A Note on the Mean-Variance Criteria for Discrete Time Financial Markets

It was shown in Xia that for incomplete markets with continuous assets＇ price processes and for complete markets the mean-variance portfolio selection can be viewed as expected utility maximization with non-negative marginal utility. In this paper we show that for discrete time incomplete markets this result is not true.     

关于很弱P-调和映射正则性的一点注记

本文给出了当 p接近 2时非齐次很弱 p-调和映射的一个更好的估计 .在该种情况下证明了 Iwaniec和 Sbordone的猜想 .     

A Note of Regularity on Completely Distributive Lattices

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Local Lower Bounds on Heat Kernels

We analyze convolution semigroups on a regular measure space which satisfies the local doubling property. We assume the kernels are bounded and symmetric with the characteristic small-time, volume-dependent, singularity. Then, using a weak conservation property, we deduce local lower bounds with a comparable singularity.Applications are given to a wide range of subelliptic and strongly elliptic self-adjoint, or near self-adjoint, operators on Lie groups.     

A Note on Bounds for the Supremum Metric for Discrete Random Variables

For positive or negative integer-valued random variables X and Y with finite second moments the inequality sup \documentclass{article}\pagestyle{empty}\begin{document}$ \mathop {\sup }\limits_n |\Pr \{ X \le n\} - \Pr \{ Y \le n\} |\, \le \,|EX - EY| + \frac{1}{2}(EX(EX - 1) + (EY(Y - 1)) $\end{document} is established by elementary manipulation, and shown to be tight. Use of generating functions and an inversion formula yields the larger bound with 1/2 replaced by 2/π.     

On Aronson's Upper Bounds for Heat Kernels

Let L be a uniformly elliptic operator in divergence form onR^d, and let p(t,x,y) be the fundamental solution to the heatequation for L. A new proof is given of Aronson's upper bound: 2000 Mathematics Subject Classification35J15, 60J60.     

A Sharp Comparison Result Concerning Schrodinger Heat Kernels

Let G₀ and G be the heat kernels of and –V respectively.Under some sharp conditions on V, a proof is given that G(x,t;y,0)/G₀(x,t;y,0)can be bounded from above and below by two positive constants.This largely improves the well-known bounds G(x,t;y,0)/G₀(x,t;y,0) t (0,T]. The result answers an open question of V. Liskevichand Yu. Semenov, in the case where V 0. A sharp global boundin time is also obtained when V 0. 2000 Mathematics SubjectClassification 35K05.     

Hypoelliptic Heat Kernels on Nilpotent Lie Groups

We study property RD in terms of rapid decay of matrix coefficients. We give new formulations of property RD in terms of a L¹-integrability condition of a Banach representation. Combining this new definition with the existence of cyclic subgroups of exponential growth in non-uniform lattices in semisimple Lie groups, we deduce that there exist matrix coefficients associated to several kinds of quasi-regular representations which satisfy a “non-RD condition” for non-uniform lattices. We obtain also that such coefficients can not satisfy the weak inequality of Harish-Chandra.     

Note on Kernels to some Nonlinear Volterra Integral Equations

This note shows how to find kernels for which the considerednonlinear Volterra equations have only the trivial solution.Moreover, a construction of kernels, for which nontrivial solutionsexist, is presented.     

圆型堆垒域上具有有限离散核的Leray公式（英文）

在Cn空间中由N个圆型域构成的堆垒域D上，建立了有限离散局部全纯核的Leray积分公式．     

Killed Random Processes and Heat Kernels

Let V(x) ≥ 0 be a given function tending to a constant at infinity. It is well known that the density of the Brownian motion B_t killed at the infinitesimal rate V is a Green's function for the heat operator with such a potential. With an appropriate generalization, its Laplace transform also gives the density of ∫ ₀ ^t V(B_s)ds. We construct such a Green's function via spectral analysis of the classical one-dimensional stationary Schrodinger operator. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 144, No. 2, pp. 423–432, August, 2005. An erratum to this article is available at .     

Heat Kernels for Isotropic-Like Markov Generators on Ultrametric Spaces: a Survey

Let (X, d) be a locally compact separable ultrametric space. Let D be the set of all locally constant functions having compact support. Given a measure m and a symmetric function J(x, y) we consider the linear operator L^Jf(x) = ∫(f(x) ? f(y)) J(x, y)dm(y) defined on the set D. When J(x, y) is isotropic and satisfies certain conditions, the operator (?L^J, D) acts in L²(X,m), is essentially self-adjoint and extends as a self-adjoint Markov generator, its Markov semigroup admits a continuous heat kernel p^J (t, x, y). When J(x, y) is not isotropic but uniformly in x, y is comparable to isotropic function J(x, y) as above the operator (?L^J, D) extends in L²(X,m) as a self-adjointMarkov generator, its Markov semigroup admits a continuous heat kernel p^J(t, x, y), and the function p^J(t, x, y) is uniformly comparable in t, x, y to the function p^J(t, x, y), the heat kernel related to the operator (?L^J,D).     

Time Regularity for Random Walks on Locally Compact Groups

Let G be a compactly generated, locally compact group, and let T be the operator of convolution with a probability measure μ on G. Our main results give sufficient conditions on μ for the operator T to be analytic in L ^p (G), 1 < p < ∞, where analyticity means that one has an estimate of form for all n = 1, 2, ... in L ^p operator norm. Counterexamples show that analyticity may not hold if some of the conditions are not satisfied.     

Maximal Regularity for Non-autonomous Equations with Measurable Dependence on Time

In this paper we study maximal L ^p -regularity for evolution equations with time-dependent operators A. We merely assume a measurable dependence on time. In the first part of the paper we present a new sufficient condition for the L ^p -boundedness of a class of vector-valued singular integrals which does not rely on Hörmander conditions in the time variable. This is then used to develop an abstract operator-theoretic approach to maximal regularity. The results are applied to the case of m-th order elliptic operators A with time and space-dependent coefficients. Here the highest order coefficients are assumed to be measurable in time and continuous in the space variables. This results in an L ^p (L ^q )-theory for such equations for \(p,q\in (1, \infty )\). In the final section we extend a well-posedness result for quasilinear equations to the time-dependent setting. Here we give an example of a nonlinear parabolic PDE to which the result can be applied.     

A Note on High/Low-Wave-Number Interactions in Spatially Discrete Parabolic Equations

Present address: School of Mathematical Sciences, University of Bath, Bath BA2 7AY, UK. We describe an instability introduced by the spatial discretizationof reaction-diffusion equations. The mechanism is a nonlinearinteraction between high and low wave-number modes in the discreteequations. In partial differential equations which exhibit strongtemporal growth, a parasitic high-wave-number mode is stimulated,through aliasing, by a physically meaningful low-wave-numbermode. We analyse the interaction using phase-plane techniquesand present complementary numerical results.