Degenerate Evolution Equations in Weighted Continuous Function Spaces, Markov Processes and the Black-Scholes Equation — Part I

The present paper is mainly devoted to the study of initial boundary problems associated with a wide class of degenerate second-order differential operators on real intervals, in the framework of weighted continuous function spaces. Such operators are of particular interest, since they often occur, for instance, while building up theoretical models in Mathematical Finance. In order to develop our approach, essentially based on semigroup theory, we provide here some general tools which, perhaps, cover an interest on their own, being concerned with the generation of positive strongly continuous semigroups and their deep connection with Markov processes, in the setting of weighted spaces of continuous functions on a locally compact space. Due to its length, the paper is split up into two parts; the second part will appear in this same journal.     

Entropy Numbers in Weighted Function Spaces and Eigenvalue Distributions of Some Degenerate Pseudodifferential Operators II

This paper is the continuation of [17]. We investigate mapping and spectral properties of pseudodifferential operators of type Ψ with χ χ ? ? and 0 ≤ γ ≤ 1 in the weighted function spaces B (?ⁿ, w(x)) and F (?ⁿ, w(x)) treated in [17]. Furthermore, we study the distribution of eigenvalues and the behaviour of corresponding root spaces for degenerate pseudodifferential operators preferably of type b₂(x) b(x, D) b₁(x), where b₁(x) and b₂(x) are appropriate functions and b(x, D) ? Ψ. Finally, on the basis of the Birman-Schwinger principle, we deal with the “negative spectrum” (bound states) of related symmetric operators in L₂.     

Estimates of the Solutions of Strongly Degenerate Elliptic Equations in Weighted Sobolev Spaces

Let W ì \mathbbRⁿ \Omega \subset \mathbb{R}^n be an open set and l(x) | u |_p,l = ( ò_W l^p (x)| u(x) |^p dx )^1/p \text (1 \leqslant p < + ￥\text),\left| u \right|_{p,l} = \left( {\int\limits_\Omega {l^p (x)\left| {u(x)} \right|^p dx} } \right)^{1/p} {\text{ (1}} \leqslant p < + \infty {\text{),}}     

Entropy Numbers in Weighted Function Spaces and Eigenvalue Distributions of Some Degenerate Pseudodifferential Operators I

In this paper we study weighted function spaces of type B(?ⁿ, Q(x)) and F(?ⁿ, Q(x)), where Q(x) is a weight function of at most polynomial growth. Of special interest are the weight functions Q(x) = (1 + |x|²)^α/2 with α ? ?. The main result deals with estimates for the entropy numbers of compact embeddings between spaces of this type.     

Weighted Function Spaces and Dunkl Transform

We introduce first weighted function spaces on ${\mathbb{R}^d}$ using the Dunkl convolution that we call Besov-Dunkl spaces. We provide characterizations of these spaces by decomposition of functions. Next we obtain in the real line and in radial case on ${\mathbb{R}^d}$ weighted L ^p -estimates of the Dunkl transform of a function in terms of an integral modulus of continuity which gives a quantitative form of the Riemann-Lebesgue lemma. Finally, we show in both cases that the Dunkl transform of a function is in L ¹ when this function belongs to a suitable Besov-Dunkl space.     

Degenerate Self-adjoint Evolution Equations on the Unit Interval

a∈ C ¹([0,1]) vanishing only at 0, 1 and b∈ C ([0,1]), we study existence, qualitative properties, asymptotic behaviour and approximation of the solutions of the degenerate evolution problem u _t = (au _z ) _z - bu in ]0,1[x]0, + ∞[, with u(x,0) = u ₀ (x) and boundary conditions a(x)u _x (x,t) → 0 as x → 0,1, t > 0.     

The Weighted Transience and Recurrence of Markov Processes

Transience and recurrence are among the most important concepts in Markov processes. In this paper, we study the transience and recurrence for right processes with a given weight function, and characterize them by potentials, excessive functions, first hitting times and last exit times of the process. We also study the properties of recurrent states.     

Uniqueness and Extinction of Weighted Markov Branching Processes

This paper focuses on discussing some basic properties of the weighted Markov branching process which is a natural generalisation of the ordinary Markov branching process. The regularity and uniqueness criteria, which are very easy to verify, are firstly established. Some important characteristics regarding the hitting times of such structure are obtained. In particular, the closed forms for the mean extinction time and conditional mean extinction time are presented. The explosion behaviour of the process is investigated and then the mean explosion time is derived. The mean global holding time and the mean total survival time are also obtained. AMS 2000 Subject Classification Primary 60 J27; Secondary 60 J80     

一维连续时间Markov分枝过程的密度演化方程

本文通过建立密度演化方程 ,将一维连续时间Markov分枝过程问题转化为确定性的方法来研究 ,用C0 半群理论证明了密度解的存在性和唯一性 ,并介绍了求密度解及其母函数表达式的方法 ,得到了一些有益的结果     

Continuous Frames, Function Spaces, and the Discretization Problem

A continuous frame is a family of vectors in a Hilbert space which allows reproductions of arbitrary elements by continuous superpositions. Associated to a given continuous frame we construct certain Banach spaces. Many classical function spaces can be identified as such spaces. We provide a general method to derive Banach frames and atomic decompositions for these Banach spaces by sampling the continuous frame. This is done by generalizing the coorbit space theory developed by Feichtinger and Gröchenig. As an important tool the concept of localization of frames is extended to continuous frames. As a byproduct we give a partial answer to the question raised by Ali, Antoine, and Gazeau whether any continuous frame admits a corresponding discrete realization generated by sampling.     

The Hardy-Littlewood Maximal Function and Weighted Lorentz Spaces

We study the boundedness of the Hardy–Littlewood maximalfunction in weighted Lorentz spaces, using some new techniqueson distribution and rearrangement functions. Our goal is togive a unified version of some well-known weighted inequalitiesin Rⁿ and R⁺, showing the relation between the theories.     

Existence of Solutions for Some Quasilinear Degenerate Elliptic Inclusions in Weighted Sobolev Spaces

We consider the Dirichlet problem for a class of quasilinear degenerate elliptic inclusions of the form ?div(𝒜(x, u, ?u)) + f(x)g(u) ∈ H(x, u, ?u), where 𝒜(x, u, ?u) is allowed to be degenerate. Without the general assumption that the multivalued nonlinearity is characterized by Clarke's generalized gradient of some locally Lipschitz functions, we prove the existence of bounded solutions in weighed Sobolev space with the superlinear growth imposed on the nonlinearity g and the multifunction H(x, u, ?u) by using the Leray-Schauder fixed point theorem. Furthermore, we investigate the existence of extremal solutions and prove that they are dense in the solutions of the original system. Subsequently, a quasilinear degenerate elliptic control problem is considered and the existence theorem based on the proven results is obtained.     

Linear Programming Approximations for Markov Control Processes in Metric Spaces

We develop a general framework to analyze the convergence of linear-programming approximations for Markov control processes in metric spaces. The approximations are based on aggregation and relaxation of constraints, as well as inner approximations of the decision variables. In particular, conditions are given under which the control problems optimal value can be approximated by a sequence of finite-dimensional linear programs.     

Parabolic Type Equations and Markov Stochastic Processes on Adeles

In this paper we study the Cauchy problem for new classes of parabolic type pseudodifferential equations over the rings of finite adeles and adeles. We show that the adelic topology is metrizable and give an explicit metric. We find explicit representations of the fundamental solutions (the heat kernels). These fundamental solutions are transition functions of Markov processes which are adelic analogues of the Archimedean Brownian motion. We show that the Cauchy problems for these equations are well-posed and find explicit representations of the evolution semigroup and formulas for the solutions of homogeneous and non-homogeneous equations.     

广义分布半群与退化发展方程的分布解

在Banach空间中引进了由有界线性算子引导的广义分布半群的新概念,并讨论了它的有关性质.在我们的方法中,广义分布半群的生成元可以不是稠定的.此外,还引进了退化发展方程在Laplace变换意义下的分布解,应用广义分布半群给出了退化发展方程分布解的构造性表达式.