Stochastic analysis and its application to analysis of Schrodinger operators
Stochastic analysis and its application to analysis of Schrodinger operators
批准号:
09640259
负责人:
MATSUMOTO Hiroyuki
金额:
$1.86万
依托单位:
依托单位国家:
日本
项目类别:
Grant-in-Aid for Scientific Research (C)
财政年份:
1997
资助国家:
日本
项目状态:
已结题
起止时间:
1997 至 1999
中文摘要
从求解随机微分方程将Poincare上半平面上的布朗运动作为显式Wiener泛函给出出发,给出了Mass Laplacian的Selberg迹公式,阐明了它与相应的经典力学在质和量上的关系.研究结果已作为与池田的联合论文发表。不幸的是,在本文中,我们不能成功地讨论和计算显式形式的热核。在上述上半平面上的随机分析和数理金融理论中,由几何布朗运动的时间积分定义的Wiener泛函起着重要的作用。在联合工作与约,我们首先指出,最大过程的布朗运动可能会得到一个限制程序,并显示类似的利维和皮特曼定理,这使代表的反射布朗运动和贝塞尔过程,指数维纳泛函之前采取的限制。我们将结果与一些相关主题一起发表。
英文摘要
Starting from the fact that the Brownian motion on the Poincare upper half plane is given as an explicit Wiener functional by solving the stochastic differential equation, we showed the Selberg trace formula for the Mass Laplacian and clarified the relation, both in quality and in quantity, with the corresponding classical mechanics. The result has been published as a joint paper with Ikeda. Unfortunately, in this paper, we could not successfully discuss and calculate the explicit form of the heat kernel. As a consequence of further study, we have succeed this in the same framework.In stochastic analysis on the upper half plane mentioned above and the theory of mathematical finance, the Wiener functionals defined by integrals in time of geometric Brownian motions play important roles. In the joint work with Yor, we first remarked that the maximum process of the Brownian motion may be obtained by a limiting procedure and showed analogues of the Levy and Pitman theorems, which gives representations of the reflecting Brownian motion and the Bessel process, for the exponential Wiener functionals before taking the limit. We published the results together with some related topics.
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Naomasa Ueki: "Asymtotic expansion of stochastic oscillatory integrals with rotation invariance"Ann. Inst. H. Poincare, Prob. Stat.. 35. 417-457 (1999)
Naomasa Ueki:“具有旋转不变性的随机振荡积分的渐近展开”Ann。
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通讯作者:
Hiroyuki Matsumoto: "A version of Pitman's 2M-X theorem for geometric Brownian motions"C. R. Acad. Sci. Paris. Serie I. 328. 1067-1074 (1999)
Hiroyuki Matsumoto:“几何布朗运动的皮特曼 2M-X 定理的一个版本”C.
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通讯作者:
Nobuyuki Ikeda: "Brouwnian motion on the Hyperbdic plane and Selberg tranceformula" Journal of Functional Analysis. (発表予定).
Nobuyuki Ikeda:“Hyperbdic 平面上的布朗运动和 Selberg 恍惚公式”《功能分析杂志》(待出版)。
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通讯作者:
Nobuyuki Ikeda: "Brownian motion on the hyperbolic plane and Selberg trace formula"J.Func.Anal.. 163. 63-110 (1999)
池田伸行:《双曲平面上的布朗运动和塞尔伯格迹公式》J.Func.Anal.. 163. 63-110 (1999)
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Hiroyuki Matsumoto: "Some change of probabilities related to a geometric Brownian motion version of Pitman's 2M-X theorem"Elect.Comm.Prob.. 4. 15-23 (1999)
Hiroyuki Matsumoto:“与 Pitman 2M-X 定理的几何布朗运动版本相关的概率的一些变化”Elect.Comm.Prob.. 4. 15-23 (1999)
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