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Equations of Lax type with a triple bracket.

Raúl Felipe, Raúl Velásquez (1998)

Extracta Mathematicae

Equations with several brackets arose originally in the works of Brockett [2], [3] (for ordinary differential equations) and Felipe [5] (for partial differential equations) of double bracket equations of Lax type. The purpose of this note is to study triple bracket equations of the form:∂L / ∂t = [L,[L,[L,P]]]. deal with some algebraic properties of these equations, in particular we show that, as in the classical case, they are related to the presence of an infinite sequence of first integrals....

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...

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