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.

     

Revisiting the heat kernel on isotropic and nonisotropic Heisenberg groups*

The aim of this paper is threefold. First, we obtain the precise bounds for the heat kernel on isotropic Heisenberg groups by using well-known results in the three-dimensional case. Second, we study the asymptotic estimates at infinity for the heat kernel on nonisotropic Heisenberg groups. As a consequence, we give uniform upper and lower estimates of the heat kernel, and complete its short-time behavior obtained by Beals–Gaveau–Greiner. Third, we prove that the uniform asymptotic behaviour at infinity (so the small-time asymptotic behaviour) of the heat kernel for Grushin operators, obtained by the first author, are still valid in two and three dimensions.     

Improved Gagliardo-Nirenberg inequalities on Heisenberg type groups

Motivated by the idea of M. Ledoux who brings out the connection between Sobolev embeddings and heat kernel bounds, we prove an analogous result for Kohn’s sub-Laplacian on the Heisenberg type groups. The main result includes features of an inequality of either Sobolev or Galiardo-Nirenberg type.     

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.     

Heat kernel analysis on infinite-dimensional Heisenberg groups

We introduce a class of non-commutative Heisenberg-like infinite-dimensional Lie groups based on an abstract Wiener space. The Ricci curvature tensor for these groups is computed and shown to be bounded. Brownian motion and the corresponding heat kernel measures, {νt}_t>0, are also studied. We show that these heat kernel measures admit: (1) Gaussian like upper bounds, (2) Cameron-Martin type quasi-invariance results, (3) good Lp-bounds on the corresponding Radon-Nikodym derivatives, (4) integration by parts formulas, and (5) logarithmic Sobolev inequalities. The last three results heavily rely on the boundedness of the Ricci tensor.     

H型群上的泰勒展开式

利用H型群G的基向量场分别给出了光滑函数在G上的泰勒展开式和在G×R 上的泰勒展开式,同时给出了群上的乘法.     

高维Heisenberg群上热算子的分析

用留数定理及轨道积分方法,讨论了2n+1(n≥1)维Heisenberg群上热核及Green核的渐近性,并给出了更简明的渐近公式,彻底解决了Hueber,H等人遗留的问题.     

The uniformly boundedness of the riesz transforms on the cayley heisenberg groups

In this article,the authors estimate some functions by using the explicit expression of the heat kernels for the Cayley Heisenberg groups,and then prove the uniform boundedness of the Riesz transforms on these nilpotent Lie groups.     

Uniqueness of solutions to Schrödinger equations on complex semi-simple Lie groups

In this note we study the time-dependent Schrödinger equation on complex semi-simple Lie groups. We show that if the initial data is a bi-invariant function that has sufficient decay and the solution has sufficient decay at another fixed value of time, then the solution has to be identically zero for all time. We also derive Strichartz and decay estimates for the Schrödinger equation. Our methods also extend to the wave equation. On the Heisenberg group we show that the failure to obtain a parametrix for our Schrödinger equation is related to the fact that geodesics project to circles on the contact plane at the identity.     

Geometric analysis on H ‐type groups related to division algebras

The present article applies the method of Geometric Analysis to the study H ‐type groups satisfying the J² condition and finishes the series of works describing the Heisenberg group and the quaternion H ‐type group. The latter class of H ‐type groups satisfying the J² condition is related to the octonions. The relations between the group structure and the boundary of the corresponding Siegel upper half space are given. (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Random walks on abelian-by-cyclic groups

We describe the large time asymptotic behaviors of the probabilities of return to the origin associated to finite symmetric generating sets of abelian-by-cyclic groups. We characterize the different asymptotic behaviors by simple algebraic properties of the groups.

     

Hardy spaces on Lie groups of polynomial growth

We give several characterizations of Hardy spaces associated with complex, second-order,subelliptic operators on Lie groups with polynomial growth.     

Taylor expansions of the value function associated with a bilinear optimal control problem

A general bilinear optimal control problem subject to an infinite-dimensional state equation is considered. Polynomial approximations of the associated value function are derived around the steady state by repeated formal differentiation of the Hamilton–Jacobi–Bellman equation. The terms of the approximations are described by multilinear forms, which can be obtained as solutions to generalized Lyapunov equations with recursively defined right-hand sides. They form the basis for defining a suboptimal feedback law. The approximation properties of this feedback law are investigated. An application to the optimal control of a Fokker–Planck equation is also provided.     

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 series of the solutions for the Heisenberg ferromagnetic spin chain equation

The Heisenberg ferromagnetic spin chain equation is investigated. By applying the improved F‐expansion method (Exp‐function method) and the Jacobi elliptic method, respectively, a series of exact solutions is constructed. The parametric conditions of the existence for the solutions are presented. These solutions comprise periodic wave solutions, doubly periodic wave solutions, and dark and bright soliton solutions, which are expressed in several different function forms, namely, Jacobi elliptic function, trigonometric function, hyperbolic function, and exponential function. The results illustrate that the Exp‐function method is a powerful symbolic algorithm to look for new solutions for the nonlinear evolution systems.     

Pricing a European Basket Option in the Presence of Proportional Transaction Costs

A crucial assumption in the Black–Scholes theory of options pricing is the no transaction costs assumption. However, following such a strategy in the presence of transaction costs would lead to immediate ruin. This paper presents a stochastic control approach to the pricing and hedging of a European basket option, dependent on primitive assets whose prices are modelled as lognormal diffusions, in the presence of costs proportional to the size of the transaction. Under certain assumptions on the individual preferences, it is able to reduce the dimensionality of the resulting control problem. This facilitates considerably the study of the value function and the characterisation of the optimal trading policy. For solution of the problem a perturbation analysis scheme is utilized to derive a non‐trivial, asymptotically optimal result. The findings reveal that this result can be expressed by means of a small correction to the corresponding solution of the frictionless Black–Scholes type problem, resembling a multi‐dimensional ‘bandwidth’ around the vanilla case, which, moreover, is readily tractable.     

Mayer control problem with probabilistic uncertainty on initial positions

In this paper we introduce and study an optimal control problem in the Mayer's form in the space of probability measures on ${\mathbb{R}}^n$ endowed with the Wasserstein distance. Our aim is to study optimality conditions when the knowledge of the initial state and velocity is subject to some uncertainty, which are modeled by a probability measure on ${\mathbb{R}}^d$ and by a vector-valued measure on ${\mathbb{R}}^d$, respectively. We provide a characterization of the value function of such a problem as unique solution of an Hamilton–Jacobi–Bellman equation in the space of measures in a suitable viscosity sense. Some applications to a pursuit-evasion game with uncertainty in the state space is also discussed, proving the existence of a value for the game.     

On sub‐Riemannian geodesics on the Engel groups: Hamilton's equations

We study the sub‐Riemannian geometry on the Engel group which is a step 3 nilpotent Lie group on . Our main result is to solve the Hamiltonian equations associated with the bi‐characteristic curves and express the solutions in terms of elliptic functions. Our model covers both the Heisenberg group and the Martinet case when setting certain parameters to be zero.     

Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan

A continuous time stochastic model is used to study a hybrid pension plan, where both the contribution and benefit levels are adjusted depending on the performance of the plan, with risk sharing between different generations. The pension fund is invested in a risk-free asset and multiple risky assets. The objective is to seek an optimal investment strategy and optimal risk-sharing arrangements for plan trustees and participants so that this proposed hybrid pension system provides adequate and stable income to retirees while adjusting contributions effectively, as well as keeping its sustainability in the long run. These goals are achieved by minimizing the expected discount disutility of intermediate adjustment for both benefits and contributions and that of terminal wealth in finite time horizon. Using the stochastic optimal control approach, closed-form solutions are derived under quadratic loss function and exponential loss function. Numerical analysis is presented to illustrate the sensitivity of the optimal strategies to parameters of the financial market and how the optimal benefit changes with respect to different risk aversions. Through numerical analysis, we find that the optimal strategies do adjust the contributions and retirement benefits according to fund performance and model objectives so the intergenerational risk sharing seem effectively achieved for this collective hybrid pension plan.