
Let \(f:R^ d\to R\) be a \(C^ 2\) function and let \(V=f^{-1}(c)\) be a level surface on which grad f(x) is never zero and orient V with the field n(\(\cdot)\) of normal vectors. Let H(x) be the mean curvature at x. We prove the following: 1. A process X in \(R^ d\) with \(f(X_ 0)=c\) and \(dX=dB n(X)+2^{-1}(d- 1)H(X)n(X)dt\) is a Brownian motion on the level surface \(V=f^{-1}(c).\) 2. A process X in \(R^ d\) with \(f(X_ 0)=c\) is a Brownian motion on the level surface \(V=f^{-1}(c)\) if and only if X is a continuous semimartingale such that (i) \(dX-(d-1)H(X)n(X)dt=dM\), where M is a local martingale, (ii) \(d=\{\delta_{ij}-n^ i(X)n^ j(X)\}dt\).
local martingale, Diffusion processes and stochastic analysis on manifolds, level surface, Martingales with continuous parameter, Brownian motion
local martingale, Diffusion processes and stochastic analysis on manifolds, level surface, Martingales with continuous parameter, Brownian motion
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