On diffusion semigroups preserving the log-concavity
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Let \(\sum_{i,j=1}^{n} {a_{ij}\partial_i\partial_j} +\sum_{i=1}^{n}\beta_i\partial_i\), \(a_{ij},\beta_i\in C^{2+\delta}_{\text{loc}}({\mathbb R}^n)\), \(\delta>0\), be the generator of the one-parameter semigroup \(T(t)\) which preserves the log-concavity. It is proved that the matrix \((a_{ij})\) is constant and the vector \((\beta_i)\) is an affine mapping.
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Cited in
(18)- On semigroups that preserve the logarithmic concavity of functions.
- A natural diffusion distance and equivalence of local convergence and local equicontinuity for a general symmetric diffusion semigroup
- A generalization of Caffarelli's contraction theorem via (reverse) heat flow
- Dimension-free Wasserstein contraction of nonlinear filters
- On Gaussian transition operators
- The American put is log-concave in the log-price
- Semi log-concave Markov diffusions
- Log-concavity and strong log-concavity: a review
- To logconcavity and beyond
- On the Poincaré constant of log-concave measures
- Characterization of \(F\)-concavity preserved by the Dirichlet heat flow
- Spectral monotonicity under Gaussian convolution
- Eventual concavity properties of the heat flow
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- Non-preservation of concavity properties by the Dirichlet heat flow on Riemannian manifolds
- Preservation of F-convexity under the heat flow
- Convexity theory for the term structure equation
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