arXiv research

Infinite volume moduli spaces of hyperbolic surfaces are redefined with exponential forms.

Study on immersions with flat normal bundle in curved spaces.

Classifies toric dually flat manifolds into complex space forms.

The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then …

The paper uses singularity theory to find normal forms for sub-Riemannian exponential maps.

This paper considers asymptotically hyperbolic manifolds with a finite boundary intersecting the usual infinite boundary -- cornered asymptotically hyperbolic manifolds -- and proves a theorem of Cartan-Hadamard type near infinity for the normal exponential map on the finite boundary. As a main application, a normal fo…

We produce examples of groups of type F_3 with 2-dimensional Dehn functions of the form exp^n(x) (a tower of exponentials of height n), where n is any natural number.

Improves variational inference for sparse models using mixtures of exponential families.

This paper summarizes closed-form relations for SE(3) maps and their derivatives.

Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.

Closed-form optimal portfolios for exponential utility in small/large markets.

The paper proves the stability of a flow in Schwarzschild space.

Thompson Sampling has been demonstrated in many complex bandit models, however the theoretical guarantees available for the parametric multi-armed bandit are still limited to the Bernoulli case. Here we extend them by proving asymptotic optimality of the algorithm using the Jeffreys prior for 1-dimensional exponential …

Closed-form formulas for path-independent options in a specific Lévy model.

We represent the coordinate ring of algebraic hulls (which are generalizations of the Malcev completions of nilpotent groups for solvable groups) of solvmanifolds $G/Γ$ by using Miller's exponential iterated integrals (which are extensions of Chen's iterated integrals) of invariant differential forms.

In this paper, we study the CR Yamabe flow with zero CR Yamabe invariant. We use the CR Poincaré inequality and a Gagliardo-Nirenberg type interpolation inequality to show that this flow has long time solution and the solution converges to a contact form with flat pseudo-Hermitian scalar curvature exponentially.

Study of curve evolution in 2D space forms converging to a circle.

Exponential families are a particular class of statistical manifolds which are particularly important in statistical inference, and which appear very frequently in statistics. For example, the set of normal distributions, with mean μ and deviation σ, form a 2-dimensional exponential family. In this paper, we show that …

The study analyzes when Bayesian averaging over decision trees is reliable.

Modeling financial returns as conditionally independent random variables explains power-law tails.

Accurate asymptotic expressions are given for the exponentially small eigenvalues of Witten Laplacians acting on p-forms. The key ingredient, which replaces explicit formulas for global quasimodes in the case p = 0, is Barannikov's presentation of Morse theory.

We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump type models have already been suggested, but none is suited to develop numerical methods of the values of strategies for any given time up to …

Frolicher spaces and smooth mappings form a cartesian closed category. It was shown in our previous paper [Far East Journal of Mathematical Sciences, 35 (2009), 211-233] that its full subcategory of Weil exponentiable Frolicher spaces is cartesian closed. By emancipating microlinearity from within a well-adapted model …

We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of the first-passage time probability and expected occupation time of sets of a Le…

This paper generalizes beta divergence beyond its classical form associated with power variance functions of Tweedie models. Generalized form is represented by a compact definite integral as a function of variance function of the exponential dispersion model. This compact integral form simplifies derivations of many pr…

We consider a vector field $X$ on a closed manifold which admits a Lyapunov one form. We assume $X$ has Morse type zeros, satisfies the Morse--Smale transversality condition and has non-degenerate closed trajectories only. For a closed one form $η$, considered as flat connection on the trivial line bundle, the differen…

The study examines growth of quadratic forms under Anosov subgroups.

Pricing of European basket call option with n-assets and a bond is discussed in this paper, where all prices of n-assets and the bond are driven by Exponential Ornstein-Uhlenbeck processes. The close-form of European basket option pricing formula is derived. Utilizing with 1-order differential approximate numerical sol…

Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate generalizations with Gaussian copulas, we offer exact formulas for the tails of the distribution $P(S)$ of returns $S$ of a port…

In reinforcement learning, Return, which is the weighted accumulated future rewards, and Value, which is the expected return, serve as the objective that guides the learning of the policy. In classic RL, return is defined as the exponentially discounted sum of future rewards. One key insight is that there could be many…

We define local Hardy spaces of differential forms $h^p_{\mathcal D}(\wedge T^*M)$ for all $p\in[1,\infty]$ that are adapted to a class of first order differential operators $\mathcal D$ on a complete Riemannian manifold $M$ with at most exponential volume growth. In particular, if $D$ is the Hodge--Dirac operator on $…

New method for spectral and Bergman kernels under local spectral gap condition.

Let $ω_\mathfrak{g}$ be a Lie algebra valued differential $1$-form on a manifold $M$ satisfying the structure equations $d ω_\mathfrak{g} + \frac{1}{2} ω_\mathfrak{g}\wedge ω_\mathfrak{g}=0$ where $\mathfrak{g}$ is solvable. We show that the problem of finding a smooth map $ρ:M\to G$, where $G$ is an $n$-dimensional so…

In this paper, a Bayesian inference technique based on Taylor series approximation of the logarithm of the likelihood function is presented. The proposed approximation is devised for the case, where the prior distribution belongs to the exponential family of distributions. The logarithm of the likelihood function is li…

We have created a framework for analyzing subscription based businesses in terms of a unified metric which we call SCV (single customer value). The major advance in this paper is to model customer churn as an exponential decay variable, which directly follows from experimental data relating to subscription based busine…

We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution has generically a stretched-exponential form, but can assume also an algebraic …

We introduce Markov substitute processes, a new model at the crossroad of statistics and formal grammars, and prove its main property : Markov substitute processes with a given support form an exponential family.

We prove polynomial and exponential decay at infinity of eigen-vectors of partial differential operators related to radiation problems for time-harmonic generalized Maxwell systems in an exterior domain with non-smooth inhomogeneous, anisotropic coefficients converging near infinity with a certain rate towards the iden…

The purpose of this paper is to put into a noncommutative context basic notions related to vector fields from classical differential geometry. The manner of exposition is an attempt to make the material as accessible as possible to classical geometers. The definition of vector field used is a specialisation of the Cart…

In this paper we study a generalization of the Kahler-Ricci flow, in which the Ricci form is twisted by a closed, non-negative (1,1)-form. We show that when a twisted Kahler-Einstein metric exists, then this twisted flow converges exponentially. This generalizes a result of Perelman on the convergence of the Kahler-Ric…

EFDA extends LDA to non-Gaussian models using exponential families.

It is known that describing or calculating the conditional probabilities of multiple events is exponentially expensive. In this work, Bayesian tensor network (BTN) is proposed to efficiently capture the conditional probabilities of multiple sets of events with polynomial complexity. BTN is a directed acyclic graphical …

The paper counts conjugacy classes of loxodromic elements in Anosov subgroups with a power saving error term.

Cannon, Floyd and Parry have studied the modulus of finite subdivision rules extensively. We investigate the properties of the modulus of subdivision rules with linear and exponential growth at every vertex, using barycentric subdivision and a subdivision rule for the Borromean rings as examples. We show that the subdi…

In this paper, we consider the inverse hessian quotient curvature flow with star-shaped initial hypersurface in anti-de Sitter-Schwarzschild manifold. We prove that the solution exists for all time, and the second fundamental form converges to identity exponentially fast.

For a Morse map $f:M\to S^1$ Novikov [11] has introduced an analog of Morse complex, defined over the ring $\ZZZ[[t]][t^{-1}]$ of integer Laurent power series. Novikov conjectured, that generically the matrix entries of the differentials in this complex are of the form $\sum_ia_it^i$, where $a_i$ grow at most exponenti…

In this paper we continue the study of generic properties of the Novikov complex, began in the work "The incidence coefficients in the Novikov complex are generically rational functions" ( dg-ga/9603006). For a Morse map $f:M\to S^1$ there is a refined version of Novikov complex, defined over the Novikov completion of …

Study scaling limits for option pricing in trinomial models.