arXiv research

New model captures fast price excursions in finance.

Study examines local extrema and crossing statistics in financial markets.

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their life…

New method distinguishes stochastic from deterministic signals using excursion counts.

We focus on the problem of estimating and quantifying uncertainties on the excursion set of a function under a limited evaluation budget. We adopt a Bayesian approach where the objective function is assumed to be a realization of a Gaussian random field. In this setting, the posterior distribution on the objective func…

For a non-uniform lattice in SL(2,R), we consider excursions in cusp neighborhoods of a random geodesic on the corresponding finite area hyperbolic surface or orbifold. We prove a strong law for a certain partial sum involving these excursions. This generalizes a theorem of Diamond and Vaaler for continued fractions. I…

The paper analyzes insurance risk with Parisian ruin and capital injection.

We generalize the notion of cusp excursion of geodesic rays by introducing for any $k \geq 1$ the $k^{th}$ excursion in the cusps of a hyperbolic $N$-manifold of finite volume. We show that on one hand, this excursion is at most linear for geodesics that are generic with respect to the hitting measure of a random walk.…

Motivated by the notion of cusp excursion in geometrically finite hyperbolic manifolds, we define a notion of excursion in any subgroup of a given group, and study its asymptotic distribution for right-angled Artin groups and graph products. In particular, for any irreducible right-angled Artin group we show that with …

Study geodesics entering a fixed cusp neighborhood multiple times.

New method infers and samples point processes from latent diffusion.

Modeling price dynamics in AMMs with fees using geometric Brownian motion.

A model-free method analyzes trading strategies using excursion paths.

A new algorithm learns from failures to optimize under constraints efficiently.

In this paper we study the typical speed of a generic earthquake trajectory leaving compact sets in the moduli space of the once-punctured torus. Mirzakhani showed that the earthquake flow is measurably equivalent to the horocyclic flow, which has been studied extensively. Our main result shows that the earthquake flow…

Meta-learning method for estimating time-varying mHealth intervention effects.

We derive several results that describe the rate at which a generic geodesic makes excursions into and out of a cusp on a finite area hyperbolic surface and relate them to approximation with respect to the orbit of infinity for an associated Fuchsian group. This provides proofs of some well known theorems from metric d…

Stationary measures on hyperbolic surfaces with cusps are singular and stable under quasi-symmetries.

The importance of the global financial system cannot be exaggerated. When a large financial institution becomes problematic and is bailed out, that bank is often claimed as "too big to fail". On the other hand, to prevent bank's failure, regulatory authorities adopt the Prompt Corrective Action (PCA) against a bank tha…

The paper extends consistency results for sequential design strategies to vector-valued Gaussian processes.

In this survey, we study representations of finitely generated groups into Lie groups, focusing on the deformation spaces of convex real projective structures on closed manifolds and orbifolds, with an excursion on projective structures on surfaces. We survey the basics of the theory of character varieties, geometric s…

This work analyzes the gap between off-policy and on-policy policy gradient methods and provides conditions to reduce this gap.

We consider the problem of estimating the set of all inputs that leads a system to some particular behavior. The system is modeled by an expensive-to-evaluate function, such as a computer experiment, and we are interested in its excursion set, i.e. the set of points where the function takes values above or below some p…

This is a guided tour through some selected topics in geometric analysis. We have chosen to illustrate many of the basic ideas as they apply to the theory of minimal surfaces. This is, in part, because minimal surfaces is, if not the oldest, then certainly one of the oldest areas of geometric analysis dating back to Eu…

Generative model calibrates 3D battery cathode morphologies from 2D images.

This paper introduces a new method for uncertainty quantification in prediction models.

Study on spin random fields using chaos decomposition for cosmic microwave background modeling.

We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-between best bid and best ask, and get executed whenever this center price reaches their level. This mechanism corresponds to the fundamental …

Along with excursions into manifolds with corners, resolution towers of Thom and Whitney stratifications, I show that for a generic gradientlike vector field on a manifold with a Morse function, the stable manifolds give a CW decomposition of the manifold. This has been done before.

Study fractal and regular geometry in deep neural networks.

This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy where the market sees the manager's information set plus noise. The noise makes…

New method reduces memory usage for Bayesian inverse problems on large grids.

This paper presents some new results on Parisian ruin under Levy insurance risk process, where ruin occurs when the process has gone below a fixed level from the last record maximum, also known as the high-water mark or drawdown, for a fixed consecutive periods of time. The law of ruin-time and the position at ruin is …

We calculate the asymptotic average rate at which a generic geodesic on a finite area hyperbolic 2-orbifold returns to an embedded disc on the surface, as well as the average amount of time it spends in the disc during each visit. This includes the case where the center of the disc is a cone point.

A generic geodesic on a finite area, hyperbolic 2-orbifold exhibits an infinite sequence of penetrations into a neighborhood of a cone singularity, so that the sequence of depths of maximal penetration has a limiting distribution. The distribution function is the same for all such surfaces and is described by a fairly …

In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r. The formula involves only the scale function of the spectrally ne…

The paper characterizes the geometry and topology of spin random fields.

We study geodesics on the modular surface, comparing WP and hyperbolic metrics.

Gaussian process (GP) models have become a well-established frameworkfor the adaptive design of costly experiments, and notably of computerexperiments. GP-based sequential designs have been found practicallyefficient for various objectives, such as global optimization(estimating the global maximum or maximizer(s) of a …

The paper develops sampling methods for ocean phenomena based on temperature and salinity measurements.

We construct a Poincaré section for the horocycle flow on the modular surface $SL(2, \R)/SL(2, \Z)$, and study the associated first return map, which coincides with a transformation (the {\it BCZ map}) defined by Boca-Cobeli-Zaharescu. We classify ergodic invariant measures for this map and prove equidistribution of pe…

Study of cosmic microwave background polarization using spin random fields.

Given for instance a finite volume negatively curved Riemannian manifold $M$, we give a precise relation between the logarithmic growth rates of the excursions into cusps neighborhoods of the strong unstable leaves of negatively recurrent unit vectors of $M$ and their linear divergence rates under the geodesic flow. As…

We propose a new objective, the counterfactual objective, unifying existing objectives for off-policy policy gradient algorithms in the continuing reinforcement learning (RL) setting. Compared to the commonly used excursion objective, which can be misleading about the performance of the target policy when deployed, our…

We study the average shape of a fluctuation of a time series x(t), that is the average value <x(t)-x(0)>_T before x(t) first returns, at time T, to its initial value x(0). For large classes of stochastic processes we find that a scaling law of the form <x(t) - x(0)>_T = T^αf(t/T) is obeyed. The scaling function f(s) is…

We consider vector valued, unit variance Gaussian processes defined over stratified manifolds and the geometry of their excursion sets. In particular, we develop an explicit formula for the expectation of all the Lipschitz--Killing curvatures of these sets. Whereas our motivation is primarily probabilistic, with statis…

Paper proposes a new method to stabilize noisy gradient algorithms.

This paper models insurance company insolvency using Lévy processes.