Derives explicit investment strategy with random endowment.
problem Optimal investment with random endowment in a market.
method Duality arguments to derive explicit expression for optimal strategy.
result Explicit expression for optimal trading strategy exists.
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from operations research and mathematical finance. The unification allows the extension …
Extends Gelfand duality to various geometric and analytical categories.
problem Generalizing Gelfand duality to different types of manifolds and bundles.
method Unified cohomological argument for manifolds and suitable classes of functions for bundles.
result Gelfand duality extended to real analytic and Stein manifolds, and to vector, affine, and jet bundles.
Proves 3D Poincaré duality groups without property (T)
problem Residually finite 3D Poincaré duality groups and property (T)
method Using coboundary expansion and recent results on 3-manifold groups
result 3D Poincaré duality groups without property (T)
Unified Kantorovich duality for multimarginal optimal transport on Polish spaces.
problem Optimal transport of multiple probability distributions.
method Unified Kantorovich duality theory for multimarginal optimal transport on general Polish product spaces.
result Unified duality theory for multimarginal optimal transport, extending classical two-marginal conjugacy.
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a numéraire-based semi-static utility maximization problem with an exponential utility preference. The randomization techniques recently developed in \cite{BDT17} allow us to transform the original proble…
This note provides a novel, simple analysis of the method of conjugate gradients for the minimization of convex quadratic functions. In contrast with standard arguments, our proof is entirely self-contained and does not rely on the existence of Chebyshev polynomials. Another advantage of our development is that it clar…
New method calculates super-hedging prices with transaction costs.
problem Super-hedging European contingent claims under proportional transaction costs.
method Explicit recursive scheme based on convex duality and Legendre-Fenchel transform.
result Computes super-hedging price and optimal strategy without martingale arguments.
In this paper we investigate model-independent bounds for exotic options written on a risky asset. Based on arguments from the theory of Monge-Kantorovich mass-transport we establish a dual version of the problem that has a natural financial interpretation in terms of semi-static hedging. In particular we prove that th…
This paper optimizes portfolio management in incomplete markets with stochastic factors, considering periodic wealth evaluations.
problem Optimizing portfolio performance in an incomplete market model with stochastic factors and periodic wealth evaluations.
method Developed a martingale duality approach to find optimal portfolio processes and dual minimizers.
result Established the existence of optimal portfolio processes and identified dual minimizers as the 'least favorable' market completion.
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of asymptotic elasticity of Kramkov and Schachermayer is ext…
Preprint proves quantum coideal Schur-Weyl duality and generalizes Jones-Wenzl projectors.
problem Quantum coideal Schur-Weyl duality and Jones-Wenzl projectors in type B/D.
method Combinatorial proofs and functional analytic arguments.
result Explicit proof of quantum coideal Schur-Weyl duality and generalization of Jones-Wenzl projectors.
A result of Jost and Zuo is used to show that for a large class of finite-dimensional hyperkähler quotients, the only L2 harmonic forms lie in the middle dimension, and are of type (k,k) with respect to all complex structures. The argument is extended to some moduli spaces which appear as infinite-dimensional quotients…
We introduce a minorization-maximization approach to optimizing common measures of discovery significance in high energy physics. The approach alternates between solving a weighted binary classification problem and updating class weights in a simple, closed-form manner. Moreover, an argument based on convex duality sho…
This survey paper begins with the description of the duality between arc systems and ribbon graphs embedded in a punctured surface. Then we explain how to cellularize the moduli space of curves in two different ways: using Jenkins-Strebel differentials and using hyperbolic geometry. We also briefly discuss how these tw…
Optimal risk sharing without convex preferences using aggregate convexity.
problem Risk sharing among non-convex preferences.
method Aggregate convexity principles and Lyapunov convexity, combined with approximation arguments for law invariant risk measures.
result Derivation of a computationally tractable formula for the conjugate of the value function.
Study optimal portfolio management with periodic evaluations in stochastic models, considering convex constraints.
problem Optimal portfolio management under ratio-type periodic evaluations in stochastic factor models with convex trading constraints.
method Transformed infinite horizon optimal control problem into an auxiliary terminal wealth optimization problem. Introduced an auxiliary unconstrained optimization problem in a modified market model. Used martingale duality approach to establish dual minimizer and optimal unconstrained wealth process.
result Derived and verified the optimal constrained portfolio process for the original problem over an infinite horizon.
Extends utility maximization theory for infinite horizons without strong no-arbitrage assumptions.
problem Maximizing lifetime utility from wealth over an infinite horizon.
method Develops a duality theory using deflators and supermartingale properties, extending previous work.
result Establishes a strong duality theorem for infinite horizon utility maximization under minimal no-arbitrage assumptions.
It has been argued based on electric-magnetic duality and other ingredients that the Jones polynomial of a knot in three dimensions can be computed by counting the solutions of certain gauge theory equations in four dimensions. Here, we attempt to verify this directly by analyzing the equations and counting their solut…
We propose a new, precise integrality conjecture for the colored Kauffman polynomial of knots and links inspired by large N dualities and the structure of topological string theory on orientifolds. According to this conjecture, the natural knot invariant in an unoriented theory involves both the colored Kauffman polyno…
Study homology manifolds using spectral sheaves and spectral six functor formalism.
problem Characterize and understand homology manifolds through spectral sheaves.
method Adapt six functor formalism to spectral sheaves on locally compact Hausdorff spaces.
result Prove that compact ANR homology manifolds are Poincaré duality complexes.
This paper studies global webs on the projective plane with vanishing curvature. The study is based on an interplay of local and global arguments. The main local ingredient is a criterium for the regularity of the curvature at the neighborhood of a generic point of the discriminant. The main global ingredient, the Lege…
The paper explores criteria for positivity of forms and proves their strong positivity in specific cases.
problem Understanding positivity of exterior forms on complex vector spaces.
method Dimensionality reduction and criteria based on Hermitian matrices.
result Strong positivity of certain forms proven by duality.
We describe a modification of Khovanov homology (math.QA/9908171), in the spirit of Bar-Natan (math.GT/0410495), which makes the theory properly functorial with respect to link cobordisms. This requires introducing `disorientations' in the category of smoothings and abstract cobordisms between them used in Bar-Natan's …
We prove the qualitative part of Demailly's conjecture on transcendental Morse inequalities for differences of two nef classes satisfying a numerical relative positivity condition on an arbitrary compact Kähler (and even more general) manifold. The result improves on an earlier one by J. Xiao whose constant 4n featur…
Proves necessity of at least log2(n) layers to compute maximum of n numbers.
problem Computing the maximum of n numbers with ReLU neural networks.
method Uses lattice polytopes and duality with Newton polytopes to prove depth lower bounds.
result Proves that log2(n) hidden layers are necessary and sufficient.
Study scaling limits of utility indifference prices in discretized Bachelier model.
problem Analyzing utility indifference prices for path-dependent European options in a discretized Bachelier model.
method Purely probabilistic approach, including duality argument, optimal drift control problem, martingale techniques, and strong invariance principles.
result Obtained a scaling limit for utility indifference prices as the number of trading times increases.
A physicist explores exotic 7-spheres using fibre bundles and instantons.
problem Investigating the geometry and topology of exotic 7-spheres.
method Analytical and computational tools from theoretical physics, including fibre bundles and instantons.
result Derives an analytic expression for a family of Riemannian metrics on the Gromoll-Meyer sphere.
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery period. A quick overview of market data shows a basis risk for this market incom…
We study when a smooth variety X, embedded diagonally in its Cartesian square, is the zero scheme of a section of a vector bundle of rank dim(X) on X×X. We call this the diagonal property (D). It was known that it holds for all flag manifolds SLn/P. We consider mainly the cases of proper smooth va…
Proves Poincaré duality for Hopf algebroids with bijective antipode.
problem Proving Poincaré duality for Hopf algebroids.
method Using twisted Poincaré duality and bijective antipode properties.
result Recovering and extending known Poincaré dualities for Hopf algebroids.
New proof of chain duality for simplicial complexes.
problem Proving the existence of chain duality for chain complexes over simplicial complexes.
method Geometric and conceptual treatment of chain duality.
result Fundamental for Ranicki's surgery exact sequence.
Introduces Kähler duality between domains in complex space.
problem None explicitly stated; focuses on concept introduction.
method None explicitly stated; focuses on concept introduction.
result Introduces Kähler duality between domains in complex space.
Study scaling limits for option pricing in trinomial models.
problem Analyzing exponential hedging in trinomial models converging to Black-Scholes.
method Purely probabilistic approach using duality, martingale, and weak-convergence techniques.
result Derives a scaling limit for exponential certainty-equivalent prices in trinomial models.
Research on dualities in geometric stereotypes.
problem Understanding dualities in geometric stereotypes.
method Continuation of previous research on stereotype spaces and algebras.
result New insights into geometric stereotype dualities.
Duality restored in gauge theory, gravity, and string theory models.
problem Restoring duality invariance in theories coupled to matter.
method Extending phase space to allow for violations of the algebraic Bianchi identity and considering the axion as the duality current.
result Duality current in NS-NS gravity is the divergence of the axion.
Study proves existence, uniqueness, and stability for specific stochastic Volterra equations.
problem Analyzing existence, uniqueness, and stability of affine stochastic Volterra equations with L1-kernels. method Approximations with L2-kernels, stability result, duality argument, deterministic Riccati--Volterra integral equation. result Established weak uniqueness for the equations using Fourier--Laplace transform and a deterministic Riccati--Volterra integral equation.
We sketch a construction of Legendrian Symplectic Field Theory (SFT) for conormal tori of knots and links. Using large N duality and Witten's connection between open Gromov-Witten invariants and Chern-Simons gauge theory, we relate the SFT of a link conormal to the colored HOMFLY-PT polynomials of the link. We presen…
Unified proof of four Bavard dualities and new results on quasimorphisms.
problem Comparing stable commutator length and quasimorphisms on groups.
method Expository account and new strengthening of Bavard duality, providing complete proofs.
result Generalized mixed Bavard duality, recovering all previous dualities.
Verma Howe duality connects tensor products of Verma modules to LKB representations.
problem Understanding the relationship between tensor products of Verma modules and LKB representations.
method Established a quantized version of Verma Howe duality and used it to prove the simplicity of LKB representations.
result LKB representations arise from the quantized Verma Howe duality and are shown to be simple modules.
Cohomological and homological spectral sequences are shown to be isomorphic.
problem Cohomological and homological Atiyah-Hirzebruch spectral sequences are not always isomorphic.
method Spanier-Whitehead duality is used to establish an isomorphism between the two spectral sequences.
result Cohomological and homological Atiyah-Hirzebruch spectral sequences are isomorphic for finite spectra.
The paper proves T-duality and Hori formulae for winding loop spaces.
problem Realizing T-duality and Hori formulae for loop spaces.
method Proving T-duality and Hori formulae for winding q-loop spaces.
result T-duality and Hori formulae for winding q-loop spaces are proven.
Equivariant T-duality connects bundles with twists.
problem Establishing a relationship between bundles with twists.
method Formulating T-duality in equivariant K-theory for compact Lie group actions.
result T-duality is an isomorphism in equivariant K-theory for compact Lie group actions.
We give the definition of a duality that is applicable to arbitrary k-forms. The operator that defines the duality depends on a fixed form Ω. Our definition extends in a very natural way the Hodge duality of n-forms in 2n dimensional spaces and the generalized duality of two-forms. We discuss the properties of …
The paper establishes T-duality for 2D σ-models with H-flux.
problem T-duality for 2D σ-models with H-flux.
method Localization and graded T-duality map (graded Hori morphism).
result Establishes the most general version of T-duality for Type II String Theory.
The hidden M-algebra is integrated into a super-Lie group, allowing for compactification of extra dimensions.
problem Integrating the hidden M-algebra into a super-Lie group to model super-exceptional spacetimes.
method Left-invariant extension of the decomposed M-theory 3-form, providing a computer-checked re-derivation and streamlined conception of super-Lie groups.
result Lattice subgroups of the hidden M-group allow toroidal compactification of hidden dimensions, akin to topological T-duality.
QP perspective on Poisson-Lie T-duality topology changes.
problem Understanding Poisson-Lie T-duality through QP manifolds.
method QP manifolds and canonical transformations for symplectic reductions.
result Canonical transformations mediate Poisson-Lie T-duality.
Unified framework for T-duality in both trivial and non-trivial topologies.
problem Unified description of T-duality for metrics and B-fields in non-trivial topology.
method Developed a new unifying framework for T-duality.
result Unified description of T-duality for metrics and B-fields in non-trivial topology.