Asymptotic expansion of stochastic flows

Summary We study the asymptotic expansion in small time of the solution of a stochastic differential equation. We obtain a universal and explicit formula in terms of Lie brackets and iterated stochastic Stratonovich integrals. This formula contains the results of Doss [6], Sussmann [15], Fliess and Normand-Cyrot [7], Krener and Lobry [10], Yamato [17] and Kunita [11] in the nilpotent case, and extends to general diffusions the representation given by Ben Arous [3] for invariant diffusions on a Lie group. The main tool is an asymptotic expansion for deterministic ordinary differential equations, given by Strichartz [14].     

关于SL(2,R)上速降函数的反演公式

在局部紧可分群的一般理论中，分解正则表示以及获得反演公式（或 Ｐｌａｎ－ｃｈｅｒｅｌ定理的明确表示）是调和分析的基本目标之一．ＳＬ（２，　）是最简单的非交换局部紧么模半单Ｌｉｅ群．Ｈａｒｉｓｈ－Ｃｈａｎｄｒａ在 Ｃ∞ｃ（ＳＬ（２，　））上获得了反演公式，Ｘｉａｏ和ｈｅｎｇ在文［１］中证明了Ｃ３ｃ（ＳＬ（２， ）上的反演公式．在文［２］中Ｚｈｅｎｇ引入了Ｌｉｅ群Ｇ上函数的广义微分（Ａ导数）概念．在本文中，我们利用文［２］中的微分概念来研究ＳＬ（２，　）上可微函数的Ｆｏｕｒｉｅｒ变换的阶，并获得了ＳＬ（２，　）上速降函数的反演公式．     

Computing conditional expectations of multidimensional diffusion processes

We study multidimensional diffusion processes and give an explicit representation for their conditional expectation. Starting from the solution formula for one dimensional stochastic differential equations found in Lanconelli and Proske [8], we compute the conditional expectation of a certain class of multidimensional diffusions without resorting to the Markov property of the process and therefore without requiring an explicit expression for the semi group associated to it.     

Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions

The classical existence-and-uniqueness theorem of the solution to a stochastic differential delay equation (SDDE) requires the local Lipschitz condition and the linear growth condition (see e.g. [11], [12] and [20]). The numerical solutions under these conditions have also been discussed intensively (see e.g. [4], [10], [13], [16], [17], [18], [21], [22] and [24]). Recently, Mao and Rassias [14] and [15] established the generalized Khasminskii-type existence-and-uniqueness theorems for SDDEs, where the linear growth condition is no longer imposed. These generalized Khasminskii-type theorems cover a wide class of highly nonlinear SDDEs but these nonlinear SDDEs do not have explicit solutions, whence numerical solutions are required in practice. However, there is so far little numerical theory on SDDEs under these generalized Khasminskii-type conditions. The key aim of this paper is to close this gap.     

Distances on Lie groups of polynomial volume growth

For any simply connected solvable Lie group Q of polynomial volume growth, we introduce the notion of nil-shadow of Q. We shall give an explicit formula for the distance to the origin of an element q ∈ Q in terms of its exponential coordinates of the second kind taken in an appropriate basis. This result extends a previous result for nilpotent Lie groups [6, Theorem DN] and [7, Theorem 1].     

Geodesic symmetries of homogeneous Kähler Manifolds

D'Atri and Nickerson [6], [7] have given necessary conditions for the geodesic symmetries of a Riemannian manifold to preserve the volume element. We use their results to show that ifG is a compact simple Lie group,T is a maximal torus ofG, andG/T is not symmetric, then anyG-invariant Kähler metric onG/T does not have volume-preserving geodesic symmetries. From the Kähler/de Rham decomposition of a compact homogeneous Kähler manifold [8], our result extends to the invariant Kähler metrics on a quotient of a compact connected Lie group by a maximal torus. In proving these results we compute directly the Ricci tensor of anyG-invariant Kähler metric onG/T forG compact connected andT a maximal torus ofG. The result is an explicit formula giving the value of the Ricci tensor elements in terms of the root structure of the Lie algebra ofG.     

Group theoretical modeling of thermal explosion with reactant consumption

Today engineering and science researchers routinely confront problems in mathematical modeling involving nonlinear differential equations. Many mathematical models formulated in terms of nonlinear differential equations can be successfully treated and solved by Lie group methods. Lie group analysis is especially valuable in investigating nonlinear differential equations, for its algorithms act as reliably as for linear cases. The aim of this article is to provide the group theoretical modeling of the symmetrical heating of an exothermally reacting medium with approximations to the body’s temperature distribution similar to those made by Thomas [17] and Squire [15]. The quantitative results were found to be in a good agreement with Adler and Enig in [1], where the authors were comparing the integral curves corresponding to the critical conditions for the first-order reaction. Further development of the modeling by including the critical temperature is proposed. Overall, it is shown, in particular, that the application of Lie group analysis allows one to extend the previous analytic results for the first order reactions to nth order ones.     

Convergent series solution of nonlinear equations

The author's decomposition method [1] provides a new, efficient computational procedure for solving large classes of nonlinear (and/or stochastic) equations. These include differential equations containing polynomial, exponential, and trigonometric terms, negative or irrational powers, and product nonlinearities [2]. Also included are partial differential equations [3], delay-differential equations [4], algebraic equations [5], and matrix equations [6] which describe physical systems. Essentially the method provides a systematic computational procedure for equations containing any nonlinear terms of physical significance. The procedure depends on calculation of the author's A_n, a finite set of polynomials [1,13] in terms of which the nonlinearities can be expressed. This paper shows important properties of the A_n which ensure an accurate and computable convergent solution by the author's decomposition method [1]. Since the nonlinearities and/or stochasticity which can be handled are quite general, the results are potentially extremely useful for applications and make a number of common approximations such as linearization, unnecessary.     

Exponential stability for stochastic neutral partial functional differential equations

In this paper, we consider a class of stochastic neutral partial functional differential equations in a real separable Hilbert space. Some conditions on the existence and uniqueness of a mild solution of this class of equations and also the exponential stability of the moments of a mild solution as well as its sample paths are obtained. The known results in Govindan [T.E. Govindan, Almost sure exponential stability for stochastic neutral partial functional differential equations, Stochastics 77 (2005) 139-154], Liu and Truman [K. Liu, A. Truman, A note on almost sure exponential stability for stochastic partial functional differential equations, Statist. Probab. Lett. 50 (2000) 273-278] and Taniguchi [T. Taniguchi, Almost sure exponential stability for stochastic partial functional differential equations, Stoch. Anal. Appl. 16 (1998) 965-975; T. Taniguchi, Asymptotic stability theorems of semilinear stochastic evolution equations in Hilbert spaces, Stochastics 53 (1995) 41-52] are generalized and improved.     

反射倒向随机微分方程的逆比较问题(Ⅰ)

在Briand,Coquet,Hu,Memin,Peng[1],Coquet,Hu,Memin,Peng[2],Chen[3],Jiang [8]等中,研究了倒向随机微分方程的逆比较定理,就是通过比较倒向随机微分方程的解来比较倒向随机微分方程的生成元问题．在文[9]中Li和Tang首次研究了反射倒向随机微分方程的逆比较问题．本文考虑在更一般的条件下,反射倒向随机微分方程的生成元的逆比较问题．     

A BLACK-SCHOLES FORMULA FOR OPTION PRICING WITH DIVIDENDS

Abstract. We obtain a Black-Scholes formula for the arbitrage-free pricing of Eu-ropean Call options with constant coefficients when the underlylng stock generatesdividends. To hedge the Call option, we will always borrow money from bank. We seethe influence of the dividend term on the option pricing via the comparison theoremof BSDE(backward stochastic di~erential equation [5], [7]). We also consider the option pricing problem in terms of the borrowing rate R whichis not equal to the interest rate r. The corresponding Black-Sdxoles formula is given.We notice that it is in fact the borrowing rate that plays the role in the pricing formula.     

Transformations of linear connections,II

We elucidate [9] with two applications. In the first we view connections as differential systems. Specializing this to trivial bundles overS ¹ and applying the theory of Floquet, we obtain equivalent connections with constant Christoffel symbols. In the second application we prove that the canonical connections of parallelizable manifolds (in particular Lie groups) can be obtained from the canonical flat connection of appropriate trivial bundles. Thus, the formalisms of [1], [4], [5] and [6] fit in the general setting of [9].     

A “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equation

For the first time we present a complete proof (from the standpoint of stochastic analysis) of the generalized Itô–Venttsel’ formula whose ideas were adduced in [8]. The proposed proof is an approach to construct the generalized Itô–Venttsel’ formula based on the direct application of the generalized Itô formula and the theory of stochastic approximation in contrast to the proof presented in [17] and based on the method of the integral invariants of a stochastic differential equation.     

A method for approximation of the exponential map in semidirect product of matrix Lie groups and some applications

In this paper we explore the computation of the matrix exponential in a manner that is consistent with Lie group structure. Our point of departure is the decomposition of Lie algebra as the semidirect product of two Lie subspaces and an application of the Baker-Campbell-Hausdorff formula. Our results extend the results in Iserles and Zanna (2005) [2], Zanna and Munthe-Kaas(2001/02) [4] to a range of Lie groups: the Lie group of all solid motions in Euclidean space, the Lorentz Lie group of all solid motions in Minkowski space and the group of all invertible (upper) triangular matrices. In our method, the matrix exponential group can be computed by a less computational cost and is more accurate than the current methods. In addition, by this method the approximated matrix exponential belongs to the corresponding Lie group.     

THE HEAT KERNEL ON THE CAYLEY HEISENBERG GROUP

1IntroductionThe aim of the present paper is to construct an explicit expression of an heat kernel forthe Cayley Heisenberg group of order n.Hulanicki[1]and Gaveau[2]constructed the explicit expression of the heat kernel for theHeisenberg group by using p…     

Optimal control of linear stochastic evolution equations in Hilbert spaces and uniform observability

In this paper we study the existence of the optimal (minimizing) control for a tracking problem, as well as a quadratic cost problem subject to linear stochastic evolution equations with unbounded coefficients in the drift. The backward differential Riccati equation (BDRE) associated with these problems (see [2], for finite dimensional stochastic equations or [21], for infinite dimensional equations with bounded coefficients) is in general different from the conventional BDRE (see [10], [18]). Under stabilizability and uniform observability conditions and assuming that the control weight-costs are uniformly positive, we establish that BDRE has a unique, uniformly positive, bounded on ℝ ₊ and stabilizing solution. Using this result we find the optimal control and the optimal cost. It is known [18] that uniform observability does not imply detectability and consequently our results are different from those obtained under detectability conditions (see [10]).      

Best Constants for Moser-Trudinger Inequalities, Fundamental Solutions and One-Parameter Representation Formulas on Groups of Heisenberg Type

We derive the explicit fundamental solutions for a class of degenerate (or singular) one-parameter subelliptic differential operators on groups of Heisenberg (H) type. This extends the results of Kaplan of the sub-Laplacian on H-type groups, which in turn generalizes Folland's result on the Heisenberg group. As an application, we obtain a one-parameter representation formula for Sobolev functions of compact support on H-type groups. By choosing the parameter equal to the homogeneous dimension Q and using the Moser-Trudinger inequality for the convolutional type operator on stratified groups obtained in [18], we get the following theorem which gives the best constant for the Moser-Trudinger inequality for Sobolev functions in H-type groups. Let ${\Bbb G}We derive the explicit fundamental solutions for a class of degenerate (or singular) one-parameter subelliptic differential operators on groups of Heisenberg (H) type. This extends the results of Kaplan of the sub-Laplacian on H-type groups, which in turn generalizes Folland's result on the Heisenberg group. As an application, we obtain a one-parameter representation formula for Sobolev functions of compact support on H-type groups. By choosing the parameter equal to the homogeneous dimension Q and using the Moser-Trudinger inequality for the convolutional type operator on stratified groups obtained in [18], we get the following theorem which gives the best constant for the Moser-Trudinger inequality for Sobolev functions in H-type groups. Let ? be any group of Heisenberg type whose Lie algebra is g enerated by m left invariant vector fields and with a q-dimensional center. Let and Then, with A _Q as the sharp constant, where ∇_? denotes the subellitpic gradient on ? This continues the research originated in our earlier study of the best constants in Moser-Trudinger inequalities and fundamental solutions for one-parameter subelliptic operators on the Heisenberg group [18]. Received March 15, 2001, Accepted September 21, 2001     

A universal dimension formula for complex simple Lie algebras

We present a universal formula for the dimension of the Cartan powers of the adjoint representation of a complex simple Lie algebra (i.e., a universal formula for the Hilbert functions of homogeneous complex contact manifolds), as well as several other universal formulas. These formulas generalize formulas of Vogel and Deligne and are given in terms of rational functions where both the numerator and denominator decompose into products of linear factors with integer coefficients. We discuss consequences of the formulas including a relation with Scorza varieties.     

Generalized Serre relations for Lie algebras associated with positive unit forms

Every semisimple Lie algebra defines a root system on the dual space of a Cartan subalgebra and a Cartan matrix, which expresses the dual of the Killing form on a root base. Serre’s Theorem [J.-P. Serre, Complex Semisimple Lie Algebras (G.A. Jones, Trans.), Springer-Verlag, New York, 1987] gives then a representation of the given Lie algebra in generators and relations in terms of the Cartan matrix.In this work, we generalize Serre’s Theorem to give an explicit representation in generators and relations for any simply laced semisimple Lie algebra in terms of a positive quasi-Cartan matrix. Such a quasi-Cartan matrix expresses the dual of the Killing form for a Z-base of roots. Here, by a Z-base of roots, we mean a set of linearly independent roots which generate all roots as linear combinations with integral coefficients.