arXiv research

Study optimal portfolio choice with risk control for log-returns.

New algorithm solves complex non-convex problems efficiently.

Study optimal consumption for loss-averse agents considering past spending peaks.

We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support property. We show that the super-replication price is the cheapest cost of a trivial s…

We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the martingale inequality is determined by a fixed point of a simple nonlinear operato…

We develop the first steps of a parabolic pluripotential theory in bounded strongly pseudo-convex domains of Cn. We study certain degenerate parabolic complex Monge-Amp{è}re equations, modelled on the K{ä}hler-Ricci flow evolving on complex algebraic varieties with Kawamata log-terminal singularities. Under natural ass…

Investigates portfolio selection with transaction costs and stochastic volatility, using deep learning for computation.

Study complex Monge-Ampère flows on Kähler manifolds using Perron method.

We solve S-shaped utility portfolio selection with SD constraints using algorithms and neural networks.

Correct method found for drawing precise envelope of straight lines.

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By contrast to the previous literature, see, e.g., Obizhaeva and Wang (2005), Predoiu,…

Study three discrete envelope types of polygon bisection lines.

Paper solves four problems of pseudo-circle envelopes in Minkowski plane.

Describes envelopes of Thurston metric on Teichmüller space.

This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial derivatives. While the previous literature has connected super-replication values …

In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems for arbitrarily small transaction costs. This result applies to a large class o…

Improves regression efficiency by separating material and immaterial parts of responses.

Study circle families' envelopes and related curves.

Solves four problems related to circle families in the plane.

New method for operating envelope identifies key performance indicators without arbitrary binning.

New Lie group approach for envelope surface computation.

Solves four problems related to sphere families in 3D space.

The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is characterized by the upper Snell envelope. The infimum of the arbitrage free prices is characterized by the lower Snell envelope. In this paper we …

This paper explores geometric insights into discrete R-congruences and their envelopes.

Study on Laplacian determinant in isosceles triangles, finding equilateral triangle minimizes determinant.

Enhances neural network robustness with polyhedral envelope regularization.

This work uses Lasry-Lions envelopes to solve nonconvex optimization problems.

DE-PSGLD samples from constrained distributions in a decentralized manner.

We make a systematic study of (quasi-)plurisubharmonic envelopes on compact Kähler manifolds, as well as on domains of $\mathbb{C}^n$, by using and extending an approximation process due to Berman [Ber13]. We show that the quasi-psh envelope of a viscosity super-solution is a pluripotential super-solution of a given co…

New geometric mechanism solves four envelope problems.

We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be approximated using linear programming (LP) problems which result from a discretisa…

New methods help escape strict saddle points in nonsmooth optimization.

The paper proves boundedness of envelopes in complex manifolds.

We prove that the forgetful functor from groupoids to pregroupoids has a left adjoint, with the front adjunction injective. Thus we get an enveloping groupoid for any pregroupoid. We prove that the category of torsors is equivalent to that of pregroupoids. Hence we also get enveloping groupoids for torsors, and for pri…

We give a global description of envelopes of geodesic tangents of regular curves in (not necessarily convex) Riemannian surfaces. We prove that such an envelope is the union of the curve itself, its inflectional geodesics and its tangential caustics (formed by the conjugate points to those of the initial curve along th…

By using the support function on the $xy$-plane, we show the necessary and sufficient conditions for the existence of envelopes of horizontal lines in the 3D-Heisenberg group. A method to construct horizontal envelopes from the given ones is also derived, and we classify the solutions satisfying the construction.

We view conformal surfaces in the 4--sphere as quaternionic holomorphic curves in quaternionic projective space. By constructing enveloping and osculating curves, we obtain new holomorphic curves in quaternionic projective space and thus new conformal surfaces. Applying these constructions to Willmore surfaces, we show…

Smooth convergence to an enveloping cylinder proved for mean curvature flow of complete graphical hypersurfaces.

We study the geometry of Outer Space $CV_n$ in regard of the asymmetric Lipschitz metric via envelopes, that is the set of all geodesics between two points. In the simplicial structure of $CV_n$ the envelopes are polytopes. We construct a piecewise unique geodesic between any two points in $CV_n$ by concatenating edges…

Defines a calculus for integrating Moreau envelopes in differentiable programming.

We consider smooth 1-parameter families of plane curves tangent to a semicubic parabola, when the curvature radius of their curves at the tangency point vanishes at the cusp point. We find the $\A$-normal form of these families, their envelopes and local patterns near the cusp. We obtain a new codimension 2 singularity…

Given any smooth plane curve α(s)representing a mirror that reflects light the usual way and any radiant light source at a point in the plane, the reflected light will produce a caustic envelope. For such an envelope, we show that there is an associated curve \b{eta}(s) and a family of circles C(s) that roll on \b{eta}…

A spacetime can be embedded in an enveloping space with all its extensions.

The envelope of straight lines affine normal to a plane curve C is its affine evolute; the envelope of the affine lines tangent to C is the original curve, together with the entire affine tangent line at each inflexion of C. In this paper, we consider plane curves without inflexions. We use some techniques of singulari…

The paper extends a theorem to Lie-Rinehart algebras and provides new decompositions of universal enveloping algebras.

For a pair of points in a smooth closed convex planar curve $γ$, its mid-line is the line containing its mid-point and the intersection point of the corresponding pair of tangent lines. It is well known that the envelope of the mid-lines ($EML$) is formed by the union of three affine invariants sets: Affine Envelope Sy…

In this paper, we further study the forward-backward envelope first introduced in [28] and [30] for problems whose objective is the sum of a proper closed convex function and a twice continuously differentiable possibly nonconvex function with Lipschitz continuous gradient. We derive sufficient conditions on the origin…

Enhances LLM quantization with MDBF, improving perplexity and accuracy.