arXiv research

Investment strategy optimization from discrete to continuous models.

Study the limits of discrete DPPs to continuous DPPs as set size grows.

DDMI generates high-quality INRs by adapting positional embeddings.

Abstract: Nonlinear random walk with distributionally robust transition probabilities.

The rough Heston model emerges from scaling bivariate INAR processes, linking microstructure to option pricing.

A new method learns quantization boundaries in continuous space using tessellation.

In this article, we study an analog of the Björling problem for isothermic surfaces (that are more general than minimal surfaces): given a real analytic curve $γ$ in ${\mathbb R}^3$, and two analytic non-vanishing orthogonal vector fields $v$ and $w$ along $γ$, find an isothermic surface that is tangent to $γ$ and that…

Representations based on random walks can exploit discrete data distributions for clustering and classification. We extend such representations from discrete to continuous distributions. Transition probabilities are now calculated using a diffusion equation with a diffusion coefficient that inversely depends on the dat…

We study the motion of discrete interfaces driven by ferromagnetic interactions in a two-dimensional periodic environment by coupling the minimizing movements approach by Almgren, Taylor and Wang and a discrete-to-continuous analysis. The case of a homogeneous environment has been recently treated by Braides, Gelli and…

New study shows faster convergence of SGD and Kaczmarz methods.

Proposes continuous convolution layers for flexible feature map resizing.

In this paper we introduce Feature Gradients, a gradient-based search algorithm for feature selection. Our approach extends a recent result on the estimation of learnability in the sublinear data regime by showing that the calculation can be performed iteratively (i.e., in mini-batches) and in linear time and space wit…

Estimates nonparametric densities from mixed samples.

Unified neural network framework for context-aware Gaussian overbounds in uncertainty propagation.

A machine-checked Itô calculus for Brownian motion on $[0,T]$

Developed a machine-checked Itô calculus for Brownian motion.

Study proves fluid limits of fragmented limit-order markets.

We show that for a strongly convergent sequence of geometrically finite Kleinian groups with geometrically finite limit, the Cannon-Thurston maps of limit sets converge uniformly. If however the algebraic and geometric limits differ, as in the well known examples due to Kerckhoff and Thurston, then provided the geometr…

Method upgrades limit theorems to mixing limit theorems for dynamical systems.

New examples show strong Kato limits can be branching and not satisfy known conditions.

We explore the plane-wave limit of homogeneous spacetimes. For plane-wave limits along homogeneous geodesics the limit is known to be homogeneous and we exhibit the limiting metric in terms of Lie algebraic data. This simplifies many calculations and we illustrate this with several examples. We also investigate the beh…

The large-N limit of Segal-Bargmann transform on spheres is studied.

A limit group is the limit of a sequence of conjugates of the diagonal Cartan subgroup, C, of SL(3,R). We show C has 5 possible limit groups, up to conjugacy. Each limit group is determined by an equivalence class of nonstandard triangle, and we give a criterion for a sequence of conjugates of C to converge to each of …

We investigate the Penrose limits of classical string and M-theory backgrounds. We prove that the number of (super)symmetries of a supergravity background never decreases in the limit. We classify all the possible Penrose limits of AdS x S spacetimes and of supergravity brane solutions. We also present the Penrose limi…

Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of order positions and related queues around their fluid limits are analyzed. As a…

Two price regimes identified in limit order books: close and far from quotes.

Study compares price limit and circuit breaker effects in stock markets.

Study describes limits of non-collapsing K3 surfaces using algebraic data.

In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator. With our choice of scaling the dynamics converges to a coupled SDE-ODE s…

Study of conformal limits in Nakajima quiver varieties.

Find limiting sets for digital cones and suspensions.

Study on the limits of projective special real manifolds and their symmetries.

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of pri…

We show through case studies that it is easier to estimate the fundamental limits of data processing than to construct explicit algorithms to achieve those limits. Focusing on binary classification, data compression, and prediction under logarithmic loss, we show that in the finite space setting, when it is possible to…

New framework for understanding infinite-width neural networks.

Study examines infinite limits of transformer dynamics, identifying key parameterizations.

Study the topology of Ricci limit spaces using Gromov-Hausdorff limits.

Study smooth convergence of metric flows from $\mathbb{F}$-limits.

This is the second of a series of three papers which provide proofs of results announced in arXiv:1210.7494. In this paper we consider the Gromov-Hausdorff limits of metrics with cone singularities in the case when the limiting cone angle is less than 2π. We show that these are in a natrual way projective algebraic var…

The aim of the paper is to investigate the relation between inverse limit of branched manifolds and codimension zero laminations. We give necessary and sufficient conditions for such an inverse limit to be a lamination. We also show that codimension zero laminations are inverse limits of branched manifolds. The inverse…

We discuss the Euclidean limit of hyperbolic SU(2)-monopoles, framed at infinity, from the point of view of pluricomplex geometry. More generally, we discuss the geometry of hypercomplex manifolds arising as limits of pluricomplex manifolds.

We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price acc…

Troels Jorgensen conjectured that the algebraic and geometric limits of an algebraically convergent sequence of isomorphic Kleinian groups agree if there are no new parabolics in the algebraic limit. We prove that this conjecture holds in 'most' cases. In particular, we show that it holds when the domain of discontinui…

Study continuity of limit sets in symmetric spaces.

Study shows spectral gaps limit points on surfaces.

The optimistic limit is the mathematical formulation of the classical limit which is a physical method to expect the actual limit by using saddle point method of certain potential function. The original optimistic limit of the Kashaev invariant was formulated by Yokota, and a modified formulation was suggested by the a…

This article gives solutions to the exercises in Bestvina and Feighn's paper on Sela's work on limit groups. We prove that all constructible limit groups are limit groups and give an account of the shortening argument of Rips and Sela.

Integrability criterion for projective limits of Banach distributions on Fréchet manifolds.