arXiv research

Directly simulates squared Bessel processes efficiently.

We consider the exact path sampling of the squared Bessel process and some other continuous-time Markov processes, such as the CIR model, constant elasticity of variance diffusion model, and hypergeometric diffusions, which can all be obtained from a squared Bessel process by using a change of variable, time and scale …

Paper proves existence and uniqueness of solutions to PIDEs in Bessel spaces for option pricing.

We consider models of the population or opinion dynamics which result in the non-linear stochastic differential equations (SDEs) exhibiting the spurious long-range memory. In this context, the correspondence between the description of the birth-death processes as the continuous-time Markov chains and the continuous SDE…

This paper is motivated by questions about averages of stochastic processes which originate in mathematical finance, originally in connection with valuing the so-called Asian options. Starting with research of Yor's in 1992, these questions about exponential functionals of Brownian motion have been studied in terms of …

This paper extends barrier option pricing to CIR and CEV models using semi-closed form solutions.

Paper analyzes multidimensional PIDEs for financial modeling, proving existence and uniqueness in Bessel spaces.

The tetrahedral index connects to a q-Bessel function, revealing new mathematical techniques.

In this note we construct a family of immersions with constant mean curvature of the twice-punctured Riemann sphere into R^3 from the Bessel equation.

This work extends Tweedie's formulae to non-Gaussian processes for better diffusion model generation.

We study the geometry and partial differential equations arising from the consideration of Frobenius determinants, also called-group-determinants. This leads us to address some aspects of twistor theory as well as some extensions of Bessel functions.

Orthogonal random features approximate a Bessel kernel, offering sharper bounds than random Fourier features.

Given a compact Riemannian manifold (M n , g) with boundary $\partial$M , we give an estimate for the quotient $\partial$M f d$μ$ g M f d$μ$ g , where f is a smooth positive function defined on M that satisfies some inequality involving the scalar Laplacian. By the mean value lemma established in [37], we provide a dif…

Model financial market with fundraiser and stock, derive option prices.

New simulation method simplifies Heston model with Poisson conditioning for better accuracy and efficiency.

Following Donaldson's oppenness theorem on deforming a conical Kähler-Einstein metric, we prove a parabolic Schauder-type estimate with respect to conical metrics. As a corollary, we show that the conical Kähler-Ricci Flow exists for short time. The key is to establish the relevant heat kernel estimates, where we use t…

We propose two main applications of Gyöngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional marginals of continuous Itô processes. Firstly, we prove Dupire (1994) and Derman and Kani (1994)'s result. We then present Bessel-based stochastic volatility mod…

Global harmonic maps into SU(1,1) constructed from Smyth potentials using DPW method.

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for probability densities of single-sided level crossing problem. The framework is applicabl…

Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the s…

This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional time-homogeneous diffusions even for the cases where the corresponding transition den…

Unique solutions found for diffusive martingale problems.

We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process with known first hitting (first passage) time statistics. Using these results w…

Study Hardy identities and inequalities on Cartan-Hadamard manifolds.

Derivatives of sub-Riemannian geodesics are always $L_p$-Hölder continuous.

The paper studies projections of asset prices under equivalent martingale measures.

The paper shows that benchmark-neutral pricing minimizes option prices.

In sparse Bayesian learning (SBL), Gaussian scale mixtures (GSMs) have been used to model sparsity-inducing priors that realize a class of concave penalty functions for the regression task in real-valued signal models. Motivated by the relative scarcity of formal tools for SBL in complex-valued models, this paper propo…

Study phase transitions in noisy transformer dynamics on spheres.

In this paper we discuss Bayesian nonconvex penalization for sparse learning problems. We explore a nonparametric formulation for latent shrinkage parameters using subordinators which are one-dimensional Lévy processes. We particularly study a family of continuous compound Poisson subordinators and a family of discrete…

Paper solves PDEs for optimal investment strategies in volatile markets.

In this paper, we derive a new handy integral equation for the free-boundary of infinite time horizon, continuous time, stochastic, irreversible investment problems with uncertainty modeled as a one-dimensional, regular diffusion $X$. The new integral equation allows to explicitly find the free-boundary $b(\cdot)$ in s…

New method for pricing barrier options in time-dependent λ-SABR model.

New method calculates geometric Brownian motion with affine drift and its integral.

This article concerns new off-diagonal estimates on the remainder and its derivatives in the pointwise Weyl law on a compact n-dimensional Riemannian manifold. As an application, we prove that near any non self-focal point, the scaling limit of the spectral projector of the Laplacian onto frequency windows of constant …

In this paper we study the problem of deriving further Sobolev inequalities from a given Sobolev inequality. We use several different methods, including Bessel potentials and Riesz transforms. We apply the results to the Ricci flow to extend the author's results on the $W^{1,2}$ Sobolev inequality along the Ricci flow …

Solves a long-standing problem on step-two groups with exact formulas.

It is shown that most of the well-known basic results for Sobolev-Slobodeckii and Bessel potential spaces, known to hold on bounded smooth domains in $\mathbb{R}^n$, continue to be valid on a wide class of Riemannian manifolds with singularities and boundary, provided suitable weights, which reflect the nature of the s…

Investigates fund separations and stability for long-term optimal investments.

In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function. This path integral …

The paper examines how the angle between inputs in ReLU networks decreases with depth, impacting training.

New sampling method for Heston model reduces complexity.

Paper analyzes EM algorithm's trajectory in 2MLR, revealing cycloid behavior.

The paper defines function spaces on manifolds with bounded or singular geometries.

A rather complete investigation of anisotropic Bessel potential, Besov, and Hölder spaces on cylinders over (possibly) noncompact Riemannian manifolds with boundary is carried out. The geometry of the underlying manifold near its 'ends' is determined by a singularity function which leads naturally to the study of weigh…

Study of financial models using PIDEs with and without market liquidity.

We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented systematically, proved to be successful in extensive historical and real-time experi…

In this paper, we present a Bayesian channel estimation algorithm for multicarrier receivers based on pilot symbol observations. The inherent sparse nature of wireless multipath channels is exploited by modeling the prior distribution of multipath components' gains with a hierarchical representation of the Bessel K pro…