A partial Fourier transform method for a class of hypoelliptic Kolmogorov equations

We consider hypoelliptic Kolmogorov equations in $n+1$ spatial dimensions, with $n\geq 1$, where the differential operator in the first $n$ spatial variables featuring in the equation is second-order elliptic, and with respect to the $(n+1)$st spatial variable the equation contains a pure transport term only and is therefore first-order hyperbolic. If the two differential operators, in the first $n$ and in the $(n+1)$st co-ordinate directions, do not commute, we benefit from hypoelliptic regularization in time, and the solution for $t>0$ is smooth even for a Dirac initial datum prescribed at $t=0$. We study specifically the case where the coefficients depend only on the first $n$ variables. In that case, a Fourier transform in the last variable and standard central finite difference approximation in the other variables can be applied for the numerical solution. We prove second-order convergence in the spatial mesh size for the model hypoelliptic equation $\frac{\partial u}{\partial t} + x \frac{\partial u}{\partial y} = \frac{\partial^2 u}{\partial x^2}$ subject to the initial condition $u(x,y,0) = \delta (x) \delta (y)$, with $(x,y) \in \mathbb{R} \times\mathbb{R}$ and $t>0$, proposed by Kolmogorov, and for an extension with $n=2$. We also demonstrate exponential convergence of an approximation of the inverse Fourier transform based on the trapezium rule. Lastly, we apply the method to a PDE arising in mathematical finance, which models the distribution of the hedging error under a mis-specified derivative pricing model

Wave equations on graded groups and hypoelliptic Gevrey spaces

The overall goal of this dissertation is to investigate certain classical results from harmonic analysis, replacing the Euclidean setting, the abelian structure and the elliptic Laplace operator with a non-commutative environment and hypoelliptic operators. More specifically, we consider wave equations for hypoelliptic homogeneous left-invariant operators on graded Lie groups with time-dependent non-negative propagation speeds that are H\"older-regular or even more so. The corresponding Euclidean problem has been extensively studied in the `80s and some additional results have been recently obtained by Garetto and Ruzhansky in the case of a compact Lie group. We establish sharp well-posedness results in the spirit of the classical result by Colombini, De Giorgi and Spagnolo. In this investigation, a structure reminiscent of Gevrey regularity appears, inspiring deeper investigation of certain classes of functions and a comparison with Gevrey classes. In the latter part of this thesis we discuss such Gevrey spaces associated to the sums of squares of vector fields satisfying the H\"ormander condition on manifolds. This provides a deeper understanding of the Gevrey hypoellipticity of sub-Laplacians. It is known that if $\mathcal L$ is a Laplacian on a closed manifold $M$ then the standard Gevrey space $\gamma^s$ on $M$ defined in local coordinates can be characterised by the condition that $\|e^{D\mathcal L^{\frac{1}{2s}}}\phi\|_{L^2(M)}0$. The aim in this part is to discuss the conjecture that a similar characterisation holds true if $\mathcal L$ is H\"ormander's sum of squares of vector fields, with a sub-Laplacian version of the Gevrey spaces involving these vector fields only. We prove this conjecture in one direction, while in the other we show it holds for sub-Laplacians on $SU(2)$ and on the Heisenberg group $\mathbb{H}_n$.Comment: 163 pages, dissertation, Imperial College (Oct 2017