Research article

A Probabilistic Characterization of g-Harmonic Functions

  • Received: 04 December 2016 Accepted: 20 December 2016 Published: 05 January 2017
  • Associated with a quasi-linear generator function g, we give a definition of g-harmonic functions. The relation between the g-harmonic functions and g-martingales will be delineated. It is direct to construct such relation for smooth case, but for continuous case we need the theory of viscosity solution. Under the nonlinear expectation mechanism, we can also get the similar relation between harmonic functions and martingales. The strict converse problem of mean value property of g-harmonic functions are discussed finally.

    Citation: Liang Cai, Huan-Huan Zhang, Li-Yun Pan. A Probabilistic Characterization of g-Harmonic Functions[J]. AIMS Mathematics, 2017, 2(1): 70-80. doi: 10.3934/Math.2017.1.70

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  • Associated with a quasi-linear generator function g, we give a definition of g-harmonic functions. The relation between the g-harmonic functions and g-martingales will be delineated. It is direct to construct such relation for smooth case, but for continuous case we need the theory of viscosity solution. Under the nonlinear expectation mechanism, we can also get the similar relation between harmonic functions and martingales. The strict converse problem of mean value property of g-harmonic functions are discussed finally.


    1. Introduction and Preliminary

    Harmonic function (Δu=0) has a probabilistic interpretation as that if Δu=0 on Rn, then u(Bxt) is a martingale for any xRn (see for example [6]). This relation between martingale and harmonic function connects probability with potential analysis. It helps us to give probabilistic characterization for harmonic function and more generalized X-harmonic function [6]. In 1997, Peng [9] introduced the notions of g-expectation and conditional g-expectation via backward stochastic differential equations (BSDE) with quasi-linear generator function g. Further, Peng [10] introduced the notion of g-martingale. Thanks to these works, we will give a probabilistic characterization of the g-harmonic functions which have quasi-linear generator function g.

    Now we state our problem in detail. Let (Ω,F,P) be a probability space endowed with the natural filtration {Ft}t0 generated by an n-dimensional Brownian motion {Bt}t0, i.e.

    Ft=σ{Bs:st}.

    Then we can define a g-martingale by an Ft-adapted process {yt}t0 which satisfies the following BSDE for any 0st:

    ys=yt+tsg(yr,zr)drtszrdBr. (1.1)

    Here g:R×RnR, satisfies the conditions:

    (H1). g(y,0)0 and the Lipschitz condition: C>0, for any (y1,z1),(y2,z2)R×Rn we have

    |g(y1,z1)g(y2,z2)|C(|y1y2|+|z1z2|).

    And the equality (1.1) can also be formulated simply as [11]:

    Egs,t(yt):=ys.

    Then we can also get the definition of g-super(sub)martingale when

    Egs,t(yt)() ys.

    This definition derives from the definition of g-expectation in the beginning paper Peng [9]. When g(y,z)0 the g-expectation is actually the classical expectation. Except that g-expectation is nonlinear in general, it holds many other important properties as its classical counterpart [2,4,10,12].

    Given an n-dimensional Itô's diffusion process {Xxt}t0:

    dXxt=b(Xxt)dt+σ(Xxt)dBt,Xx0=xRn, (1.2)

    where  b(x):RnRn, σ(x):RnRn×n satisfy the Lipschitz condition: C>0 s.t.

    |b(x1)b(x2)|+|σ(x1)σ(x2)|C|x1x2|,   x1,x2Rn,

    our problem is that: what kind of function u(x):RnR satisfies that u(Xxt) is a g-martingale for any xRn?

    This problem also has its classical counterpart:

    First if {Xxt} is just the Brownian motion {Bxt}, then we have the result that when u(x) is harmonic on Rn i.e.

    Δu=i2ux2i=0,    for any xRn,

    the process u(Bxt) is a martingale for any x. And conversely if u(x) satisfies that u(Bxt) is a martingale for any x, then u(x) must be harmonic on Rn. The proof may have many editions, here we can give a sketch of one which may induce the extension to g-martingale case.

    If u(x) is harmonic on Rn, then we use Itô's formula to u(Bxt) and get

    du(Bxt)=iuxi(Bxt)dBi,t+12i2ux2i(Bxt)dt=iuxi(Bxt)dBi,t.

    Then we get u(Bxt) is a martingale for any xRn.Conversely if u(x) is continuous on Rn and for any xRn, u(Bxt) is a martingale, then we have E[u(Bxτ)]=u(x) for any stopping time τ. Particularly for any sphere S(x,r)={yRn:|yx|r}, we have

    u(x)=E[u(BxτS(x,r))]=S(x,r)u(y)dσy,    

    where τS(x,r) is the exit time of {Bxt} from the sphere S(x,r), i.e.

    τS(x,r)=inf{t>0:|Bxtx|r},

    and σy is the harmonic measure on the S(x,r). Then from the familiar converse of the mean value property for harmonic function, we can get u(x) must be harmonic function.

    Further we can extend the Brownian motion {Bxt} to the general diffusion process {Xxt}:

    If u(x)C20(Rn) and satisfies

    ibiuxi(x)+12i,j(σστ)i,j2uxixj(x)=0, (1.3)

    then we have u(Xxt) is a martingale for any x. The proof also uses the Itô's formula. But conversely if u(Xxt) is a martingale for any x, we can't conclude that u(x) is smooth. Then with additional assumption u(x)C20(Rn) we can get that u(x) satisfies the PDE (1.3) [6].

    Then naturally we will ask that what happens when we substitute the expectation mechanism by the g-expectation mechanism. First we will define the infinitesimal generator:

    Definition 1. Let

    AXgf(x):=limt0Eg0,t[f(Xxt)]f(x)t, (1.4)

    then we call AXg the infinitesimal generator of a diffusion process {Xxt} under g-expectations.

    Thanks to the celebrating nonlinear Feynman-Kac formula [8], we can get the explicit form of AXg when fC20(Rn) by considering the following type of quasilinear parabolic PDE:

    {ut(t,x)Lu(t,x)g(u(t,x),ux(t,x)σ(x))=0,u(0,x)=f(x). (1.5)

    where

    Lu(t,x)=ibiuxi(t,x)+12i,j(σστ)i,j2uxixj(t,x). (1.6)

    When fC20(Rn), we assert that

    u(t,x)=Eg0,t[f(Xxt)] (1.7)

    is the solution of PDE (1.5). Then under the case t=0, we get

    AXgf(x)=Lf(x)+g(f(x),fx(x)σ(x)). (1.8)

    Then we finish the preliminary and we can introduce our main results. In section 2, we give a characterization of g-harmonic function under smooth case. In section 3, we characterize it under continuous case, where the differential operator is interpreted as viscosity solution. In section 4, we will investigate the strict converse problem of mean value property of g-harmonic function evoked by its classical counterpart [7].


    2. Smooth Case

    The equality (1.8) implies the relation between the g-martingales and the g-harmonic functions when fC20(Rn). In fact, the left side of (1.8) is related to a g-martingale and the right side is related to a harmonic PDE.At first we will give the definition of g-harmonic functions:

    Definition 2. Let fC20(Rn). We call it a g-(super)harmonic function w.r.t. {Xxt} if it satisfies

    AXgf(x)()=0,for anyxRn. (2.1)

    Then we suffice to construct the relation between the g-supermartingales and the g-superharmonic functions.

    Theorem 1. If f(x)C20(Rn), then the following assertions are equivalent:

    (1) f(x) is a g-superharmonic function.

    (2) {f(Xxt)} is a g-supermartingale for any xRn.

    Proof. (i) (1) ⇒ (2):

    For any fC2(Rn), by Itô's formula, we can get f(Xxt) is still an Itô's diffusion process:

    f(Xxt)=f(Xxs)+tsLf(Xxr)dr+tsfx(Xxr)σ(Xxr)dBr,0st.

    and then we insert the term g(f(Xxr),fx(Xxr)σ(Xrx)) and get

    f(Xxs)=f(Xxt)tsLf(Xxr)drtsfx(Xxr)σ(Xxr)dBr=f(Xxt)+tsg(f(Xxr),fx(Xxr)σ(Xrx))drtsfx(Xxr)σ(Xxr)dBrts[Lf(Xxr)+g(f(Xxr),fx(Xxr)σ(Xrx))]dr.

    f(x) is a g-superharmonic function, so

    Lf(Xxr)+g(f(Xxr),fx(Xxr)σ(Xxr))=AXgf(Xxr)0.

    And then according to the comparison theory of BSDE [10], we can get {f(Xxt)} is a g-supermartingale.

    (ii) (2) ⇒ (1):

    By the definition of the AXg:

    AXgf(x)=limt0Eg0,t[f(Xxt)]f(x)t.

    {f(Xxt)} is a g-supermartingale, so

    Eg0,t[f(Xxt)]f(x)0,

    then

    AXgf(x)0.

    So we get f(x) is a g-superharmonic function.


    3. Continuous Case

    If we generalize the requirement of function f(x) to be only continuous on Rn, how we get a function f which satisfies that f(Xxt) is a g-martingale for any xRn? With the help of viscosity solution [3], we can also refer to the quasi-linear second order PDEs. Here we need a lemma due to Peng [8].

    Lemma 1. Let 0tT and

    u(t,x)=Eg0,Tt[f(XxTt)].

    Then u(t,x) is the viscosity solution of the following PDE on (0,T)×Rn:

    {ut+Lu(t,x)+g(u(t,x),ux(t,x)σ(x))=0,u(T,x)=f(x). (3.1)

    Here g(y,z) and f(x) satisfy:

    (H2) Let F(u,p)=g(u,pσ(x)), then C>0 s.t.

    |F(u,p)|C(1+|u|+|p|);|DuF(u,p)|,|DpF(u,p)|C;

    and (H3) f(x) is a continuous function with a polynomial growth at infinity.

    Definition 3. Let u(t,x)C(R×Rn). u(t,x) is said to be a viscosity super-solution (resp. sub-solution) of the following PDE (3.2):

    ut+Lu(t,x)+g(u(t,x),ux(t,x)σ(x))=0, (3.2)

    if for any (t,x)R×Rn and φC1,2(R×Rn) such that φ(t,x)=u(t,x) and (t,x) is a maximum (resp. minimum) point of φu,

    φt(t,x)+Lφ(t,x)+g(φ(t,x),φx(t,x)σ(x))0.
    (resp.φt(t,x)+Lφ(t,x)+g(φ(t,x),φx(t,x)σ(x))0.)

    u(t,x) is said to be a viscosity solution of PDE (3.2) if it is both a viscosity super- and sub-solution of (3.2).

    We also consider the viscosity solution of the following type of quasilinear elliptic PDE (3.3):

    Lu(x)+g(u(x),ux(x)σ(x))=0. (3.3)

    We can directly get an relation between the two solutions of (3.2) and (3.3):

    Lemma 2. Let ˜u(t,x)=u(x) for all (t,x)R×Rn, then we have:

    ˜u(t,x) is the viscosity super-(sub-)solution of PDE (3.2) u(x) is the viscosity super-(sub-)solution of PDE (3.3).

    Proof.We suffice to prove the case of viscosity super-solution.

    (i) "⇒":

    For any (t0,x0)R×Rn, and a function φ(x)C2(Rn) which satisfies φ(x)u(x),φ(x0)=u(x0), we define ˜φ(t,x)=φ(x) for all (t,x)R×Rn. Then

    ˜φt=0,   ˜φ(t0,x0)=˜u(t0,x0),   ˜φ(t,x)˜u(t,x),

    and due to the assumption that ˜u(t,x) is the viscosity super-solution of PDE (3.2), we have

    ˜φt(t0,x0)+L˜φ(t0,x0)+g(˜φ(t0,x0),˜φx(t0,x0)σ(x0))0,

    i.e.

    Lφ(x0)+g(φ(x0),φx(x0)σ(x0))0.

    So u(x) is the viscosity super-solution of PDE (3.3).

    (ii). "⇐":

    For any (t0,x0)R×Rn, and a function φ(t,x)C2(R×Rn) which satisfies

    φ(t,x)˜u(t,x)andφ(t0,x0)=˜u(t0,x0),

    then

    φt(t0,x0)=0, (3.4)

    and due to the assumption that u(x) is the viscosity super-solution of PDE (3.3), we have

    Lφ(t0,x0)+g(φ(t0,x0),φx(t0,x0)σ(x0))0.

    Combined with (3.4), we get

    φt(t0,x0)+Lφ(t0,x0)+g(φ(t0,x0),φx(t0,x0)σ(x0))0.

    So ˜u(t,x) is the viscosity super-solution of PDE (3.2).

    Then we can introduce our main result of this section:

    Theorem 2. We have the following two consequences:

    (i) For any f(x)C(Rn), and g(y,z) satisfying (H1), if xRn, f(Xxt) is a g-supermartingale, then f(x) is a viscosity super-solution of PDE (3.3).

    (ii) For any f(x) satisfying (H3), and g(y,z) satisfying (H1) and (H2), let f(x) is a viscosity super-solution of PDE (3.3), then {f(Xxt)} is a g-supermartingale for all xRn.

    Actually, the consequence (ii) is the answer of our main problem and the consequence (i) is the converse of it. But (i) is easier to be proved, so we are going to prove (i) at first.

    Proof.(i) For any xRn, let φC2(Rn), φ(x)=f(x) where x is a maximum point of φf. It means ˜xRn, we have φ(˜x)f(˜x).Then from (1.8), we get

    Lφ(x)+g(φ(x),φx(x)σ(x))=AXgφ(x)=limt0Egt[φ(Xxt)]φ(x)t=limt0Egt[φ(Xxt)]f(x)t.

    According to the comparison theory of BSDE, we get

    Egt[φ(Xxt)]Egt[f(Xxt)],

    and with the assumption {f(Xxt)} is a g-supermartingale, we can get

    Egt[φ(Xxt)]f(x)Egt[f(Xxt)]f(x)0.

    Then

    AXgφ(x)=limt0Egt[φ(Xxt)]f(x)t0,

    i.e.

    Lφ(x)+g(φ(x),φx(x)σ(x))0.

    By definition, it means f(x) is a viscosity super-solution of PDE (3.3).

    (ii) We want to prove {f(Xxt)} is a g-supermartingale for any xRn. It means that we need to prove xRn and 0st, we have

    Egs,t[f(Xxt)]f(Xxs).

    Under the assumption, in fact b(x),σ(x) and g(y,z) are all independent of time t, so we can get the Markovian property of Egs,t, i.e.

    Egs,t[f(Xxt)]=Egts[f(Xyts)]|y=Xxs.

    Then we get an equivalence relation:

    {f(Xxt)}is a g-(super)martingale for any xRnEgt[f(Xxt)]=()f(x) for any t0 and xRn. (3.5)

    So we suffice to prove the latter assertion.

    According to lemma 2, for any T0, the assumption f(x) is a viscosity super-solution of PDE (3.3) implies that ˜f(t,x):=f(x) is a viscosity super-solution to the following PDE:

    {ut(t,x)+Lu(t,x)+g(u(t,x),ux(t,x)σ(x))=0,u(T,x)=f(x). (3.6)

    And with the help of lemma 1,

    u(t,x)=Eg0,Tt[f(XxTt)]

    is actually the viscosity solution of PDE (3.6). Moreover by the maximum principle of the viscosity solution [1], we can get

    u(t,x)˜f(t,x),for any 0tT.

    Especially, we have

    u(0,x)˜f(0,x),

    i.e.

    EgT[f(XxT)]f(x).

    Corollary 1. (i) For any f(x)C(Rn), and g(y,z) satisfying (H1), if xRn, f(Xxt) is a g-martingale, then f(x) is a viscosity solution of PDE (3.3).

    (ii) For any f(x) satisfying (H3), and g(y,z) satisfying (H1) and (H2), let f(x) is a viscosity solution of PDE (3.3), then {f(Xxt)} is a g-martingale for all xRn.

    It is an immediate consequence from the theorem 2.


    4. Strict Converse of Mean Value Property

    For classical harmonic function, many generalized results of the converse problem of mean value property have been investigated [5,7]. In [7], Øksendal and Stroock give a technique to solve a strict converse of the mean value property for harmonic functions. Now we will generalize it to the case of g-harmonic function. Here the strictness means that for each xRn we don't need justify that for any stopping time τ whether Eg0,τ(f(Xxτ)) equals f(x). We only need to justify one appropriate stopping time of each x.

    In the sequel we put Δ(x,r)={yRn;|yx|r} for any xRn and r>0. Let τU=inf{t>0;XxtUc} for any open set U. And we suppose the operator (1.6) is elliptic on Rn.

    Theorem 3. f(x) is a local bounded continuous function on Rn. If for any xRn, there exists a radius r(x), the mean value property holds:

    Eg0,τx[f(Xxτx)]=f(x),     here   τx=τΔ(x,r(x)). (4.1)

    And r(x) is a measurable function of x and satisfies that for each x, there exists a bounded open set Ux, xUx and moreover r(y), yUx should satisfy the following two conditions:

    0r(y)dist(y,Ux), (4.2)

    and

    inf{r(y);yK}>0 (4.3)

    for all closed subsets K of Ux with dist(K,Ux)>0. Then we can get

    (i) For each yUx the mean value property holds on the boundary:

    Eg0,τy[f(Xyτy)]=f(y),   here  τy=inf{t>0;XytUcx}.

    and furthormore (ii) f(x) is the viscosity solution of PDE (12).

    Proof. (i) ⇒ (ii) is also based on the nonlinear Feynman-Kac formula for elliptic PDE [8]. So we sufficiently prove the first conclusion.

    For each yUx, we define a sequence of stopping times τk for {Xyt} by induction as follows:

    τ00τk=inf{tτk1;|XytXyτk1|r(Xyτk1)},  k1.

    By the mean property (4.1), and the strong markovian property we can get

    Eg0,τk[f(Xyτk)]=Eg0,τk1[Egτk1,τk[f(Xyτk)]]=Eg0,τk1[Eg0,τkτk1[f(XXyτk1τkτk1)]]=Eg0,τk1[f(Xyτk1)],

    then by induction we get

    Eg0,τk[f(Xyτk)]=f(y).

    In the following we will prove τkτy a.e. when k. Obviously

    τkτk1,

    so there exists a stopping time τ s.t. τkτ.If ττy, then there exists ϵ>0 s.t.

    dist(Xyτk,Ux)ϵ,   for any k.

    Let rk=r(Xyτk), according to the condition (4.3), we get there exists r>0,

    rkr,     for any  k.

    It means

    dist(Xyτk,Xyτk1)r.

    And since Xyt is continuous, then τk, which implies τy=. So

    P(τk don't converge to τy)P(τy=).

    But for (1.6) is elliptic and Ux is bounded, we have P(τy)=1. So

    P(τk converge to τy)=1.

    Then we get

    f(y)=Eg0,τk[f(Xyτk)]=limkEg0,τk[f(Xyτk)]=Eg0,τy[f(Xyτy)].

    So we have finished the proof.


    Acknowledgement

    The first author is supported by the National Natural Science Foundation of China (11026125) , and the third author is supported by the BIGC Key Project (Ea201606).


    Conflict of Interest

    All authors declare no conflicts of interest in this paper.


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