisfies the
Navier–Stokes equation for t ∈ [0, T ]. In particular, we can show that div u(t, x ) = 0 due to the
expression of p(t, x ) given by Equation (18).
In order to incorporate Equation (18) in the forward–backward system and obtain a closed system
of equations we proceed as follows. Denote by N the Newton’s potential in Rd , d ≥ 3, i.e., the operator
∆−1 which is given by
f (y)
Z
N f ( x ) = C (d) dy,
Rd | x − y | d −2

where C (d) is a constant depending on the dimension d. Then we can write Equations (17) and (18) as
 √
 dgst ( x ) = 2νdWs − u( T − s, gst ( x ))ds
√

  

dYst ( x ) = 2νZst ( x )dWs − ∇ N ∑i,j ∂i v j − ∂ j vi ( T − s, gst ( x ))ds


(19)


 Ytt ( x ) = u( T − t, x )

gtt ( x ) = x, YTt ( x ) = u0 ( gTt ( x )),


Water 2020, 12, 864 11 of 20

 
Using suitable L p bounds of the operator ∇ N ∑i,j ∂i v j − ∂ j vi we have constructed in [30] local
unique solutions of the system in Equation (19), and therefore of the Navier–Stokes equation, in some
Sobolev-type functional spaces in dimension d ≥ 3. The two-dimensional case was studied in a similar
way [29], but via the vorticity equation.
Such type of forward–backward differential equations were also studied on general Lie groups
in [33].

5.2. Entropy Methods

In a closely related recent work ([34]), we explored the fact that the stochastic kinetic energy
used here coincides in fact with a relative entropy, of the law of the diffusion process associated
with Navier–Stokes in relation to the Wiener law. Brenier’s relaxation of Arnold’s geodesic problem,
extended to the stochastic setting, becomes, in this sense, an entropy minimization problem.
Recall that the relative entropy of a probability measure Q on some measurable set X with respect
to a reference probability measure R on X is defined as
Z  dQ 
H ( Q| R) = log dQ
X dR
when Q is absolutely continuous with respect to R. What we have named the Brenier–Schrödinger
problem in [34] consists of the following. Consider X to be an Euclidean space and fix as reference
measure R as the law of the reversible Brownian motion on a time interval [0, T ], namely R =
R x x
X P dm ( x ) for P the law of a Brownian motion starting at x. The we look for a measure Q minimizing
the relative entropy H ( Q| R) under the constraint that Qt , the marginals at time t, are given, and that
the joint law at initial and final times, Q0T , is also given. In our case the relevant condition for the
marginals is the incompressibility condition Qt = m for all times.
This is a convex minimization problem reminiscent of the Schrödinger problem in Quantum
Mechanics ([35–37]) and, simultaneously, a generalization of a Monge–Kantarovich mass transportation
problem (c.f [38]).
The relation between the entropy problem and our stochastic variational one relies on the fact
that, by Girsanov’s theorem√(c.f for instance [19]), if the Lagrangian path is given by the stochastic
differential equation dgtu = 2νdWt + u(t, gtu )dt with initial condition R, and if Q denotes the law of
this stochastic process, we have
Z T
1
H ( Q | R ) = H ( Q0 | R ) + E |u(t, gtu )|2 dt
2 0
Therefore the entropy minimization problem corresponds to our stochastic variational principle,
described here in Section 4. We can use then tools of convex analysis, establish the existence of a
solution, consider a dual problem that provides the pressure term and exhibit Lagrange multipliers.
Since our solution is the law of a stochastic process which is absolutely continuous with respect to
the reference measure, one can write its Radon–Nikodym derivative and compare it to an alternative
expression obtained from convex duality. We find that the drifts of our Lagrangian flows, written
as velocity fields, have unusual properties: when stratified (conditioned to the arrival point of the
stochastic process), the backward velocity is the gradient of the solution to a Hamilton–Jacobi–Bellman
equation, while the pressure remains independent of the arrival point. We recover, with this method, a
structure that is analogous to Brenier’s stratified solutions in [39].

5.3. A Weak Notion of Navier–Stokes Solutions

One cannot expect that the stochastic variational approach will determine solutions of the
Navier–Stokes in full generality. It is already the case that geodesics associated with Euler equation
do not exist in some situations. The main difficulty is that the topology induced by the energy is not
strong enough to deal with the needed regularity of the Lagrangian maps. In order to overcome the
Water 2020, 12, 864 12 of 20

problem, Brenier has introduced a concept that he named “generalized solutions", replacing the notion
of geodesic path by a probability measure over geodesic paths, in the spirit of the Monge–Kantarovich
problem ([40]). An extension of Brenier’s framework to the stochastic Lagrangian setting (and in
particular to the Navier–Stokes equation) can be found in [41].
For the Euler equation, Brenier looked for probability measures P on the path space C ([0, T ]; O)
which minimize the energy functional

1
Z hZ T i
|γ̇(t)|2 dt dP(γ)
2 C ([0,T ];O) 0

with the incompressibility constraints (et )∗ P = dm( x ), where et : γ → γ(t) is the evaluation map.
A solution of such problem gives rise to a weaker type of Lagrangian flows for the Euler equation.
Indeed one can define a probability measure µ on [0, T ] × O 2 by

1
Z Z
f (t, x, v)dµ = f (t, γ(t), γ0 (t))dP(γ)dt
T C ([0,T ];O)

and µ solves the Euler equation in a weak sense, namely

Z
[v.w0 ( x )α0 (t) + v.(∇w( x ).v)α(t)]dµ(t, x, v) = 0

holding for all smooth test functions α(t) and every smooth divergence free vector field v. These
kind of weak solutions of partial differential equations is known as solutions in the sense of Di Perna
and Majda. √
In the viscous case, we consider O -valued semimartingales gt of the form dgt = 2νdWt + ut dt
(remark that the drift can be random) and their corresponding laws Pg on the path space C ([0, T ]; O):
for every cylindrical functional F,
Z Z hZ i
g g
F (γ(t1 ), ..., γ(tn ))dP (γ) = F ( gt1 ( x ), ..., gtn ( x ))dPx dm( x )
C ([0,T ],O) O C ([0,T ],O)

g g
where Pg = Px ⊗ dm( x ). Under Px , the semimartingale gt starts from x.
We say that the semimartingale gt is incompressible if, for each t > 0,
Z
EPg [ f ( gt )] = f ( x )dx, for all f ∈ C (O)
O

and we define the energy functional of a semimartingale g by the formula

Z T T
1 1
Z Z Z 
EPg ( | Dt g( x )|2 dt)dm( x ) = EPg |ut ( gt ( x ))|2 dt dm( x )
2 O x 0 2 O x 0

Considering suitably admissible variations we concluded in [41] that the semimartingales which
are critical points of the energy functional above solve the Navier–Stokes equation in the following
weak form: Z Z T
< ut , α0 (t)w + α(t) ∇w · ut − ν α(t)∆w > dtdm( x ) = 0 (20)
O 0
for all smooth functions of time α and all smooth vector fields w such that div(w) = 0. Moreover we
have showed that, in the case where O is the torus (corresponding to periodic boundary conditions)
and under certain additional assumptions, classical solutions of the Navier–Stokes are minimizers of
the energy action functional.
Water 2020, 12, 864 13 of 20

6. Stability Properties
In finite dimensions it is well known that the behavior of geodesics can be expressed in terms of
the curvature of the underlying manifold via the Jacobi equation.
Arnold’s approach to the Euler equation allowed to show, in many cases, that the curvature of
the spaces of diffeomorphisms is negative and therefore that the fluid trajectories are unstable (or
“chaotic”), i.e., their distance, starting from different initial conditions, grows exponentially during
time evolution (c.f [16]).
For viscous flows it is expected that particles become closer and closer after some possible initial
stretching. For our model, at least in the case of the two dimensional torus, we could show ([23]
and also [42]) that sensitivity with respect to initial conditions of the trajectories is enhanced by their
stochasticity. The behavior will depend of the choice of diffusion coefficients that we consider in the
Lagrangian paths or, in other words, on which scales and with what strength the motion is excited.
We have considered on the two-dimensional flat torus T = (R/2π Z)2 a Brownian motion of
the form
√
dBt = ∑ (k2 , −k1 ) νλk Ak dWtk
k ∈Z2

where A2k ( x ) = cos(2k.x ), A2k+1 ( x ) = sin((2k + 1).x ), k ∈ Z2 , x ∈ T. The coefficients λk have to

be such that the process B is well defined, which is achieved by assuming a certain decay at infinity
of those coefficients (see [22]). The Lagrangian stochastic processes associated to the Navier–Stokes
equation will be defined as in Equation (7), with Wt replaced by Bt .
Consider the following distance between trajectories:
Z
2
ρ ( g, g̃) = | g( x ) − g̃( x )|2 dm( x ).
T

By using Itô calculus we have deduced, in particular, that under the assumption that the Navier–Stokes
solution u satisfies ∇u(t, x ) ≤ c1 e−c2 t , we have an estimate for the distance between trajectories of
the form  c 
ρt ≥ ρs exp Zt + c3 t − 1 (1 − e−c2 t
c2
for s ≤ t, where Z is a 1-dimensional Brownian motion, c3 another constant which depends on the
coefficients λ.
The assumption on the gradient of u implies that the velocity decays to zero at exponential
rate. On the contrary the stochastic Lagrangian flows, describing the position of the fluid, get apart
exponentially, at least for short times. Moreover, by the explicit expression of the constant c3 ([23]),
we observe that the stochastic Lagrangian trajectories for a fluid with a given viscosity constant
tend to get apart faster when the higher Fourier modes (and therefore the smaller length scales) are
randomly excited.
We can also show how the rotation of two particles, when their distance is small, becomes more
and more irregular as time evolves, with explicit formulae in the torus case.

7. A Stochastic Navier–Stokes Equation

When we consider random forces, Navier–Stokes becomes a stochastic partial differential equation.
In this paragraph we formulate some of these type of equations by a variational principle, where the
action functional is suitably perturbed.
Water 2020, 12, 864 14 of 20

We define the action functional, which is now a random variable (in particular we remove the
expectation) with some extra stochastic terms in the Lagrangian, as
Z TZ Z TZ
1
Sω ( g, p) = | Dt gt ( x )|2 dtdm( x ) + p(t, gt ( x ))(det ∇ gt ( x ) − 1)dtdm( x ) (21)
2 0 0
Z TZ
g √ Z TZ
+ Dt gt ( x )dMt ( x )dm( x ) − 2ν Dt gt ( x )dWt dm( x ) (22)
0 0

where M g denotes the martingale part of the diffusion process g. We use the same variations as
in Section 4.2. The variation of the two extra terms gives
Z TZ √ √
[(h(t, gt ). 2νdWt ) + ( Dt gt .(∇h(t, gt ).dWt )) − (h(t, gt ). 2νdWt )]dm( x )
0

that reduces to
Z TZ Z T
v(t, gt ( x ).(∇h(t, gt ( x )).dWt )dx = v(t, x ).(∇h(t, x ).dWt )
0 0
Z T
=− ((∇v(t, x ).h(t, x )).dWt )
0
equality which holds for all h, P-almost surely.
Hence we obtain the following (c.f [25,26]),

Theorem 3. A diffusion gt of Equation (8) and a function p are critical for the action functional Sω if and only
if the drift u(t, ·) of gt satisfies the stochastic Navier–Stokes equation

√
dt u + (u.∇)udt = 2ν∇udWt + ν∆udt − ∇ pdt, div u(t, ·) = 0, ∇u.n = 0 in ∂O (23)

with t ∈ [0, T ].

The stochastic Navier–Stokes equation written above can also be regarded as a stochastic
perturbation of Euler equation in the sense that, replacing Itô differentials by Stratonovich ones,
Equation (23) is equivalent to
√
dt u + (u.∇)udt = 2ν∇u ◦ dWt − ∇ pdt, div u(t, ·) = 0, ∇u.n = 0 in ∂O
with t ∈ [0, T ] and where ◦d stands for Stratonovich differential.
We remark that much more general noises can be considered and that we have only chosen a
simple Brownian motion for simplicity. On the other hand the fact that we obtain a transport type
noise is intrinsically related to our model.
There are many references for stochastic partial differential equations which are perturbations of
Euler or Navier–Stokes. One can find in the recent work [5] a model where, as in our case, the noise is
multiplicative.
In a general Lie group framework a variational approach to stochastic partial differential equations
was developed in [25].

8. Other Equations, Methods and Discussion

The stochastic approach to Navier–Stokes described in this review can, in principle, be applied to
describe any second order perturbation of a conservative first-order ordinary differential equation,
when the latter is formulated in a suitable geometric way, as the Euler equation is formulated via a
Water 2020, 12, 864 15 of 20

geodesic equation. This is the case, for example, for the Camassa–Holm equation, the Hunter–Saxton
equation, the average Euler equation and the equations governing the motion of rigid bodies.
The viscous Camassa–Holm equation was studied in detail in [43]. It corresponds to replacing the
L2 (dm) metric, the energy in the Lagrangian, by the Sobolev H 1 metric and this equation reads

∂
v + (u.∇)v = ν∆v + ∑ ∇u j .∆u j − ∇ p, divu = 0
∂t j

where v = u − ∆u.
Compressible Navier–Stokes or viscous Magnetohydrodynamical equations, on the other hand,
have to be coupled with tracers (advected quantities) that need to be modeled by extra variables.
Mathematically one introduces, together with the Lie group for the Lagrangian flows, a semidirect
product vectorial structure (c.f [44]). We refer to [25] for a study of these various equations where
we use stochastic methods, and stress again the fact that we can derive such equations by means of
variational principles without any reference to thermodynamic considerations.
An extension of Arnold’s geometric framework, describing compressible fluid dynamics (and
other systems) with Newton’s equations on a space of probability densities, can be found in the
recent paper [45]. It reveals interesting connections with optimal transport and information theory,
in particular.
The construction of solutions as critical points of the stochastic action functionals does not
easily follow from the direct methods of the calculus of variations. We have instead indicated an
indirect approach based on forward–backward stochastic differential equations, but even there we
encountered many technical difficulties. Other possibilities are the use of entropy methods, as described
in Section 5.2, or the relaxation of the notion of solution (c.f Section 5.3).
For conservative dynamical systems, it is well known that one can take advantage of the
symmetries of such systems to reduce the complexity of the equations. Symmetries also play an
important role in the implementation of numerical algorithms designed to investigate the equations in
question. The natural objects to be introduced in order to replace constants of motion are martingales,
since a martingale M, by definition, is a quantity whose generalized derivative vanishes (Dt M = 0).
One can find a Noether theorem for a certain class of diffusion processes in [46]. We refer to [47] for a
brief discussion on symmetries in our context.
Finally, let us point out that numerical methods tied up with our probabilistic approach still have
to be developed.

Funding: This research was partly funded by FCT (Fundação para a Ciência e Tecnologia, Portugal),
grant “Schrödinger’s problem and Optimal Transport: a multidisciplinary perspective”, with reference
PTDC/MAT-STA/28812/2017.
Conflicts of Interest: The author declare no conflict of interest.

Appendix A. Some Basic Notions of Stochastic Calculus

We start by recalling the definition of a (R-valued) Brownian motion Wt , t ∈ [0, T ]. This is a
continuous stochastic process (namely, a function of time and of a random parameter in some standard
probability space (Ω, B , P)) that verifies the following properties:

(i) W0 = x;
(ii) Wt has independent increments;
(iii) For s < t, Wt − Ws has a normal distribution N (0, t − s).

A Rd Brownian motion corresponds to a collection of independent and identically distributed

copies of one dimensional Brownian motions. A Brownian motion is also called a Wiener process.
We generally omit the random variable in the notation when we write a stochastic process.
Water 2020, 12, 864 16 of 20

Suppose that the probability space is endowed with a filtration, namely an increasing family Pt
of sub σ-algebras of B . Typically each Pt represents the events that occur before a time t. A stochastic
process Mt is a (R-valued) martingale with respect to Pt if

(i) Mt is Pt -measurable for all t (we also say that Mt is adapted to Pt );

(ii) E| Mt | < +∞;
(iii) For s < t, Es ( Mt ) = Ms . Here E and Et denote respectively expectation and conditional
expectation with respect to Pt . Multidimensional martingales are defined analogously.

A real-valued Brownian motion can also be characterized as a martingale with continuous sample
paths such that, for all t, Wt2 − t is also a martingale.
When a martingale is (a.s.) continuous in time and satisfies the assumption E| Mt |2 < +∞,
we define its quadratic variation as the limit, in probability, of the sums

< M, M >t = ∑ ( Mt i +1 − Mt i ) 2
ti ,ti+1

when the mesh of the partition {ti } goes to zero. For a Brownian motion defined in [0, T ] and starting
from zero, this limit is equal to T. One defines the covariation between two martingales Mt and Nt as
the limit of the sums

< M, N >t = ∑ ( Mti+1 − Mti )( Nti+1 − Nti ).

ti ,ti+1

A stochastic process Xt is a semimartingale if, for every t it can be decomposed into a sum

X t = Mt + A t

of a martingale Mt and a process of bounded variation (or almost-surely differentiable) At , with

A0 = 0 a.s. The martingale part describes a diffusion, the bounded variation part an evolution which
is “similar” to a deterministic one. The quadratic variation of a semimartingale is, by definition, equal
to the quadratic variation of its martingale part.
Martingales and, in particular, Brownian motion, are (almost surely) never differentiable in time;
therefore one cannot integrate with respect to them with a Lebesgue–Stieltjes kind of integration. Itô
introduced a theory of stochastic integration, now named Itô’s stochastic calculus. The Itô’s integral is
defined by the following limit
Z t

0
X (s)dW (s) = lim ∑ X (ti )(Wti+1 − Wti ),
ti ,ti+1

the limit being taken in probability and when we consider partitions of the time interval [0, t] with mesh
converging to zero. Itô’s integral is well defined when Xt is a semimartingale such that E| Xt |2 dt < +∞.
Notice that the values of the integrand Xt are taken on the left point of the intervals [ti , ti+1 ].
Unlike in usual Lebesgue–Stieltjes integration, considering its values in any other point of these
intervals leads to completely different results. Another common and interesting way to define a
stochastic integral is the so-called Stratonovich integral:

1
Z

2 t∑
X (s) ◦ dW (s) = lim ( X (ti ) + Xti+1 )(Wti+1 − Wti ).
,t i i +1

Each type of integrals present its own advantages. Although Stratonovich integral demands more
regularity on the integrand in order to be well defined, it is a more intrinsic concept and more adapted
to be extended to semimartingales with values in curved spaces, for example. Also, as we shall write
below, the rules of differential calculus are analogous to the classical ones for these integrals (and
Water 2020, 12, 864 17 of 20

quite different for the Itô integral), which makes Stratonovich somehow popular in applications or in
Rt Rt
Physics. Nevertheless it turns out that 0 X (s)dW (s) is a martingale, where 0 X (s) ◦ dW (s) is not, in
general. More important for us, any martingale is in fact a stochastic Itô integral and therefore any
semimartingale can be decomposed into an Itô integral representing a diffusion, or a pure fluctuation,
and a bounded variation part that represents the mean dynamical content of the process. So even
though, when both integrals are defined, they are related by the following formula,
Z t Z t Z t
1
X (s) ◦ dW (s) = X (s)dW (s) + d < X, W >s ,
0 0 2 0
dynamics is better identified using Itô integration.
Rules of differentiation are given by the so-called Itô’s formula. If f is a regular function and Xt a
(Rd valued) semimartingale,

d Z t
1 d ∂2
Z t
∂
f ( X t ) = f ( X0 ) + ∑ ( Xs )dX i (s) + ∑ f ( Xs ) d < X i , X j > s
i =1 0
∂xi 2 i,j=1 0 ∂xi ∂x j

or, in differential form,

d
∂ 1 d ∂2
d f ( Xt ) = ∑ ∂xi ( X t ) dX i
( t ) +
2 ∑ ∂x i ∂x j
f ( Xt ) d < X i , X j > t .
i =1 i,j=1

For Stratonovich integrals we have, as in usual differential calculus,

d
∂
d f ( Xt ) = ∑ ∂xi (Xt ) ◦ dXi (t).
i =1

∂f
If f is time dependent one has to add the term ∂t (t, Xt )dt in the formulae.
Recall that, in the case of independent Brownian motions Wti , and writing id(t) = t, we have

d < W i , W j >t = δij dt, d < W i , id >t = 0 ∀i.

Stochastic differential equations generalize ordinary differential ones. Given σ with values in
matrices of type d × r, a vector field (possibly time-dependent) u and an initial random variable X0 ,
these equations take the form

dXt = σ ( Xt ).dW (t) + u(t, Xt )dt.

Using Itô’s formula we deduce that, if Xt is a solution of such an equation and X0 = x, we have,
for a smooth function f ,

1
limt→0 Ex ( f ( Xt ) − f (0, x )) = L f ( x ),
t
where L is the second order linear operator
2
1 j ∂ f
L f (x) = ∑
2 i,j
(σσ T )i
∂xi ∂x j
+ (u.∇ f ).

The operator L is called the generator of the process Xt .

Solutions of stochastic differential equations are particular cases of semimartingales. They are
defined globally in time when the coefficients σ and u are smooth and bounded. Many works, even
very recent ones, have been devoted to extend existence of solutions for less regular coefficients, in
particular of Sobolev type.
Water 2020, 12, 864 18 of 20

When considering diffusion processes on domains rather than in all the Euclidean space, and
subject to boundary conditions, we need to use the notion of local time. The local time of a Brownian
motion is a family of (a.s.) continuous non negative random variables `(t, x ) such that, for any set A
and t > 0 we have
Z t Z
1 A (Ws )ds = 2 `(t, x )dm( x ).
0 A
It may also be regarded as the limit
Z t
1
`(t, x ) = limε→0 1] x−ε,x+ε[ (Ws )ds.
4ε 0
Local time corresponds to the amount of time spent by a Brownian path in a neighborhood of a point
x ∈ R. This concept was introduced by Paul Lévy in 1948 (see, for example [48]). The concept extends
naturally to the multidimensional case as well as to semimartingales Xt . We have,
Z t Z +∞
f ( Xt )d < X, X >t = 2 f ( x )`(t, x )dm( x )
0 −∞
Rt
for every regular function f , where `(t, x ) = 0 1∂O ( Xs ( x ))d`(s). Then we can consider stochastic
differential equations in domains O ⊂ Rd , of the form

dXt = σ ( Xt ).dW (t) + u(t, Xt )dt + n( Xt )d`(t), X0 = x,

where n denotes the unitary vector normal to the boundary. These stochastic processes are reflected
at the boundary and, in terms of partial differential equations (their generators), they correspond to
considering Neumann boundary conditions.
Finally we consider the more recent notion of forward–backward stochastic differential equation
(cf., for example [49]).
For given (smooth) coefficients σ, u, v, initial condition X0 and final condition h, one looks for
semimartingales Xt , Yt , t ∈ [0, T ] which are solutions of the following system of stochastic differential
equations (written here in integral form),
( Rt Rt
X t = X0 + σ ( Xs ).dWs + 0 u(s, Xs )ds
0
RT RT
Yt = h( XT ) − t Zs .dWs + t v(s, Xs , Ys , Zs )ds
RT
with E 0 [| Xt |2 + |Yt |2 + | Zt |2 ]dt < ∞. There are two remarkable features of such systems: one is that,
in spite of a condition given at a final time (h), these solutions turn out, in fact, to be adapted to the
past filtration. Another one is that, even if a priori we have three unknowns X, Y and Z, the last one
will be in fact equal to Zt = ∇u( Xt ). These kind of systems are natural generalizations of second order
ordinary differential equations to the stochastic setting.

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