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Register a new userTangent bundle geometry induced by second order partial differential equations
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We show how the tangent bundle decomposition generated by a system of ordinary differential equations may be generalized to the case of a system of second order PDEs `of connection type. Whereas for ODEs the decomposition is intrinsic, for PDEs it is necessary to specify a closed 1-form on the manifold of independent variables, together with a transverse local vector field. The resulting decomposition provides several natural curvature operators. The harmonic map equation is examined, and in this case both the 1-form and the vector field arise naturally.
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This paper deals with linear stochastic partial differential equations with variable coefficients driven by L{e}vy white noise. We first derive an existence theorem for integral transforms of L{e}vy white noise and prove the existence of generalized and mild solutions of second order elliptic partial differential equations. Furthermore, we discuss the generalized electric Schrodinger operator for different potential functions $V$.
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in such applications are high-dimensional as the dimension corresponds to the number of financial assets in a portfolio. Moreover, such PDEs are often fully nonlinear due to the need to incorporate certain nonlinear phenomena in the model such as default risks, transaction costs, volatility uncertainty (Knightian uncertainty), or trading constraints in the model. Such high-dimensional fully nonlinear PDEs are exceedingly difficult to solve as the computational effort for standard approximation methods grows exponentially with the dimension. In this work we propose a new method for solving high-dimensional fully nonlinear second-order PDEs. Our method can in particular be used to sample from high-dimensional nonlinear expectations. The method is based on (i) a connection between fully nonlinear second-order PDEs and second-order backward stochastic differential equations (2BSDEs), (ii) a merged formulation of the PDE and the 2BSDE problem, (iii) a temporal forward discretization of the 2BSDE and a spatial approximation via deep neural nets, and (iv) a stochastic gradient descent-type optimization procedure. Numerical results obtained using ${rm T{small ENSOR}F{small LOW}}$ in ${rm P{small YTHON}}$ illustrate the efficiency and the accuracy of the method in the cases of a $100$-dimensional Black-Scholes-Barenblatt equation, a $100$-dimensional Hamilton-Jacobi-Bellman equation, and a nonlinear expectation of a $ 100 $-dimensional $ G $-Brownian motion.
We consider nonnegative solutions $u:Omegalongrightarrow mathbb{R}$ of second order hypoelliptic equations begin{equation*} mathscr{L} u(x) =sum_{i,j=1}^n partial_{x_i} left(a_{ij}(x)partial_{x_j} u(x) right) + sum_{i=1}^n b_i(x) partial_{x_i} u(x) =0, end{equation*} where $Omega$ is a bounded open subset of $mathbb{R}^{n}$ and $x$ denotes the point of $Omega$. For any fixed $x_0 in Omega$, we prove a Harnack inequality of this type $$sup_K u le C_K u(x_0)qquad forall u mbox{ s.t. } mathscr{L} u=0, ugeq 0,$$ where $K$ is any compact subset of the interior of the $mathscr{L}$-propagation set of $x_0$ and the constant $C_K$ does not depend on $u$.
The paper deals with a formally self-adjoint first order linear differential operator acting on m-columns of complex-valued half-densities over an n-manifold without boundary. We study the distribution of eigenvalues in the elliptic setting and the propagator in the hyperbolic setting, deriving two-term asymptotic formulae for both. We then turn our attention to the special case of a two by two operator in dimension four. We show that the geometric concepts of Lorentzian metric, Pauli matrices, spinor field, connection coefficients for spinor fields, electromagnetic covector potential, Dirac equation and Dirac action arise naturally in the process of our analysis.
We find a new class of invariant metrics existing on the tangent bundle of any given almost-Hermitian manifold. We focus here on the case of Riemannian surfaces, which yield new examples of Kahlerian Ricci-flat manifolds in four real dimensions.
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