Analytic continuation and identities involving heat,Poisson, wave and Bessel kernels

In this article we use classical formulas involving the K–Bessel function in two variables to express the Poisson kernel on a Riemannian manifold in terms of the heat kernel. We then use the small time asymptotics of the heat kernel on certain Riemannian manifolds to obtain a meromorphic continuation of the associated Poisson kernel to all values of complex time with identifiable singularities. This result reproves in a different setting by different means a well–known theorem due to Duistermaat and Guillemin [DG 75]. Also, we develop analytic expressions for the heat kernel beyond asymptotic expansions. (© 2003 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

WZW–Poisson manifolds

We observe that a term of the WZW-type can be added to the Lagrangian of the Poisson σ-model in such a way that the algebra of the first class constraints remains closed. This leads to a natural generalization of the concept of Poisson geometry. The resulting “WZW–Poisson” manifold M is characterized by a bivector Π and by a closed three-form H such that 1/2[Π,Π]_Schouten=H,ΠΠΠ.     

Some time change representations of stable integrals, via predictable transformations of local martingales

From the predictable reduction of a marked point process to Poisson, we derive a similar reduction theorem for purely discontinuous martingales to processes with independent increments. Both results are then used to examine the existence of stochastic integrals with respect to stable Lévy processes, and to prove a variety of time change representations for such integrals. The Knight phenomenon, where possibly dependent but orthogonal processes become independent after individual time changes, emerges as a general principle.     

Derived Brackets

We survey the many instances of derived bracket construction in differential geometry, Lie algebroid and Courant algebroid theories, and their properties. We recall and compare the constructions of Buttin and of Vinogradov, and we prove that the Vinogradov bracket is the skew-symmetrization of a derived bracket. Odd (resp., even) Poisson brackets on supermanifolds are derived brackets of canonical even (resp., odd) Poisson brackets on their cotangent bundle (resp., parity-reversed cotangent bundle). Lie algebras have analogous properties, and the theory of Lie algebroids unifies the results valid for manifolds on the one hand, and for Lie algebras on the other. We outline the role of derived brackets in the theory of Poisson structures with background'.     

Numerical analysis for stochastic age-dependent population equations with Poisson jumps

In this paper, stochastic age-dependent population equations with Poisson jumps are considered. In general, most of stochastic age-dependent population equations with jumps do not have explicit solutions, thus numerical approximation schemes are invaluable tools for exploring their properties. The main purpose of this paper is to develop a numerical Euler scheme and show the convergence of the numerical approximation solution to the true solution.     

Quasi-Hamiltonian structure and Hojman construction

Given a smooth vector field Γ and assuming the knowledge of an infinitesimal symmetry X, Hojman [S. Hojman, The construction of a Poisson structure out of a symmetry and a conservation law of a dynamical system, J. Phys. A Math. Gen. 29 (1996) 667-674] proposed a method for finding both a Poisson tensor and a function H such that Γ is the corresponding Hamiltonian system. In this paper, we approach the problem from geometrical point of view. The geometrization leads to the clarification of several concepts and methods used in Hojman's paper. In particular, the relationship between the nonstandard Hamiltonian structure proposed by Hojman and the degenerate quasi-Hamiltonian structures introduced by Crampin and Sarlet [M. Crampin, W. Sarlet, Bi-quasi-Hamiltonian systems, J. Math. Phys. 43 (2002) 2505-2517] is unveiled in this paper. We also provide some applications of our construction.     

A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure

We study a class of ‘nonpoissonian’ transformations of the configuration space and the corresponding transformations of the Poisson measure. For some class of Poisson measures we find conditions which are sufficient for the transformed measure (which in general is nonpoissonian) to be absolutely continuous with respect to the initial Poisson measure and get the expression for the corresponding Radon–Nikodym derivative. To solve this problem we use a distributional approach to Poisson multiple stochastic integrals.     

Some Results behind Dividend Problems

We consider the basic dividend problem of the compound Poisson model with constant barrierstrategy.Some results concealed behind the dividend problem are made explicit in the present work.Differentmethods and some of which are firstly given in this paper.All these results presented certain direct relationshipbetween some important actuary variables in classical risk theory is also revealed.     

An expansion in the exponent for compound binomial approximations

The purpose of this paper is two-fold. First, we introduce a new asymptotic expansion in the exponent for the compound binomial approximation of the generalized Poisson binomial distribution. The dependence of its accuracy on the symmetry and shifting of distributions is investigated. Second, for compound binomial and compound Poisson distributions, we present new smoothness estimates, some of which contain explicit constants. Finally, the ideas used in this paper enable us to prove new precise bounds in the compound Poisson approximation. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 1, pp. 67–110, January–March, 2006.