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arXiv research

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.

169,051 papers · 148 categories

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48 results for Clark-Ocone theorem

Extends Clark-Ocone theorem to non-Malliavin differentiable random variables using Ito's formula.

problem Extending Clark-Ocone theorem to non-Malliavin differentiable random variables.
method Uses Ito's formula instead of Malliavin calculus.
result Explicit representation of locally risk-minimizing strategies for digital options in Levy models.

G-framework is presented by Peng [41] for measure risk under uncertainty. In this paper, we define fractional G-Brownian motion (fGBm). Fractional G-Brownian motion is a centered G-Gaussian process with zero mean and stationary increments in the sense of sub-linearity with Hurst index H(0,1)H\in (0,1). This process has sta…

2013-06-18abs ↗pdf ↗

Hedging strategies in bond markets are computed by martingale representation and the Clark-Ocone formula under the choice of a suitable of numeraire, in a model driven by the dynamics of bond prices. Applications are given to the hedging of swaptions and other interest rate derivatives, and our approach is compared to …

2013-04-23abs ↗pdf ↗

Establishes a microstructural foundation for a rough log-normal volatility model.

problem Developing a robust model for financial volatility under microstructural effects.
method Introduced a sequence of order-driven financial market models with Poisson process arrivals and analyzed their convergence to a log-normal rough volatility model.
result Weak convergence of price-volatility process to a log-normal rough volatility model with established weak error rates.

Myopic optimization outperforms reinforcement learning in portfolio management, leading to lower returns and higher risks.

problem Reinforcement learning strategies in portfolio management yield lower or negative returns and higher risks compared to myopic optimization.
method Modeling execution/liquidation frictions with mark-to-market accounting, using Malliavin calculus to derive policy gradients and risk shadow price, and quantifying phantom profit.
result Myopic optimization outperforms reinforcement learning in portfolio management, leading to better returns and lower risks.

Researchers develop Malliavin calculus for signatures, simplifying option Greeks computation.

problem Lack of tractability and explicit representations in Malliavin calculus.
method Focus on finite linear combinations of time-extended Brownian motion signatures, derive explicit formulas for Malliavin derivative, and compute Greeks for path-dependent options.
result Closed-form expressions for classical operators of Malliavin calculus, providing algebraic formulations.

The paper develops a new probabilistic framework for denoising diffusion models using free entropy and stochastic analysis.

problem Developing a mathematical framework for denoising diffusion models in noncommutative settings.
method Formulating diffusion and reverse processes governed by operator-valued stochastic dynamics, using tools from free stochastic analysis.
result Establishing an information-geometric link between entropy production, transport, and deconvolution.

Paper develops a new framework for analyzing certainty equivalents and dynamic risk premia using Malliavin calculus and Wiener chaos analysis.

problem Limitations of Arrow-Pratt approximation for arbitrary sequences of vanishing risks.
method Develops a new framework based on Malliavin calculus and Wiener chaos analysis, combining Itô calculus, the Clark--Ocone representation, and the Wiener chaos decomposition.
result Establishes a unified framework linking expected utility theory, stochastic analysis, and Wiener chaos expansions, revealing higher-order certainty equivalents and dynamic risk premia.

The paper proves three circles theorems and Liouville type theorems for subharmonic and holomorphic functions.

problem Establishing theorems for subharmonic and holomorphic functions on specific geometric structures.
method Using subharmonic and holomorphic functions on Riemannian manifolds and gradient shrinking Ricci solitons.
result Proves Liouville type theorems as applications of the established theorems.

Paper generalizes complex Brunn-Minkowski theory and proves new extension theorems.

problem Complex Brunn-Minkowski theory and extension theorems.
method Hilbert bundle approach to complex Brunn-Minkowski theory.
result Generalizes Guan's sharp strong openness theorem and sharp Ohsawa-Takegoshi extension theorem.

Formulates Index III lemma and Rauch III theorem with applications.

problem Develops new mathematical theorems based on existing ones.
method Formulation of Index III lemma and Rauch III theorem based on Index I, II lemmas and Rauch I, II theorems.
result Presented Rauch's type theorem and volume comparison result as applications.

In LM, we proved a family version of the famous Witten rigidity theorems and several family vanishing theorems for elliptic genera. In this paper, we gerenalize our theorems LM in two directions. First we establish a family rigidity theorem for the Dirac operator on loop space twisted by general positive energy loop gr…

1999-11-05abs ↗pdf ↗

The paper explains the topological origin of the distinction between incidence theorems over division rings and fields.

problem Understanding the distinction between incidence theorems over division rings and fields.
method Extending the surface-graph approach to noncommutative settings, the paper analyzes the topological properties of graphs embedded on surfaces of different genera.
result Theorems associated with graphs on the sphere hold over any division ring, while those on surfaces of positive genus typically hold only if the ground ring is a field.

INT benchmark tests theorem proving agents' ability to generalize to unseen theorems.

problem Evaluating theorem proving agents' ability to generalize to unseen theorems.
method INT benchmark based on a theorem generation and proof procedure with adjustable knobs for measuring 6 types of generalization.
result MCTS can help agents prove new theorems.

A homological selection theorem for C-spaces, as well as, a finite-dimensional homological selection theorem is established. We apply the finite-dimensional homological selection theorem to obtain fixed-point theorems for usco homologically UV^n set-valued maps.

2016-05-11abs ↗pdf ↗

The paper proves injectivity and vanishing theorems on compact Kahler manifolds.

problem Injectivity and vanishing theorems on compact Kahler manifolds.
method Hodge theory, Bochner-Kodaira-Nakano identity, analytic method, transcendental method, Demailly-Peternell-Schneider equisingular approximation theorem, Hormander L2 estimates.
result The main injectivity theorem implies several Nadel type vanishing theorems.

The study establishes comparison theorems for weighted Finsler manifolds and spacetimes.

problem Analyzing weighted Finsler manifolds and spacetimes with curvature conditions.
method Using weight function and εε-range, the Bonnet-Myers theorem, Laplacian comparison theorem, and Bishop-Gromov volume comparison theorem are formulated.
result New comparison theorems for weighted Finsler manifolds and spacetimes are derived, including those for weighted Riemannian manifolds.