Those should be set as fastcgi_params either in the location where your "fastcgi_pass" statement is located, or in an included file.
Something like:
fastcgi_param DOCUMENT_ROOT $document_root;
fastcgi_param SCRIPT_FILENAME $document_root$fastcgi_script_name;
fastcgi_param SCRIPT_NAME $fastcgi_script_name;
Something like:
fastcgi_param DOCUMENT_ROOT $document_root;
fastcgi_param SCRIPT_FILENAME $document_root$fastcgi_script_name;
fastcgi_param SCRIPT_NAME $fastcgi_script_name;