arXiv research

The paper improves PCS approximation for ranking and selection under limited simulation budgets.

Sharp large deviations and Gibbs conditioning for portfolio credit risk models.

The paper analyzes a private likelihood-ratio test for frequency tables under differential privacy constraints.

Rescaling expansiveness proven for k*-expansive vector fields.

The paper derives expansions for Green's operators and resolvents using Hadamard methods.

Develops a martingale expansion for stochastic volatility models.

Taylor expansions improve reinforcement learning policies.

Analytic torsion expansions for symmetric and complex homogeneous spaces.

Proved cyclotomic expansion for double twist knots' HOMFLY-PT invariants.

Study of hypersurfaces with specific expansion properties.

A new hypergraph expansion method treats vertices and hyperedges equally, improving node classification.

The paper calculates asymptotic expansions for specific types of oscillatory integrals.

Dropout increases the generalization of neural networks by expanding the weight space.

New derivation of knot invariants from universal invariant.

This work explores functional expansions to handle path dependence in various fields.

In the planar limit of the 't Hooft expansion, the Wilson-loop average in 3d Chern-Simons theory (i.e. the HOMFLY polynomial) depends in a very simple way on representation (the Young diagram), so that the (knot-dependent) Ooguri-Vafa partition function becomes a trivial KP tau-function. We study higher genus correctio…

Paper calculates third coefficient in Kaehler-Einstein metric expansion.

We describe the first known mean-field study of landing probabilities for random walks on hypergraphs. In particular, we examine clique-expansion and tensor methods and evaluate their mean-field characteristics over a class of random hypergraph models for the purpose of seed-set community expansion. We describe paramet…

Study on heat trace expansion for thermoelastic Dirichlet-to-Neumann map.

The paper proposes and proves asymptotic expansions for quantum invariants.

New method models portfolios with leptokurtic risk factors using Gram-Charlier expansions.

Develops AMITE for analyzing neural network nonlinearities.

We survey recent results about the asymptotic expansion of Toeplitz operators and their kernels, as well as Berezin-Toeplitz quantization. We deal in particular with calculation of the first coefficients of these expansions.

Paper presents new expansions for option pricing with cash dividends.

The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff func- tions. The result provides a validat…

The paper uses polyhedral expansions to capture the shape of compact metric spaces.

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kern…

We quantify predictive uncertainty using the posterior predictive variance.

The study improves volatility model pricing accuracy with new statistical expansions.

The notion of a symplectic expansion directly relates the topology of a surface to formal symplectic geometry. We give a method to construct a symplectic expansion by solving a recurrence formula given in terms of the Baker-Campbell-Hausdorff series.

For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log strike. We illustrate the versatility of our expansion by computing t…

Researchers calculate the second coefficient in the expansion of a Toeplitz operator.

Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time $T>0$, with $l \leq d$. Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptot…

We introduce an asymptotic small noise expansion, a so called vol-of-vol expansion, for potentially infinite dimensional and rough stochastic volatility models. Thereby we extend the scope of existing results for finite dimensional models and validate claims for infinite dimensional models. Furthermore we provide new, …

For an orientable surface $S$ of finite topological type with genus $g \geq 3$, we construct a finite set of curves whose union of iterated rigid expansions is the curve graph of $S$. The set constructed, and the method of rigid expansion, are closely related to Aramayona and Leiniger's finite rigid set, and in fact a …

An overview of the perturbative expansion of the Chern--Simons path integral is given. The main goal is to describe how trivalent graphs appear: as they already occur in the perturbative expansion of an analogous finite-dimensional integral, we discuss this case in detail.

We investigate the analogy between the large N expansion in normal matrix models and the asymptotic expansion of the determinant of the Hilb map, appearing in the study of critical metrics on complex manifolds via projective embeddings. This analogy helps to understand the geometric meaning of the expansion of matrix m…

Using sequence to sequence algorithms for query expansion has not been explored yet in Information Retrieval literature nor in Question-Answering's. We tried to fill this gap in the literature with a custom Query Expansion engine trained and tested on open datasets. Starting from open datasets, we built a Query Expansi…

Study local expansions of continuous-time processes using Ito signature properties.

Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of $N$ caped (and probably floored) returns. It is noticed, that $1/\sqrt{N}$ can be used as a small parameter in Edgeworth expansion. First …

The article calculates asymptotic expansions for quantum invariants from surgeries on Whitehead link components.

Let $X$ be a compact connected strongly pseudoconvex CR manifold of dimension $2n+1, n \ge 1$ with a transversal CR $S^1$ action on $X$. We establish an asymptotic expansion for the $m$-th Fourier component of the Szegő kernel function as $m\rightarrow\infty$, where the expansion involves a contribution in terms of a d…

In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our …

Researchers derive asymptotic expansions for thermoelastic operators on manifolds.

Generalizes expansion and collapse theory to metric spaces.

We establish multiparameter resolvent trace expansions for elliptic boundary value problems, polyhomogeneous both in the resolvent and the auxiliary parameter. The present analysis is rooted in the joint project with Matthias Lesch on multiparameter resolvent trace expansions on revolution surfaces with applications to…

This an announcement for the generalized asymptotic expansion of Tian-Yau-Zeldtich.

In this report, we derive a non-negative series expansion for the Jensen-Shannon divergence (JSD) between two probability distributions. This series expansion is shown to be useful for numerical calculations of the JSD, when the probability distributions are nearly equal, and for which, consequently, small numerical er…