The heat kernel on H-type groups

In this paper we present an explicit calculation of the heat kernel for the sub-Laplacian on an H-type group by using irreducible unitary representations of and the heat kernel for the associated Hermite operator.

     

Approximation of an optimal value of a Bolza functional

In this article, we show that under reasonable assumptions every Lipschitz-continuous solution to a Hamilton–Jacobi inequality approximates with a priori known error the optimal value of a respective Bolza functional and that such approximation is stable. The solutions of Hamilton–Jacobi variational inequalities can be easily obtained by well-known numerical methods as approximate solutions of Hamilton–Jacobi equations resulting from related Bolza functionals. The main strength of this approach lies in the fact that both precise solution to the Hamilton–Jacobi PDE and the distance between that solution and its numerical approximation need not be known in order to solve the original Bolza problem.     

Sharp trace Gagliardo–Nirenberg–Sobolev inequalities for convex cones,and convex domains

We find a new sharp trace Gagliardo–Nirenberg–Sobolev inequality on convex cones, as well as a sharp weighted trace Sobolev inequality on epigraphs of convex functions. This is done by using a generalized Borell–Brascamp–Lieb inequality, coming from the Brunn–Minkowski theory.     

凯莱-海森堡群上的格林函数

本文研究凯莱-海森保群上的格林函数.利用凯莱-海森堡群上热核的解析表达式,导出了一阶凯莱-海森堡群上的格林函数的有理分式表示的公式.     

Green functions and related boundary value problems on the Heisenberg group

In this article, a modified Kelvin transform on ? _n using inversion with respect to a ball of arbitrary radius is defined, which gives explicit expressions for Green's function and Poisson's kernel for the Korányi ball of arbitrary radius and annular domain. The solution of the Dirichlet problem for the union of two balls is discussed using the Schwarz's alternating method.     

Dirac Mass Dynamics in Multidimensional Nonlocal Parabolic Equations

Nonlocal Lotka–Volterra models have the property that solutions concentrate as Dirac masses in the limit of small diffusion. Is it possible to describe the dynamics of the limiting concentration points and of the weights of the Dirac masses? What is the long time asymptotics of these Dirac masses? Can several Dirac masses co-exist?

We will explain how these questions relate to the so-called “constrained Hamilton–Jacobi equation” and how a form of canonical equation can be established. This equation has been established assuming smoothness. Here we build a framework where smooth solutions exist and thus the full theory can be developed rigorously. We also show that our form of canonical equation comes with a kind of Lyapunov functional.

Numerical simulations show that the trajectories can exhibit unexpected dynamics well explained by this equation.

Our motivation comes from population adaptive evolution a branch of mathematical ecology which models Darwinian evolution.     

Optimal investment strategy for asset-liability management under the Heston model

ABSTRACT

This paper focuses on an asset-liability management problem for an investor who can invest in a risk-free asset and a risky asset whose price process is governed by the Heston model. The objective of the investor is to find an optimal investment strategy to maximize the expected exponential utility of the surplus process. By using the stochastic control method and variable change techniques, we obtain a closed-form solution of the corresponding Hamilton–Jacobi–Bellman equation. We also develop a verification theorem without the usual Lipschitz assumptions which can ensure that this closed-form solution is indeed the value function and then derive the optimal investment strategy explicitly. Finally, we provide numerical examples to show how the main parameters of the model affect the optimal investment strategy.     

A Generalization of Hörmander's Inequality-I

We give sufficient conditions to generalize Hörmander's inequality to the case of operators with multiple characteristics of order higher than two     

On capital injections and dividends with tax in a classical risk model

Consider the classical risk model with dividends and capital injections. In addition to the model considered by Kulenko and Schmidli (2008), tax has to be paid for dividends. Capital injections yield tax exemptions. We calculate the value function and derive the optimal dividend strategy.     

Optimal control of stochastic functional differential equations with a bounded memory

This paper treats a finite time horizon optimal control problem in which the controlled state dynamics are governed by a general system of stochastic functional differential equations with a bounded memory. An infinite dimensional Hamilton–Jacobi–Bellman (HJB) equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation.     

Constrained investment–reinsurance optimization with regime switching under variance premium principle

This paper studies optimal investment and reinsurance problems for an insurer under regime-switching models. Two types of risk models are considered, the first being a Markov-modulated diffusion approximation risk model and the second being a Markov-modulated classical risk model. The insurer can invest in a risk-free bond and a risky asset, where the underlying models for investment assets are modulated by a continuous-time, finite-state, observable Markov chain. The insurer can also purchase proportional reinsurance to reduce the exposure to insurance risk. The variance principle is adopted to calculate the reinsurance premium, and Markov-modulated constraints on both investment and reinsurance strategies are considered. Explicit expressions for the optimal strategies and value functions are derived by solving the corresponding regime-switching Hamilton–Jacobi–Bellman equations. Numerical examples for optimal solutions in the Markov-modulated diffusion approximation model are provided to illustrate our results.