arXiv research

Extends Feller theory to non-locally compact spaces for stochastic equations.

The paper studies Lévy processes on compact manifolds, proving properties of their semigroups.

A coupling by reflection of a time-inhomogeneous diffusion process on a manifold are studied. The condition we assume is a natural time-inhomogeneous extension of lower Ricci curvature bounds. In particular, it includes the case of backward Ricci flow. As in time-homogeneous cases, our coupling provides a gradient esti…

Simplified derivation and simulation of Feller Diffusion.

In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the roots have nonnegative arguments. For a discrete time approximate model, the Fell…

We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.

The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asymptotic expansion for implied volatility, derived by heat kernel methods. As markets moved to historically low rates, this expansion appeared…

When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption that the Feller condition is satisfied. This paper closes this gap in the literature by deriving sufficient conditions for the existence of …

Based on ideas of Pigolla and Setti \cite{PS} we prove that immersed submanifolds with bounded mean curvature of Cartan-Hadamard manifolds are Feller. We also consider Riemannian submersions $π\colon M \to N$ with compact minimal fibers, and based on various criteria for parabolicity and stochastic completeness, see \c…

The asymptotic behavior of the heat kernel of a Riemannian manifold gives rise to the classical concepts of parabolicity, stochastic completeness (or conservative property) and Feller property (or $C^{0}$-diffusion property). Both parabolicity and stochastic completeness have been the subject of a systematic study whic…

Positive braids have a signature bound by their Betti number.

Flat semigroups can represent normal weighted homogeneous surface singularities.

New infinite family of hyperbolic L-space knots with specific semigroups.

Introduces intrinsic Hopf-Lax semigroup linking to intrinsic slope.

Proves representability of complex semigroup systems.

New cobordisms found between certain quasipositive knots.

The problem behind this paper is the proper measurement of the degree of quality/acceptability/distance to arbitrage of trades. We are narrowing the class of coherent acceptability indices introduced by Cherny and Madan (2007) by imposing an additional mathematical property. For this, we introduce the notion of a conca…

This monograph develops the theory of covariant Schrödinger semigroups acting on sections of vector bundles over noncompact Riemannian manifolds from scratch. Contents: I. Sobolev spaces on vector bundles II. Smooth heat kernels on vector bundles III. Basis differential operators in Riemannian manifolds IV. Some specif…

The paper studies a semigroup generated by finite intervals and characterizes its properties.

The paper studies dynamical properties in semigroups modulo ideals.

We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion, such as stochastic volatility and interest rates in finance, and neuronal and populations dynamics in natural sciences. We focus on the statistical mixing (or sup…

Intertwining curvature bounds for graphs and quantum Markov semigroups verified.

The paper associates knots to numerical semigroups and shows their Alexander polynomials coincide with semigroups' Poincaré series.

We consider the dynamics of rational semigroups (semigroups of rational maps) on the Riemann sphere. We provide proof that a random backward iteration algorithm to draw the pictures of the Julia sets, previously proven to work in the context of iteration of a rational map of degree two or more, extends to finitely gene…

The paper provides gradient estimates for Neumann semigroups on manifolds with boundary under unbounded curvature conditions.

Study decay and compact support of solutions to certain nonlinear PDEs.

We investigate the dynamics of semigroups generated by a family of polynomial maps on the Riemann sphere such that the postcritical set in the complex plane is bounded. The Julia set of such a semigroup may not be connected in general. We show that for such a polynomial semigroup, if $A$ and $B$ are two connected compo…

We extend a result regarding the Random Backward Iteration algorithm for drawing Julia sets (known to work for certain rational semigroups containing a non-Möbius element) to a class of Möbius semigroups which includes certain settings not yet been dealt with in the literature, namely, when the Julia set is not a thick…

Graphs approximate semigroups for diffusion on Riemannian manifolds.

Our goal is to convince the readers that the theory of complex normal surface singularities can be a powerful tool in the study of numerical semigroups, and, in the same time, a very rich source of interesting affine and numerical semigroups. More precisely, we prove that the strongly flat semigroups, which satisfy the…

Adaptive method improves numerical solution of Cox-Ingersoll-Ross model.

DM uses semigroup property to tune diffusion time for better data analysis.

Constructs free semigroups with critical exponents close to but less than ambient groups.

Paper proposes deep learning for operators in semigroups, improving dynamical system modeling.

The aim of this paper is to show that the dynamics of $L^p$ heat semigroups ($p>2$) on a symmetric space of non-compact type is very different from the dynamics of the $L^p$ heat semigroups if $p\leq 2$. To see this, it is shown that certain shifts of the $L^p$ heat semigroups have a chaotic behavior if $p>2$ and that …

Paper analyzes a new Hopf-Lax semigroup in metric spaces.

We look at the semigroup generated by a system of heat equations. Applications to testing normality and option pricing are addressed.

Establishes geometric properties of elements in the positive semigroup of a general real semisimple Lie group.

New heat semigroup characterizes Sobolev and BV spaces in Carnot groups.

Proves generalization bounds for SGD using Feller processes and Hausdorff dimension.

Various semigroups of noninvertible supermatrices of the special (antitriangle) shape having nilpotent Berezinian which appear in supersymmetric theories are defined and investigated. A subset of them continuously represents left and right zero semigroups and rectangular bands. The ideal properties of higher order rect…

Paper tackles risk-sensitive impulse control for continuous-time processes.

Study estimates gaps in semigroup products, proving embedding properties.

We investigate the dynamics of $2$-generator semigroups of polynomials with bounded planar postcritical set and associated random dynamics on the Riemann sphere. Also, we investigate the space ${\cal B}$ of such semigroups. We show that for a parameter $h$ in the intersection of ${\cal B}$, the hyperbolicity locus ${\c…

We define a Hamilton-Jacobi semigroup acting on continuous functions on a compact length space. Following a strategy of Bobkov, Gentil and Ledoux, we use some basic properties of the semigroup to study geometric inequalities related to concentration of measure. Our main results are that (1) a Talagrand inequality on a …

We investigate the Banach Lie groupoids and inverse semigroups naturally associated to W*-algebras. We also present statements describing relationship between these groupoids and the Banach Poisson geometry which follows in the canonical way from the W*-algebra structure.

Generates semigroups for differential expressions on Riemannian manifolds.

In those lecture notes, we review some applications of heat semigroups methods in Riemannian and sub-Riemannian geometry. The notes contain parts of courses taught at Purdue University, Institut Henri Poincaré, Levico Summer School and Tata Institute.