A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New findings on null measurability in symmetrization interface of VC learning.
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach is based on a general representation result for monotone convex functionals, a fu…
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require contingent claims to be upper semicontinuous, allowing for upper semi-analytic ones. The generalized duality stipulate…
Choquet regularization improves exploration in RL.
New risk measures for quantiles under ambiguity improve risk sharing.
Choquet and minimax expectations are equivalent in European option pricing.
The paper introduces risk consistency properties for credit ratings.
Study on risk measures using distorted Choquet integrals with random distortions.
Short-time existence for the Einstein-Euler and the vacuum Einstein equations is proven using a Friedrich inspired formulation due to Choquet-Bruhat and York, where the system is cast into a symmetric hyperbolic form and the Riemann tensor is treated as one of the fundamental unknowns of the problem. The reduced system…
In the paper we give necessary and sufficient conditions for the Jensen inequality to hold for the generalized Choquet integral with respect to a pair of capacities. Next, we apply obtained result to the theory of risk aversion by providing the assumptions on utility function and capacities under which an agent is risk…
Mobile app development in recent years has resulted in new products and features to improve human life. Mobile telematics is one such development that encompasses multidisciplinary fields for transportation safety. The application of mobile telematics has been explored in many areas, such as insurance and road safety. …
Proves properties of maximal hypersurfaces in specific spacetimes.
Modeling reinsurance market, we find subgame perfect Nash equilibria.
Expands learning paradigm to stochastic orders using Choquet-Toland distance and Variational Dominance Criterion.
Paper revises power theory using classical mechanics concepts.
Study transverse measures on infinite type hyperbolic surfaces.
Continuous monitoring of cardiac health under free living condition is crucial to provide effective care for patients undergoing post operative recovery and individuals with high cardiac risk like the elderly. Capacitive Electrocardiogram (cECG) is one such technology which allows comfortable and long term monitoring t…
This paper reviews incompatibilities of comonotonic risk measures.
Paper tackles inventory management with deep learning, improving performance and adherence to constraints.
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
Recursive KalmanNet generalizes well in noisy, out-of-distribution scenarios.
Learning how to automatically solve optimization problems has the potential to provide the next big leap in optimization technology. The performance of automatically learned heuristics on routing problems has been steadily improving in recent years, but approaches based purely on machine learning are still outperformed…
A framework for reinforcement learning tackles CVRP with competitive results.
Model-free preference under ambiguity defined and applied.
In this short note we consider a dynamic assortment planning problem under the capacitated multinomial logit (MNL) bandit model. We prove a tight lower bound on the accumulated regret that matches existing regret upper bounds for all parameters (time horizon , number of items and maximum assortment capacity )…
We follow the approach employed by Y. Choquet-Bruhat, J. Isenberg and D. Pollack in the case of closed manifolds and establish existence and non-existence results for the Einstein-scalar field constraint equations on asymptotically hyperbolic manifolds.
Sym-NCO leverages symmetricities to improve DRL-NCO performance.
New principles for collapsing law-invariant functionals to means, extending beyond convexity.
Transformers improve solving mixed-integer programs, especially CLSP.
The paper bounds solutions to complex optimization problems with uncertain data.
The paper solves an insurance problem using mean-variance and rank-dependent utility theory.
We present a novel spectral embedding of graphs that incorporates weights assigned to the nodes, quantifying their relative importance. This spectral embedding is based on the first eigenvectors of some properly normalized version of the Laplacian. We prove that these eigenvectors correspond to the configurations of lo…
A new convex loss function optimizes set predictions with balanced size and coverage.
In this paper, we define a new capacity which allows us to control the behaviour of the Dirichlet spectrum of a compact Riemannian manifold with boundary, with "small" subsets (which may intersect the boundary) removed. This result generalizes a classical result of Rauch and Taylor ("the crushed ice theorem"). In the s…
New insights into risk aversion for complex decision models.
The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choque…
The paper explores optimal insurance contracts using various deviation measures.
We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capacity generated by martingale measures satisfying additional constraints to ensure compatibility with the quotient sets. These sets contain st…
This paper explores supervised techniques for continuous anomaly detection from biometric touch screen data. A capacitive sensor array used to mimic a touch screen as used to collect touch and swipe gestures from participants. The gestures are recorded over fixed segments of time, with position and force measured for e…
In this work, we use the global analysis and degree-theoretic methods introduced by Smale to study the existence and multiplicity of solutions of the vacuum Einstein constraint equations given by the conformal method of Lichnerowicz-Choquet-Bruhat-York. In particular this approach gives a new proof of the existence res…
In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional, such as the mean or a quantile of the predictive distribution. When evaluating and comparing competing forecasts, it is then critical that the scoring function used for these purposes be co…
We prove short-time existence for the Einstein-Euler-Entropy system for non-isentropic fluids with data in uniformly local Sobolev spaces. The cases of compact as well as non-compact Cauchy surfaces are covered. The method employed uses a Lagrangian description of the fluid flow which is based on techniques developed b…
In 1969, Choquet-Bruhat and Geroch established the existence of a unique maximal globally hyperbolic Cauchy development of given initial data for the Einstein equations. Their proof, however, has the unsatisfactory feature that it relies crucially on the axiom of choice in the form of Zorn's lemma. In this paper we pre…
Motivated by recent work of Choquet-Bruhat, Chrusciel, and Martin-Garcia, we prove monotonicity properties and comparison results for the area of slices of the null cone of a point in a Lorentzian manifold. We also prove volume comparison results for subsets of the null cone analogous to the Bishop-Gromov relative volu…
The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.
This work introduces a new metric for comparing imprecise probability models.
We extend Eardley and Moncrief's estimates for the conformally invariant Yang-Mills-Higgs equations to the Einstein cylinder. Our method is to first work on Minkowski space and localise their estimates, and then carry them to the Einstein cylinder by a conformal transformation. By patching local estimates to…
We present an end-to-end framework for solving the Vehicle Routing Problem (VRP) using reinforcement learning. In this approach, we train a single model that finds near-optimal solutions for problem instances sampled from a given distribution, only by observing the reward signals and following feasibility rules. Our mo…