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Exponential functionals of brownian motion and class-one Whittaker functions

Fabrice Baudoin, Neil O’Connell (2011)

Annales de l'I.H.P. Probabilités et statistiques

We consider exponential functionals of a brownian motion with drift in ℝn, defined via a collection of linear functionals. We give a characterisation of the Laplace transform of their joint law as the unique bounded solution, up to a constant factor, to a Schrödinger-type partial differential equation. We derive a similar equation for the probability density. We then characterise all diffusions which can be interpreted as having the law of the brownian motion with drift conditioned on the law of...

Fibration of the phase space for the Korteweg-de Vries equation

Thomas Kappeler (1991)

Annales de l'institut Fourier

In this article we prove that the fibration of L 2 ( S 1 ) by potentials which are isospectral for the 1-dimensional periodic Schrödinger equation, is trivial. This result can be applied, in particular, to N -gap solutions of the Korteweg-de Vries equation (KdV) on the circle: one shows that KdV, a completely integrable Hamiltonian system, has global action-angle variables.

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