arXiv research

New Crofton formulae derived from existing ones.

We suggest an algorithm allowing to obtain some new integral-geometric formulae from the existing formulae of Crofton type. These new formulae are applied to get smooth versions of BKK theorem. The algorithm is based on the calculations in the ring of normal densities on a manifold.

Paper establishes a density formula for diffusion models, linking target density to score function.

We present the area and coarea formulas for Lipschitz maps, valid for general volume densities. As applications, we give a short, "euclidean" proof of the anisotropic Sobolev inequality and describe an anisotropic tube formula for hypersurfaces in $mathbb{R}^n$. A discussion about the first variation of the anisotropic…

Study area and coarea formulas for graphs and submanifolds in Carnot groups.

We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model…

Derives formulae linking SABR model parameters to ATM and option prices.

Study finds the number of modes in Gaussian kernel density estimators scales with sqrt(β log β).

We show that the residue density of the logarithm of a generalised Laplacian on a closed manifold defines an invariant polynomial valued differential form. We express it in terms of a finite sum of residues of classical pseudodifferential symbols. In the case of the square of a Dirac operator, these formulae provide a …

We study harmonic maps from Riemannian manifolds into arbitrary non-positively curved and CAT(-1) metric spaces. First we discuss the domain variation formula with special emphasis on the error terms. Expanding higher order terms of this and other formulas in terms of curvature, we prove an analogue of the Eels-Sampson…

Ancient formula connects volume forms and infinitesimal square volumes in manifolds.

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-diffusion mode…

New formulas for measuring geometric properties of definable sets.

Analyzes packing of circles in bounded and unbounded planes using mathematical formulas.

We consider the renormalized Bochner Laplacian acting on tensor powers of a positive line bundle on a compact symplectic manifold. We derive an explicit local formula for the spectral density function in terms of coefficients of the Riemannian metric and symplectic form.

Paper unifies curvature concepts for Lie groupoids and algebroids.

Square-tiled surfaces can be classified by their number of squares and their cylinder diagrams (also called realizable separatrix diagrams). For the case of $n$ squares and two cone points with angle $4 π$ each, we set up and parametrize the classification into four diagrams. Our main result is to provide formulae for …

We study the dynamical behaviors of degenerate stochastic differential equations (SDEs). We select an auxiliary Fisher information functional as the Lyapunov functional. Using generalized Fisher information, we conduct the Lyapunov exponential convergence analysis of degenerate SDEs. We derive the convergence rate cond…

This note is an addendum to our earlier work \cite{humi}. In \cite{humi}, we studied a Hamiltonian action for a generalized Calabi-Yau manifold and showed that the Duistermaat-Heckman theorem holds. The purpose of this note is to show that the density function of the Duistermaa-Heckman measure is a piecewise polynomial…

In this paper, we analyzed the physical meaning of scalar curvatures for a generalized Riemannian space. It is developed the Madsen's formulae for pressures and energy-densities with respect to the corresponding energy-momentum tensors. After that, the energy-momentum tensors, pressures, energy-densities and state-para…

Let G be a finitely generated group with a given word metric. The asymptotic density of elements in G that have a particular property P is defined to be the limit, as r goes to infinity, of the proportion of elements in the ball of radius r which have the property P. We obtain a formula to compute the asymptotic densit…

New study shows low-degree polynomial algorithms struggle at clause densities close to Fix's.

The study examines conjugation curvature in a specific group, finding elements with various curvatures.

We study a variational problem for piecewise-smooth hypersurfaces in the (n+1)-dimensional Euclidean space with an anisotropic energy. An anisotropic energy is the integral of an energy density that depends on the normal at each point over the considered hypersurface. The minimizer of such an energy among all closed hy…

We consider a Hidden Markov Model (HMM) where the integrated continuous-time Markov chain can be observed at discrete time points perturbed by a Brownian motion. The aim is to derive a filter for the underlying continuous-time Markov chain. The recursion formula for the discrete-time filter is easy to derive, however i…

Formula for integrating random variables on hyperbolic surfaces.

Formula for critical points of chi fields on manifolds.

In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its running minimum. The drawdown and the drawup are the first hitting times of the dr…

In this paper the Buchen's pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula of "the normal distribution standard options" with the maturity payoff related to a power function and the density function of normal distri…

A method to estimate high order derivatives of data distributions from samples.

Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such a model is less studied in the literature. We show i…

In this paper we deal with a general type of integral formulas of the visual angle, among them those of Crofton, Hurwitz and Masotti, from the point of view of Integral Geometry. The purpose is twofold: to provide an interpretation of these formulas in terms of integrals of densities with respect to the canonical measu…

This paper controls a boundary term in Huisken's formula for entropy.

We obtain a blow-up theorem for regular submanifolds in the Heisenberg group, where intrinsic dilations are used. Main consequence of this result is an explicit formula for the density of (p+1)-dimensional spherical Hausdorff measure restricted to a p-dimensional submanifold with respect to the Riemannian surface measu…

Localizes Wodzicki residue for logarithm of differential operators.

We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the usual caveats of probabilistic forecasts studies -small samples, limited models and non-holistic validations- by performing a comprehensive comparison of 15 predictive schemes during a time period of over…

In this paper we introduce two new notions of sectional curvature for Riemannian manifolds with density. Under both notions of curvature we classify the constant curvature manifolds. We also prove generalizations of the theorems of Cartan-Hadamard, Synge, and Bonnet-Myers as well as a generalization of the (non-smooth)…

The paper approximates CARMA models for option pricing.

Improved manifold-adaptive dimension estimator for better data complexity assessment.

We express the Masur-Veech volume and the area Siegel-Veech constant of the moduli space of meromorphic quadratic differential with simple poles as polynomials in the intersection numbers of psi-classes supported on the boundary cycles of the Deligne-Mumford compactification of the moduli space of curves. Our formulae …

The paper studies geometric properties of hydrodynamical density manifolds.

Unified method for calculating financial option prices from characteristic functions.

Let $M$ be a compact, connected Riemannian manifold whose Riemannian volume measure is denoted by $σ$. Let $f: M \rightarrow \mathbb{R}$ be a non-constant eigenfunction of the Laplacian. The random wave conjecture suggests that in certain situations, the value distribution of $f$ under $σ$ is approximately Gaussian. Wr…

The note evaluates different methods for option pricing using Shannon Wavelets.

Formulae for Masur-Veech volumes and frequencies of geodesics derived from intersection numbers.

Study reveals $1/f$ noise in signals made from nonoverlapping rectangular pulses.

We survey the construction and properties of the Yamada polynomial of spatial graphs and present the Yamada polynomial formulae for some classes of graphs. Then we construct an infinite family of spatial graphs for which roots of Yamada polynomials are dense in the complex plane.

Study on regularity of optimal transport maps on convex domains with quadratic cost.