Stochastic Jacobi fields along discontinuous martingales on Riemannian submanifolds

Abstract

In this article, we consider discontinuous martingales on tangent bundles over submanifolds of Euclidean space. First, we introduce a connection rule on tangent bundles and establish the Itô calculus for discontinuous semimartingales on tangent bundles. Then we focus on harmonic maps with respect to non-local Dirichlet forms and show that the derivative of harmonic maps along infinitesimal symmetries induces discontinuous martingales on tangent bundles. This process may be viewed as a stochastic Jacobi field along the image martingale. We also introduce the stochastic parallel transport of tangent vectors along càdlàg semimartingales on Riemannian submanifolds with projected jumps. Using the parallel transport, we obtain the mean-value property for the differential of harmonic maps involving a jump part expressed through the second fundamental form. We also obtain a derivative formula for harmonic maps for isotropic Lévy processes with a Brownian component on compact Riemannian manifolds.