An Extension to Gaussian Semigroup and Some Applications
英文摘要:
We look at the semigroup generated by a system of heat equations. Applications to testing normality and option pricing are addressed.
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Guibao Liu
We look at the semigroup generated by a system of heat equations. Applications to testing normality and option pricing are addressed.
机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。
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We derive sharp, local and dimension dependent hypercontractive bounds on the Markov kernel of a large class of diffusion semigroups. Unlike the dimension free ones, they capture refined properties of Markov kernels, such as trace estimates. They imply classical bounds on the Ornstein-Uhlenbeck semigroup and a dimensional and refined (transportation) Talagrand inequality when applied to the Hamilton-Jacobi equation. Hypercontractive bounds on the Ornstein-Uhlenbeck semigroup driven by a non-diffusive Lévy semigroup are also investigated. Curvature-dimension criteria are the main tool in the an…
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