arXiv research

Study proves uniform ellipticity implies uniform polyconvexity for anisotropic energy functionals.

We use a weighted variant of the frequency functions introduced by Almgren to prove sharp asymptotic estimates for almost eigenfunctions of the drift Laplacian associated to the Gaussian weight on an asymptotically conical end. As a consequence, we obtain a purely elliptic proof of a result of L. Wang on the uniqueness…

New geometric interpretations reveal structure of AC integrands.

We show that there is no analog of Kirszbraun's extension theorem for Almgren's multiple valued functions.

Solves optimal liquidation problem for stock price following geometric Brownian motion.

Optimizes liquidation strategies for assets with Levy process price dynamics.

This research proves that two min-max theories for hypersurfaces are equivalent.

The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal liquidation rhythm. The very question of the actual way to proceed with liquida…

We analyze a notion of multiple valued sections of a vector bundle over an abstract smooth Riemannian manifold, which was suggested by W. Allard in the unpublished note "Some useful techniques for dealing with multiple valued functions" and generalizes Almgren's $Q$-valued functions. We study some relevant properties o…

Constructs area-minimizing submanifolds with fractal singularities.

Proves spectra equivalence for Riemannian manifolds.

We propose two methods to obtain exact solutions for the Almgren-Chriss model about optimal execution of portfolio transactions. In the first method we rewrite the Almgren-Chriss equation and find two exact solutions. In the second method, employing a general reparametrized time, we show that the Almgren-Chriss equatio…

The paper constructs optimal hedging strategies for options with price impact.

Study confirms a 2-sphere metric with three geodesics of minimal length.

Study on the nodal set of Dirac equation solutions on manifolds.

Investigates convexity of minimizers under mass constraint using nonlocal perimeter and potential.

Paper proves existence of area-minimizing submanifolds on almost any manifold with fractal singular sets.

In this paper we discuss various minimality properties for the orthogonal product of two 1-dimensional $\Y$ sets, and some related problems. This is motivated by an attempt to give the classification of singularities for 2-dimensional Almgren-minimal sets in $\R^4$.

New method proves heat flow of harmonic maps into CAT(0) spaces.

Sharp stability in Almgren problem solved in any dimension.

Analytic saddle spheres in S^3 are equators.

In analogy with Almgren's Theorem for area minimizing currents of general dimension and codimension, we prove that an $m$-dimensional semicalibrated current in a $(n+m)$-dimensional $C^{3,\varepsilon_0}$ manifold, semicalibrated by a $C^{2,\varepsilon_0}$ $m$-form, has singular set of Hausdorff dimension at most $m-2$.

We aim at explaining the most basic ideas underlying two fundamental results in the regularity theory of area minimizing oriented surfaces: De Giorgi's celebrated $\varepsilon$-regularity theorem and Almgren's center manifold. Both theorems will be proved in a very simplified situation, which however allows to illustra…

Modeling market makers' quoting strategies to understand price impact.

We present an exposition of a remarkable example attributed to Frederick Almgren Jr. in \cite[Section 5.11]{Federer74} to illustrate the need of certain definitions in the calculus of variations. The Almgren-Federer example, besides its intended goal of illustrating subtle aspects of geometric measure theory, is also a…

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic interactions into the Almgre…

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-re…

In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization problem. We also discuss the optimality of the volume-weighted average-price st…

This is the last of a series of three papers in which we give a new, shorter proof of a slightly improved version of Almgren's partial regularity of area minimizing currents in Riemannian manifolds. Here we perform a blow-up analysis deducing the regularity of area minimizing currents from that of Dir-minimizing multip…

This paper optimizes brokerage contracts for multiple clients trading a single asset.

Proves existence of minimal surfaces with fixed boundary contact angle.

Researchers create a Kähler structure on complex projective plane using elliptic functions.

In this work we prove the existence of embedded closed minimal hypersurfaces in non-compact manifolds containing a bounded open subset with smooth and strictly mean-concave boundary and a natural behavior on the geometry at infinity. For doing this, we develop a modified min-max theory for the area functional following…

We introduce a notion of non-local almost minimal boundaries similar to that introduced by Almgren in geometric measure theory. Extending methods developed recently for non-local minimal surfaces we prove that flat non-local almost minimal boundaries are smooth. This can be viewed as a non-local version of the Almgren-…

We prove several results on Almgren's multiple valued functions and their links to integral currents. In particular, we give a simple proof of the fact that a Lipschitz multiple valued map naturally defines an integer rectifiable current; we derive explicit formulae for the boundary, the mass and the first variations a…

New deficit functions link elliptic and parabolic inequalities, proving log Sobolev.

Study proves orientability of specific hypersurfaces in positive Ricci curvature manifolds.

For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus…

We establish connectedness of volume constrained minimisers of energies involving surface tensions and convex potentials. By a previous result of McCann, this implies that minimisers are convex in dimension two. This positively answers an old question of Almgren. We also prove convexity of minimisers when the volume co…

The Min-max Theory for the area functional, started by Almgren in the early 1960s and greatly improved by Pitts in 1981, was left incomplete because it gave no Morse index estimate for the min-max minimal hypersurface. We advance the theory further and prove the first general Morse index bounds for minimal hypersurface…

New method for analyzing elliptic and parabolic equations.

In the early 1980's Almgren developed a theory of Dirichlet energy minimizing multi-valued functions, proving that the Hausdorff dimension of the singular set (including branch points) of such a function is at most $(n-2),$ where $n$ is the dimension of its domain. Almgren used this result in an essential way to show t…

Simple constructions of semi-discrete and discrete surfaces using Jacobi elliptic functions.

We give a parameterization of Alfred Gray's Elliptical Catenoid and Elliptical Hellicoid using Jacobi's elliptic functions. This parameterization avoids some problems present in the original depiction of these surfaces.

Anisotropic min-max theory constructs stable minimal surfaces in 3-manifolds.

Karcher reimagined elliptic functions using geometry.

The abstract finds conditions for creating curves of constant curvature.

The paper establishes a sub-additive inequality for volume and ε-phase-transition spectra of Riemannian manifolds.