The exponential Lie series for continuous semimartingales

We consider stochastic differential systems driven by continuous semimartingales and governed by non-commuting vector fields. We prove that the logarithm of the flowmap is an exponential Lie series. This relies on a natural change of basis to vector fields for the associated quadratic covariation processes, analogous to Stratonovich corrections. The flowmap can then be expanded as a series in compositional powers of vector fields and the logarithm of the flowmap can thus be expanded in the Lie algebra of vector fields. Further, we give a direct explicit proof of the corresponding Chen–Strichartz formula which provides an explicit formula for the Lie series coefficients. Such exponential Lie series are important in the development of strong Lie group integration schemes that ensure approximate solutions themselves lie in any homogeneous manifold on which the solution evolves.

On the Continuous Limit of Integrable Lattices II. Volterra Systems and SP(N) Theories

A connection is suggested between the zero-spacing limit of a generalized N-fields Volterra (VN) lattice and the KdV-type theory which is associated, in the Drinfeld–Sokolov classification, to the simple Lie algebra sp(N). As a preliminary step, the results of the previous paper [1] are suitably reformulated and identified as the realization for N=1 of the general scheme proposed here. Subsequently, the case N=2 is analyzed in full detail; the infinitely many commuting vector fields of the V2 system (with their Hamiltonian structure and Lax formulation) are shown to give in the continuous limit the homologous sp(2) KdV objects, through conveniently specified operations of field rescaling and recombination. Finally, the case of arbitrary N is attacked, showing how to obtain the sp(N) Lax operator from the continuous limit of the VN system.