Quantitative Analysis.
Trading Platform.
Author.

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I.Basic math.
1.Conditional probability.
2.Normal distribution.
3.Brownian motion.
4.Topics in stochastic analysis.
5.Poisson process.
6.Kolmogorov's equations in general setting.
7.Hamilton-Jacobi Equations.
A.Characteristics.
B.Hamilton equations.
C.Lagrangian.
D.Connection between Hamiltonian and Lagrangian.
E.Lagrangian for the heat equation.
8.Convex Analysis.
9.Real Variable.
10.Fundamental solutions. Calculus of distributions.
II.Pricing and Hedging.
III.Explicit techniques.
IV.Data Analysis.
V.Implementation tools.
VI.Applications.
Bibliography.
Forum Notation Index Contents

Connection between Hamiltonian and Lagrangian.


ssume that the function $x\left( s\right) $ solves the Euler-Lagrange equation. We introduce the functionMATH Assume further that the equation

MATH(generalized impulse equation)
has a unique smooth solution
MATH(generalized impulse solution)
It follows thatMATH consequently MATH We define a Hamiltonian associated with the Lagrangian $L$ as follows:MATH

Claim

Under assumption that the $x$ solves the EL equation ( Euler Lagrange equation) and the $p$ and $q$ are defined as above, the $p$ and $x$ solve the Hamilton equations:MATH and MATH

Proof

We have the relationshipsMATH satisfied at $x\left( s\right) $ and the definitionMATH We calculate the derivatives MATH, MATH and $\frac{d}{ds}H$ at $x\left( s\right) $ accordingly:MATHMATH





Forum Notation Index Contents


















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