arXiv research

Unified approach to discrete and smooth isoperimetric inequalities of arbitrary order.

We introduce the discrete Einstein metrics as critical points of discrete energy on triangulated 3-manifolds, and study them by discrete curvature flow of second (fourth) order. We also study the convergence of the discrete curvature flow. Discrete curvature flow of second order is an analogue of smooth Ricci flow.

Accelerators with power-law memory are proposed in the framework of the discrete time approach. To describe discrete accelerators we use the capital stock adjustment principle, which has been suggested by Matthews.The suggested discrete accelerators with memory describe the economic processes with the power-law memory …

Study proposes a new GAN for realistic discrete financial orders.

First order discretizations of Langevin diffusion can achieve better generalization error with additional smoothness assumptions.

The paper analyzes errors in mechanical systems with external forces.

In this paper we will discuss some new developments in the design of numerical methods for optimal control problems of Lagrangian systems on Lie groups. We will construct these geometric integrators using discrete variational calculus on Lie groups, deriving a discrete version of the second-order Euler-Lagrange equatio…

PDHAMS improves sampling for discrete distributions with quadratic potential functions.

A conservative discretization of incompressible Navier-Stokes equations is developed based on discrete exterior calculus (DEC). A distinguishing feature of our method is the use of an algebraic discretization of the interior product operator and a combinatorial discretization of the wedge product. The governing equatio…

We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally independent increments and symmetric jump measure, then its discrete realized variance…

The paper proves a new discrete Laplacian for 3D meshes and shows its superiority over primal construction.

Discretizations of Langevin diffusions provide a powerful method for sampling and Bayesian inference. However, such discretizations require evaluation of the gradient of the potential function. In several real-world scenarios, obtaining gradient evaluations might either be computationally expensive, or simply impossibl…

We develop variational integrators from discrete Hamiltonian systems with external forces.

New method improves inference for discrete diffusion models, achieving better quality and efficiency.

This paper presents a geometric-variational approach to continuous and discrete {\it second-order} field theories following the methodology of \cite{MPS}. Staying entirely in the Lagrangian framework and letting $Y$ denote the configuration fiber bundle, we show that both the multisymplectic structure on $J^3Y$ as well…

We study gradient-based optimization methods obtained by directly discretizing a second-order ordinary differential equation (ODE) related to the continuous limit of Nesterov's accelerated gradient method. When the function is smooth enough, we show that acceleration can be achieved by a stable discretization of this O…

This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an $\R_+$-valued best bid price process and an $L^2_{loc}$-valued volume process. …

We briefly review the notion of second order constrained (continuous) system (SOCS) and then propose a discrete time counterpart of it, which we naturally call discrete second order constrained system (DSOCS). To illustrate and test numerically our model, we construct certain integrators that simulate the evolution of …

The study determines discreteness of complex hyperbolic triangle groups.

Hybrid RL method optimizes trading by balancing continuous and discrete actions.

Research proves limits on harmonic map orders into Euclidean buildings.

Geometric formalism views optimization algorithms as discrete connections, revealing their algebraic curvature and flatness properties.

In this paper higher order mimetic discretizations are introduced which are firmly rooted in the geometry in which the variables are defined. The paper shows how basic constructs in differential geometry have a discrete counterpart in algebraic topology. Generic maps which switch between the continuous differential for…

FLOP algorithm speeds up causal structure learning for linear models.

We address the problem of classifying discrete differential-geometric Poisson brackets (dDGPBs) of any fixed order on target space of dimension 1. It is proved that these Poisson brackets (PBs) are in one-to-one correspondence with the intersection points of certain projective hypersurfaces. In addition, they can be re…

Study proves fluid limits of fragmented limit-order markets.

This research analyzes and accelerates score-based diffusion models using discretization and Hessian information.

Discrete approximation solves Björling's minimal surface problem.

Long and short memory in economic processes is usually described by the so-called discrete fractional differencing and fractional integration. We prove that the discrete fractional differencing and integration are the Grunwald-Letnikov fractional differences of non-integer order d. Equations of ARIMA(p,d,q) and ARFIMA(…

Study on Brownian motion on discrete curve spaces, proving stochastic completeness.

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs), introduced in [21], uses a uniform space grid. In this paper we utilize a tree-like spatial discretization that approximates the BSDE on the tree, so that no spatial interpolation procedure is necessary. In…

Higher-order optimization problems naturally appear when investigating the effects of a patent with finite length, as in the pioneering work of Futagami and Iwaisako (2007). In this paper, we establish the Euler equations and transversality conditions necessary for analyzing such higher-order optimization problems. We …

New method uses higher-order Langevin dynamics for efficient parallel sampling.

Paper analyzes symbolic-dynamics inspired Markov modeling for time-series data.

A few years ago Kramer and Laubenbacher introduced a discrete notion of homotopy for simplicial complexes. In this paper, we compute the discrete fundamental group of the order complex of the Boolean lattice. As it turns out, it is equivalent to computing the discrete homotopy group of the 1-skeleton of the permutahedr…

Connections on principal bundles play a fundamental role in expressing the equations of motion for mechanical systems with symmetry in an intrinsic fashion. A discrete theory of connections on principal bundles is constructed by introducing the discrete analogue of the Atiyah sequence, with a connection corresponding t…

In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a point process with stochastic intensity. We model the price impact as a linear fu…

New boundary treatment improves accuracy for complex PDEs.

We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in th…

Improves CRRR for better mobility analysis with DCTM.

Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price levels. We use limit order book data for Garanti Bank, which is one of the most trade…

This study introduces balanced DRPS and OrderedLogitNN for better QDE of discrete-level questions.

We consider a numerical approach for the incompressible surface Navier-Stokes equation. The approach is based on the covariant form and uses discrete exterior calculus (DEC) in space and a semi-implicit discretization in time. The discretization is described in detail and related to finite difference schemes on stagger…

This research proves that quadratic regularized optimal transport can approximate the Laplace-Beltrami operator on smooth manifolds.

MarketGPT models financial time series with realistic order flow data.

New method reduces bias in estimating causal effects from discretized variables.

Study shows how numerical discretization affects reconstructions and parameter distributions in nano metrology.

We show that the discretized configuration space of $k$ points in the $n$-simplex is homotopy equivalent to a wedge of spheres of dimension $n-k+1$. This space is homeomorphic to the order complex of the poset of ordered partial partitions of $\{1,...,n+1\}$ with exactly $k$ parts. We compute the exponential generating…