Local boundedness property for parabolic BVP's and the gaussian upper bound for their Green functions

In the present note, we give a concise proof for the equivalence between the local boundedness property for parabolic Dirichlet BVP's and the gaussian upper bound for their Green functions. The parabolic equations we consider are of general divergence form and our proof is essentially based on the gaussian upper bound by Daners \cite{Da} and a Caccioppoli's type inequality. We also show how the same analysis enables us to get a weaker version of the local boundedness property for parabolic Neumann BVP's assuming that the corresponding Green functions satisfy a gaussian upper bound

Explicit Description of HARA Forward Utilities and Their Optimal Portfolios

This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of these forward utilities are explicitly described. Our approach is based on the minimal Hellinger martingale densities that are obtained from the important statistical concept of Hellinger process. These martingale densities were introduced recently, and appeared herein tailor-made for these forward utilities. After outlining our parametrization method for the HARA forward, we provide illustrations on discrete-time market models. Finally, we conclude our paper by pointing out a number of related open questions.Comment: 39 page

Gaussian lower bound for the Neumann Green function of ageneral parabolic operator

Based on the fact that the Neumann Green function can be constructed as a perturbation of the fundamental solution by a single-layer potential, we establish gaussian two-sided bounds for the Neumann Green function for a general parabolic operator. We build our analysis on classical tools coming from the construction of a fundamental solution of a general parabolic operator by means of the so-called parametrix method. At the same time we provide a simple proof for the gaussian two-sided bounds for the fundamental solution. We also indicate how our method can be adapted to get a gaussian lower bound for the Neumann heat kernel of a compact Riemannian manifold with boundary having non negative Ricci curvature

Determining a boundary coefficient in a dissipative wave equation: Uniqueness and directional lipschitz stability

We are concerned with the problem of determining the damping boundary coefficient appearing in a dissipative wave equation from a single boundary measurement. We prove that the uniqueness holds at the origin provided that the initial condition is appropriately chosen. We show that the choice of the initial condition leading to uniqueness is related to a fine version of unique continuation property for elliptic operators. We also establish a Lipschitz directional stability estimate at the origin, which is obtained by a linearization process

Stability of the determination of a time-dependent coefficient in parabolic equations

We establish a Lipschitz stability estimate for the inverse problem consisting in the determination of the coefficient $\sigma(t)$, appearing in a Dirichlet initial-boundary value problem for the parabolic equation $\partial_tu-\Delta_x u+\sigma(t)f(x)u=0$, from Neumann boundary data. We extend this result to the same inverse problem when the previous linear parabolic equation in changed to the semi-linear parabolic equation $\partial_tu-\Delta_x u=F(t,x,\sigma(t),u(x,t))$