SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
caperover
Topic Author
Posts: 285
Joined: June 25th, 2005, 4:54 pm

Laplace-Beltrami equation

September 20th, 2011, 2:54 pm

Hi, I read some papers on Laplace-Beltrami equation but cannot put everyting together. I guess some connections are missing. Can someone help?What is the difference and relationship between heat equation in 2D Euclidean space and on a Plane? What is the relationship between the solution of the PDE and the surface?Is the solution of a Laplace-Beltrami equation defined on local coordinates?Is a Laplace-Beltrami operator corresponding to one type of change of variable?Thanks,CR
 
User avatar
DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Laplace-Beltrami equation

September 20th, 2011, 3:04 pm

I'm the biggest ignorant on earth but I've always been told that the Laplace Beltrami operator is the generalisation of the Laplacian to a curved space (i.e. when you have a metric tensor).
 
User avatar
caperover
Topic Author
Posts: 285
Joined: June 25th, 2005, 4:54 pm

Laplace-Beltrami equation

September 20th, 2011, 3:13 pm

yes, if you read any note on Laplace Beltrami, it should say that. That is not my question.
 
User avatar
Alan
Posts: 10267
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Laplace-Beltrami equation

September 20th, 2011, 4:48 pm

QuoteOriginally posted by: caperoverHi, I read some papers on Laplace-Beltrami equation but cannot put everyting together. I guess some connections are missing. Can someone help?What is the difference and relationship between heat equation in 2D Euclidean space and on a Plane? Thanks,CRI'll take a stab at part of it.You have to distinguish various things: the coordinates vs. the metricFor the "heat equation in 2D Euclidean space", you could have1. The heat equation in 2D Euclidean space in the usual Cartesian coordinates. 2. The heat equation in 2D Euclidean space in polar coordinates.Both eqns describe the same "physics", but they look (outwardly) different and the Laplace-Beltrami operator gives you the right Laplacian.A visual plot of the evolution of the solution of either equation, say starting from a Dirac mass at the origin, would look exactly the same.For the "heat equation in the plane" , you could have3. The heat equation in a plane with a Euclidean metric.4. The heat equation in a plane with a non-Euclidean metric.Again 3 is describing the same physics as 1. and 2., but 4 is fundamentally different.4. describes the evolution of Brownian motion where there is intrinsic curvature. A standard example is the Poincare (half)-plane with the metric ds^2 = (dx^2 + dy^2)/y^2, on (-infty < x < infty, y > 0)which has constant negative curvature. A visual plot of the evolution of the solution of 4., starting from a Dirac mass at (x=0,y=1), looks very different from the Euclidean case. In fact, this heat kernel solution for 4., due to McKean, is known (lesniewski.us/papers/working/ProbDistrForSABR.pdf) --suggest you plot it to see my point.
Last edited by Alan on September 19th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
frolloos
Posts: 1621
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Laplace-Beltrami equation

September 20th, 2011, 4:55 pm

@Alan, in regards to 4: is the Poincare half-plane part of the Euclidean plane? I mean if you embed a 2-dim surface in 2-dim Euclidean space (which is flat) shouldn't the embedded space inherit the metric of the euclidean space, i.e. flat? since poincare half-plane is not flat i am not sure it is really 'part' of the Euclidean plane. or is there a coordinate transformation which makes the Poincare half-plane globally flat? (don't think so) EDIT: i think it's 'just' a technicality, albeit an important one: the Euclidean plane, in my understanding R^2, is strictly speaking all possibe values for x and y. the Euclidean half-plane is just that: a half-plane, and therefore possible to define a non-euclidean metric such as the poincare metric.
Last edited by frolloos on September 19th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
Alan
Posts: 10267
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Laplace-Beltrami equation

September 20th, 2011, 5:01 pm

No, the Poincare half-plane simply shares the same coordinates as half of a plane, but the metric is not Euclidean.
 
User avatar
frolloos
Posts: 1621
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Laplace-Beltrami equation

September 20th, 2011, 5:04 pm

crossed posts.
 
User avatar
Alan
Posts: 10267
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Laplace-Beltrami equation

September 20th, 2011, 5:07 pm

A better notation is probably R^2 and E^2. R^2 is just a set of coordinates. E^2 implies the same set of coordinates, but also an underlying Euclidean metric. Then, we can have R+^2.R+^2 is just the set of coordinates {(x,y): infty < x < infty; y > 0}H^2 is the Poincare half-plane model. It lives on these coordinates, but with the metric I wrote.
Last edited by Alan on September 19th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
frenchX
Posts: 5911
Joined: March 29th, 2010, 6:54 pm

Laplace-Beltrami equation

September 20th, 2011, 5:40 pm

the Laplace Beltrami operator can also be defined in discrete graphs right ?
 
User avatar
caperover
Topic Author
Posts: 285
Joined: June 25th, 2005, 4:54 pm

Laplace-Beltrami equation

September 20th, 2011, 5:50 pm

QuoteOriginally posted by: AlanQuoteOriginally posted by: caperoverHi, I read some papers on Laplace-Beltrami equation but cannot put everyting together. I guess some connections are missing. Can someone help?What is the difference and relationship between heat equation in 2D Euclidean space and on a Plane? Thanks,CRI'll take a stab at part of it.You have to distinguish various things: the coordinates vs. the metricFor the "heat equation in 2D Euclidean space", you could have1. The heat equation in 2D Euclidean space in the usual Cartesian coordinates. 2. The heat equation in 2D Euclidean space in polar coordinates.Both eqns describe the same "physics", but they look (outwardly) different and the Laplace-Beltrami operator gives you the right Laplacian.A visual plot of the evolution of the solution of either equation, say starting from a Dirac mass at the origin, would look exactly the same.For the "heat equation in the plane" , you could have3. The heat equation in a plane with a Euclidean metric.4. The heat equation in a plane with a non-Euclidean metric.Again 3 is describing the same physics as 1. and 2., but 4 is fundamentally different.4. describes the evolution of Brownian motion where there is intrinsic curvature. A standard example is the Poincare (half)-plane with the metric ds^2 = (dx^2 + dy^2)/y^2, on (-infty < x < infty, y > 0)which has constant negative curvature. A visual plot of the evolution of the solution of 4., starting from a Dirac mass at (x=0,y=1), looks very different from the Euclidean case. In fact, this heat kernel solution for 4., due to McKean, is known (lesniewski.us/papers/working/ProbDistrForSABR.pdf) --suggest you plot it to see my point.Thanks, Alan. I got you out of water. I will try to re-phrase my questions in your definitions.First, does the PDE solution have anything to do with the embedded curves or surfaces, for example, ||x|| = 1 for Poincare half-plane?I understand the relationship between 1 and 2, just change of variable or transformation of cooridiate, and as you said they describe exactly the same physics, but I don't quite understand 3. What does it exactly mean by "in the plane" or on the curve in a 2D case? Suppose we have the solution for a 2D PDE df/dt=0.5y^2( d^2f/dx^2 + d^2f/dy^2) in the Poincare half-plane with embedded curves ||x|| =1. Is there any relationship between the solution and the curves ||x|| = 1? How to visualize this? A Brownian with constant negative convexity, starting from a Dirac mass at (x=0,y=1), how will it evolve?Basically, how do we visualize the evolution of a PDE on a Riemannian manifold? or, intuitively how metric impacts the PDE coefficients?Second, is there any connection between 1 and 4?In the case of SABR with rho = 0, by changing variable the heat equation in the Euclidean space becomes the heat equation on Poincare half-plane. is there some more general connection?Third, why do we resort to PDE on non-Euclidean geometry? does it have anything to do with local cooridates?Some asymptotic expansions and aymptotic solutions have been derived for Laplace-Beltrami equations. Is that the only reason? In physics, sometimes it is convenient to solve a system in local coordiates, but in finance I did not see people mentioning that except for asymptotic solutions.Thanks a lot!
Last edited by caperover on September 19th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
frolloos
Posts: 1621
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Laplace-Beltrami equation

September 20th, 2011, 5:51 pm

QuoteOriginally posted by: AlanA better notation is probably R^2 and E^2. R^2 is just a set of coordinates. E^2 implies the same set of coordinates, but also an underlying Euclidean metric. Then, we can have R+^2.R+^2 is just the set of coordinates {(x,y): infty < x < infty; y > 0}H^2 is the Poincare half-plane model. It lives on these coordinates, but with the metric I wrote.yes, it's clearer to me now. just browsed through my copy of Nakahara's book. want to refresh my knowledge on this stuff, e.g. exact definition of isometric embeddings / mappings etc. it's a bit tricky to think of hyperbolic space as the upper half-plane because my intuition automatically likes to think of it as flat which is misleading. much better to think of Poincare half plane as a quotient group and then to look at the isometric mapping to half-plane. anyway, this wasn't the point of OP's question..
 
User avatar
frolloos
Posts: 1621
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Laplace-Beltrami equation

September 20th, 2011, 5:53 pm

QuoteOriginally posted by: frenchXthe Laplace Beltrami operator can also be defined in discrete graphs right ?yes, i saw/read somewhere about that but don't know anything about it and how it can be useful in finance (sth with finite difference methods??). i wonder also if there is any link between laplace-beltrami on graphs and Regge calculus..
 
User avatar
Cuchulainn
Posts: 62602
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Laplace-Beltrami equation

September 20th, 2011, 6:35 pm

QuoteOriginally posted by: frenchXthe Laplace Beltrami operator can also be defined in discrete graphs right ?Those old French and Italians were great.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
Alan
Posts: 10267
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Laplace-Beltrami equation

September 20th, 2011, 6:44 pm

QuoteOriginally posted by: caperoverQuoteOriginally posted by: AlanQuoteOriginally posted by: caperoverHi, I read some papers on Laplace-Beltrami equation but cannot put everyting together. I guess some connections are missing. Can someone help?What is the difference and relationship between heat equation in 2D Euclidean space and on a Plane? Thanks,CRI'll take a stab at part of it.You have to distinguish various things: the coordinates vs. the metricFor the "heat equation in 2D Euclidean space", you could have1. The heat equation in 2D Euclidean space in the usual Cartesian coordinates. 2. The heat equation in 2D Euclidean space in polar coordinates.Both eqns describe the same "physics", but they look (outwardly) different and the Laplace-Beltrami operator gives you the right Laplacian.A visual plot of the evolution of the solution of either equation, say starting from a Dirac mass at the origin, would look exactly the same.For the "heat equation in the plane" , you could have3. The heat equation in a plane with a Euclidean metric.4. The heat equation in a plane with a non-Euclidean metric.Again 3 is describing the same physics as 1. and 2., but 4 is fundamentally different.4. describes the evolution of Brownian motion where there is intrinsic curvature. A standard example is the Poincare (half)-plane with the metric ds^2 = (dx^2 + dy^2)/y^2, on (-infty < x < infty, y > 0)which has constant negative curvature. A visual plot of the evolution of the solution of 4., starting from a Dirac mass at (x=0,y=1), looks very different from the Euclidean case. In fact, this heat kernel solution for 4., due to McKean, is known (lesniewski.us/papers/working/ProbDistrForSABR.pdf) --suggest you plot it to see my point.Thanks, Alan. I got you out of water. I will try to re-phrase my questions in your definitions.First, does the PDE solution have anything to do with the embedded curves or surfaces, for example, ||x|| = 1 for Poincare half-plane?I understand the relationship between 1 and 2, just change of variable or transformation of cooridiate, and as you said they describe exactly the same physics, but I don't quite understand 3. What does it exactly mean by "in the plane" or on the curve in a 2D case? Suppose we have the solution for a 2D PDE df/dt=0.5y^2( d^2f/dx^2 + d^2f/dy^2) in the Poincare half-plane with embedded curves ||x|| =1. Is there any relationship between the solution and the curves ||x|| = 1? How to visualize this? A Brownian with constant negative convexity, starting from a Dirac mass at (x=0,y=1), how will it evolve?Basically, how do we visualize the evolution of a PDE on a Riemannian manifold? or, intuitively how metric impacts the PDE coefficients?Second, is there any connection between 1 and 4?In the case of SABR with rho = 0, by changing variable the heat equation in the Euclidean space becomes the heat equation on Poincare half-plane. is there some more general connection?Third, why do we resort to PDE on non-Euclidean geometry? does it have anything to do with local cooridates?Some asymptotic expansions and aymptotic solutions have been derived for Laplace-Beltrami equations. Is that the only reason? In physics, sometimes it is convenient to solve a system in local coordiates, but in finance I did not see people mentioning that except for asymptotic solutions.Thanks a lot!Briefly, I will just say that visualization comes from experience; also you can treat 2D problems with a metricas equivalent to a curved surface in Euclidean 3-space and picture motions (Brownian or otherwise) on that.For example, you can treat (part of the) Poincare half-plane as equivalent to the surface shown: (Note: left-right is y; the strip (-pi < x < pi) is the "theta" of the figure, with the ends of the strip identified. It is a partial embedding) Re: "why do we resort to PDE on non-Euclidean geometry?"Any parabolic evolution equation associated to dX = b(X) dt + a(X) dB, (X = n-vector; a(X) = n x n matrix)can be interpretted in two different, but ultimately equivalent, ways:1. Standard interpretation: the "particle" is diffusing in our familiar everyday (Euclidean) world, butthere is a spatially dependent diffusion (matrix) coefficient. Unless a(X) = constant (and ignore the drift),this is definitely _not_ standard Brownian motion. B(t) of the sde is a standard BM for Euclidean n-space.2. Alternative interpretation: the particle is diffusing on a Riemannian manifold (R^n,g) with metric g(x) = a^(-1)(x).Its motion is a "standard Brownian motion for _that_ manifold", perturbed by a (different) drift. For example, the beta=0 SABR process (with free motion across F=0) is a standard BM on the figure above, at least until the time the particle moves halfway round the circular direction. Sometimes point of view 2 is very useful; for example, for the small-time smile problem in finance.
Last edited by Alan on September 19th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
caperover
Topic Author
Posts: 285
Joined: June 25th, 2005, 4:54 pm

Laplace-Beltrami equation

September 20th, 2011, 9:16 pm

QuoteBriefly, I will just say that visualization comes from experience; also you can treat 2D problems with a metricas equivalent to a curved surface in Euclidean 3-space and picture motions (Brownian or otherwise) on that.For example, you can treat (part of the) Poincare half-plane as equivalent to the surface shown: (Note: left-right is y; the strip (-pi < x < pi) is the "theta" of the figure, with the ends of the strip identified. It is a partial embedding) Re: "why do we resort to PDE on non-Euclidean geometry?"Any parabolic evolution equation associated to dX = b(X) dt + a(X) dB, (X = n-vector; a(X) = n x n matrix)can be interpretted in two different, but ultimately equivalent, ways:1. Standard interpretation: the "particle" is diffusing in our familiar everyday (Euclidean) world, butthere is a spatially dependent diffusion (matrix) coefficient. Unless a(X) = constant (and ignore the drift),this is definitely _not_ standard Brownian motion. B(t) of the sde is a standard BM for Euclidean n-space.2. Alternative interpretation: the particle is diffusing on a Riemannian manifold (R^n,g) with metric g(x) = a^(-1)(x).Its motion is a "standard Brownian motion for _that_ manifold", perturbed by a (different) drift. For example, the beta=0 SABR process (with free motion across F=0) is a standard BM on the figure above, at least until the time the particle moves halfway round the circular direction. Sometimes point of view 2 is very useful; for example, for the small-time smile problem in finance.so your point is that in local coordinates SDE or PDE becomes spatially homogeneous?Suppose I have a heat equation with spatially inhomogenous coefficients. Is there a way to map Euclidean space to a surface such that the heat equation on the surface has constant coefficients?
Last edited by caperover on September 20th, 2011, 10:00 pm, edited 1 time in total.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On