Derivative and divergence formulae for diffusion semigroups

Abstract: For a semigroup $P_t$ generated by an elliptic operator on a smooth manifold $M$, we use straightforward martingale arguments to derive probabilistic formulae for $P_t(V(f))$, not involving derivatives of $f$, where $V$ is a vector field on $M$. For non-symmetric generators, such formulae correspond to the derivative of the heat kernel in the forward variable. As an application, these formulae can be used to derive various shift-Harnack inequalities.