A Brief Primer on the Legendre Transformation

Guidance is offered for understanding and using the Legendre transformation and its associated duality among functions and curves. The genesis of this paper was encounters with colleagues and students asking about the transformation. A main feature is simplicity of exposition, while keeping in mind the purpose or application for using the transformation.

Chebyshev-Legendre method for discretizing optimal control problems

In this paper, a numerical method for solving the optimal control （OC） problems is presented. The method is enlightened by the Chebyshev-Legendre （CL） method for solving the partial differential equations （PDEs）. The Legendre expansions are used to approximate both the control and the state functions. The constraints are discretized over the Chebyshev-Gauss-Lobatto （CGL） collocation points. A Legendre technique is used to approximate the integral involved in the performance index. The OC problem is changed into an equivalent nonlinear programming problem which is directly solved. The fast Legendre transform is employed to reduce the computation time. Several further illustrative examples demonstrate the efficiency of the proposed method.

THE OPTIMAL REINSURANCE-INVESTMENT PROBLEM CONSIDERING THE JOINT INTERESTS OF AN INSURER AND A REINSURER UNDER HARA UTILITY

This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a reinsurer.Assume that the insurer can purchase reinsurance from the reinsurer,and that both the insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset which are governed by the Heston model and are distinct from one another.We aim to find the optimal reinsuranceinvestment strategy by maximizing the expected Hyperbolic Absolute Risk Aversion(HARA)utility of the insurance corporation’s terminal wealth,which is the weighted sum of the insurer’s and the reinsurer’s terminal wealth.The Hamilton-Jacobi-Bellman(HJB)equation is first established.However,this equation is non-linear and is difficult to solve directly by any ordinary method found in the existing literature,because the structure of this HJB equation is more complex under HARA utility.In the present paper,the Legendre transform is applied to change this HJB equation into a linear dual one such that the explicit expressions of optimal investment-reinsurance strategies for-1≤ρi≤1 are obtained.We also discuss some special cases in a little bit more detail.Finally,numerical analyses are provided.

CONSTANT ELASTICITY OF VARIANCE MODEL AND ANALYTICAL STRATEGIES FOR ANNUITY CONTRACTS

The constant elasticity of variance（CEV） model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant＇s whole life in the pension plan. Finally, two explicit solutions to exponential utility function in the two different periods （before and after retirement） are revealed. Hence, the optimal investment strategies in the two periods are obtained.

The Minkowski norm and Hessian isometry induced by an isoparametric foliation on the unit sphere

Let M_(t) be an isoparametric foliation on the unit sphere(S^(n−1)(1),g^(st))with d principal curvatures.Using the spherical coordinatesinduced by M_(t),we construct a Minkowski norm with the representation F=r√2f(t),which generalizes the notions of(α,β)-norm and(α1,α2)-norm.Using the technique of the spherical local frame,we givean exact and explicit answer to the question when F=r√2 f(t)really defines a Minkowski norm.Using the similar technique,we study the Hessian isometry Φ between two Minkowski norms induced by M_(t),which preservesthe orientation and fixes the spherical ξ-coordinates.There aretwo ways to describe this Φ,either by a system of ODEs,or by its restriction toany normal plane for M_(t),which is then reduced to a Hessian isometry between Minkowski norms on R^(2) satisfying certain symmetry and(d)-properties.When d>2,we prove that this Φ can be obtained by gluing positive scalar multiplications and compositions of the Legendre transformation and positive scalar multiplications,so it must satisfy the(d)-property for any orthogonal decomposition R^(n)=V'+V'',i.e.,for any nonzero x=x'+x'' and Φ(x)=x=x'+x''with x',x'∈V'and x'',x''∈V'',we have g_(x)^(F1)(x'',x)=g_(x)^(F2)x(x'',x).As byproducts,we prove the following results.On the indicatrix(S_(F,g)),where F is a Minkowski norm induced by M_(t) and g is the Hessian metric,the foliation N_(t)=S_(F)∩R>_(0)M_(0) is isoparametric.Laugwitz Conjecture is valid for a Minkowski norm F induced by M_(t),i.e.,if its Hessian metric g is flat on R^(n)\{0}with n>2,then F is Euclidean.