Paper assesses GMMB in VAs using FST for accurate net liability calculations.
problem Risk management of GMMB under stochastic mortality and regime-switching.
method Net liability model with FST algorithm for accurate numeric solutions.
result FST algorithm provides reliable results for net liability of GMMB.
We model the price of a stock via a Langévin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound Poisson processes with operator stable jump intensities. We derive exact relations f…
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allows to shift the model-dependent computations into an offline phase pri…
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-factor changes. A generalization of the formula is derived under the more…
Proves conditions for Fourier transforms in rank 1 symmetric spaces.
problem Understanding Fourier transform bounds in symmetric spaces.
method Proves sufficient and necessary conditions using Lipschitz and Fourier type integral conditions.
result Establishes bounds for Fourier transforms in rank 1 symmetric spaces with specific moduli of continuity.
Novel IMEX scheme solves financial PDEs with mixed derivatives.
problem Numerical approximations for financial PDEs with mixed derivatives.
method Second order finite volume IMEX Runge-Kutta scheme.
result Achieves true second order convergence with non-regular initial conditions.
We present a numerical scheme to calculate fluctuation identities for exponential Lévy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult case of the two-barriers exit problem. These identities are given in the Fourier-L…
New discrepancy function compares discrete probability measures considering space geometry.
problem Comparing discrete probability measures in a geometrically meaningful way.
method Proposes the Fourier Discrepancy Function, proving convexity, differentiability, and providing gradient formula.
result Proves the Fourier Discrepancy is convex, twice differentiable, and provides an explicit gradient formula.
Bayesian time series forecasting improves by dynamically adapting to recent information.
problem Lack of forgetting mechanism in signature kernel for time series forecasting.
method Introducing a novel forgetting mechanism for signature features using Random Fourier Decayed Signature Features (RFDSF) with Gaussian processes (GPs).
result Demonstrates superior performance compared to other GP-based alternatives and state-of-the-art probabilistic time series forecasting algorithms.
Paper proves Fourier transform for valuations, simplifying previous work.
problem Existence of isomorphism for translation-invariant smooth valuations.
method Directly describes Alesker's isomorphism in terms of Fourier transform on functions.
result Simple proofs of Alesker's Fourier transform properties, including a previously conjectured result.
KOMET identifies Koopman operators from model parameter trajectories to adapt to evolving data distributions.
problem Adaptation of parametric models to non-stationary environments.
method Data-driven framework using Koopman operator identification and Extended Dynamic Mode Decomposition (EDMD).
result KOMET achieves high autonomous-rollout accuracies of 0.981 to 1.000 over 100 time steps on various drifting datasets.
A new Fourier model improves ODE prediction.
problem Improving the accuracy of ODE solutions, especially for periodic functions.
method Constructing a Fourier state space model and a hybrid model combining Taylor and Fourier methods.
result The hybrid model can predict ODE solutions more accurately, especially for periodic functions.
Study extends neural network approximation to time-varying PDEs using Fourier-Lebesgue spaces.
problem Limitation to static PDEs and different time-domain regularity.
method Extend spectral Barron spaces to anisotropic weighted Fourier-Lebesgue spaces, measure approximation error in Bochner-Sobolev norm.
result Established bound on approximation rate for functions in anisotropic weighted Fourier-Lebesgue spaces.
Improved electrical load forecasting model using Fourier-enhanced RNN.
problem Electrical load time series downscaling with high accuracy and low error.
method Combines recurrent neural network with Fourier seasonal embeddings and self-attention.
result Significantly reduces RMSE across different time horizons compared to existing methods.
The paper tackles drift identification in Lévy α-stable stochastic systems, proposing a Fourier space approach.
problem Estimating the drift field of a stochastic differential equation driven by Lévy α-stable noise.
method Fourier space approach, parameterizing the drift field using Fourier series, minimizing a loss function with gradients computed via the adjoint method.
result The method is capable of learning drift fields in qualitative and/or quantitative agreement with ground truth fields.
New method for optimizing risk in financial models using Fourier transforms.
problem Optimizing risk in financial models with multi-period mean-CVaR.
method Strictly monotone 2D integration scheme via Fourier-trained transition kernels.
result Established robust and accurate optimization method for financial models.
RNNs solve modular addition tasks using low rank and sparse Fourier structures.
problem Solving modular addition tasks with recurrent neural networks.
method Identified low rank structures and sparse Fourier representations in RNN weights.
result RNNs robust to removing individual frequencies but degrade with more ablation.
New Fourier-based diffusion model improves high-frequency generation quality.
problem Diffusion models struggle with high-frequency details.
method Analyzed and modified the forward process in Fourier space to equalize noise corruption across frequencies.
result Improved generation quality for high-frequency components.
The Fourier transform of Heegaard Floer d-invariants helps classify 3-manifolds.
problem Classifying 3-manifolds up to integer homology cobordism.
method Exploring the Fourier transform of Heegaard Floer d-invariants.
result Lens spaces are cancellable in the monoid of 3-manifolds up to integer homology cobordism.
Note on instabilities in super-time-stepping methods for Heston model.
problem Instabilities in super-time-stepping methods applied to Heston model.
method Exploration of explicit super-time-stepping schemes (RK-Chebyshev, RK-Legendre) for Heston model.
result Relevance of stability remarks beyond super-time-stepping schemes.
Graph Neural Simulators improve data efficiency for PDE surrogates.
problem Lack of data efficiency in neural operators for PDE systems.
method Graph Neural Simulators (GNS) leverage message-passing and numerical time-stepping to learn PDE dynamics efficiently.
result GNS achieves less than 1% relative L2 error using only 3% of available trajectories.
New Fourier analysis method for non-uniform Boolean hypercube.
problem Non-uniform probability measures on the Boolean hypercube.
method ANOVA-based decomposition, explicit basis, least squares problem.
result Generalization of Fourier analysis for arbitrary probability measures.
Lecture notes on kernel functions and Random Fourier Features.
problem Understanding and approximating kernel functions in machine learning.
method Mathematical background and proofs of concentration results.
result Estimation of error in Random Fourier Features approximation.
In this paper we prove a new inversion theorem and a refinement of an old support theorem for two Radon transforms on a symmetric space. Included are some new identities for the Abel transform and some results about the Fourier transform from a joint work with Rawat, Sengupta and Sitaram.
NFM models time-series data directly in the Fourier domain, achieving state-of-the-art performance.
problem Traditional time-series analysis focuses on the time domain, limiting flexibility.
method NFM models time-series data in the Fourier domain, using frequency extrapolation and interpolation.
result NFM achieves state-of-the-art performance on various time-series tasks.
Random Fourier features is one of the most popular techniques for scaling up kernel methods, such as kernel ridge regression. However, despite impressive empirical results, the statistical properties of random Fourier features are still not well understood. In this paper we take steps toward filling this gap. Specifica…
The paper derives and proves the Helgason Fourier transform for vector bundle-valued differential forms on homogeneous spaces.
problem Deriving the Helgason Fourier transform for vector bundle-valued differential forms on homogeneous spaces.
method Employing the perspective of the functional equation satisfied by the classical Fourier transform, the paper derives the Helgason Fourier transform map and proves its properties.
result The Fourier transform is explicitly given and proven to be a map from vector bundle-valued differential forms to another vector bundle-valued differential form on the product space.
X-ray transform on H-type groups solved, revealing function injectivity.
problem Injectivity in sub-Riemannian geometry.
method Fourier Slice Theorem adapted to H-type groups.
result Integrable functions on H-type groups are uniquely determined by their integrals over geodesics.
Quantum computers can enhance spectral methods in machine learning.
problem Spectral methods are fundamental but challenging for classical models.
method Utilizing quantum Fourier Transform for spectral manipulations.
result Quantum computing can offer more efficient spectral design.
Enhances DGPs with adaptive RKHS Fourier features for better non-stationary pattern modeling.
problem Capturing complex non-stationary patterns in non-linear dynamical systems.
method Integrates ODE-based RKHS Fourier features into DGPs using convolution operations for adaptive amplitude and phase modulation. Uses a doubly stochastic variational inference framework.
result Improved predictive performance across various regression tasks.
Derives representations invariant under crystallographic groups for functions.
problem Representing and learning functions invariant under crystallographic groups.
method Derives linear and nonlinear representations of functions invariant under crystallographic groups.
result Derives orthonormal crystallographically invariant basis functions and embedding maps.
FNSDA adapts to new dynamics via Fourier space adaptation.
problem Generalizing to unseen dynamical systems with limited data.
method Automatic partitioning of known environments in Fourier modes and adaptation of specific modes for new environments.
result FNSDA achieves superior or competitive generalization performance with reduced parameter cost.
In a linear stochastic bandit model, each arm is a vector in an Euclidean space and the observed return at each time step is an unknown linear function of the chosen arm at that time step. In this paper, we investigate the problem of learning the best arm in a linear stochastic bandit model, where each arm's expected r…
Analyzing the temporal behavior of nodes in time-varying graphs is useful for many applications such as targeted advertising, community evolution and outlier detection. In this paper, we present a novel approach, STWalk, for learning trajectory representations of nodes in temporal graphs. The proposed framework makes u…
New methods combine MALA and mGRAD for scalable Bayesian inference in high-dimensional state-space models.
problem Bayesian inference in high-dimensional state-space models with limited scalability.
method Combines gradient-based MALA and prior-informed mGRAD for scalable inference.
result Extends classical MCMC methods to handle multiple time steps and particles.
Random Fourier features improve tabular deep learning convergence.
problem Tabular deep learning convergence issues.
method Random Fourier projections as a pre-processing step, projecting inputs into a fixed feature space.
result Random Fourier pre-processing accelerates tabular deep learning convergence.
Devoted to multi-task learning and structured output learning, operator-valued kernels provide a flexible tool to build vector-valued functions in the context of Reproducing Kernel Hilbert Spaces. To scale up these methods, we extend the celebrated Random Fourier Feature methodology to get an approximation of operator-…
Quantum Fourier Transform aids machine learning inference.
problem Generalizing from finite data samples to ground truth.
method Inspired by quantum algorithms, uses Quantum Fourier Transform to expose invariant subspace for data comparison.
result Proposes a concrete implementation for machine learning applications leveraging symmetries.
This paper analyzes SHAP values using Fourier expansions for model interpretability.
problem Understanding and interpreting SHAP values in complex models.
method Developed a spectral framework using Fourier expansions for SHAP values in various model regimes.
result SHAP values are Lipschitz continuous in the deterministic regime and converge to Gaussian process values in the probabilistic regime.
As announced in [12], we develop a calculus of Fourier integral G-operators on any Lie groupoid G. For that purpose, we study convolability and invertibility of Lagrangian conic submanifolds of the symplectic groupoid T * G. We also identify those Lagrangian which correspond to equivariant families parametrized by the …
Study approximates operator learning for PDEs using Fourier multipliers.
problem Approximating operator behavior for PDE simulations.
method Approximation of operator symbols in Fourier domain using semi-norms.
result Identifies conditions for achieving predefined approximation error.
HFNO enhances interpretability of turbulent flows through parallel wavenumber bin processing.
problem Opaque inner workings of Fourier Neural Operators (FNOs) hinder physical interpretability.
method Introduces HFNO, a novel FNO-based architecture that processes wavenumber bins in parallel, enhancing interpretability.
result HFNO decomposes turbulent flows across various scales, enabling increased interpretability and multiscale modeling.
Framework predicts patient risk progression over time.
problem Predicting how patient risk changes over time.
method Supervised contrastive learning framework with embedding properties.
result Framework outperforms baselines in mortality and cognitive impairment datasets.
We parametrize the space Z of Zygmund vector fields on the unit circle in terms of infinitesimal shear functions on the Farey tesselation. Then we express the Hilbert transform and the Fourier coefficients of the Zygmund vector fields in terms of the above parametrization by infinitesimal shear functions. F…
New space for valuations in non-Archimedean setting with duality properties.
problem Developing a non-Archimedean analogue of classical valuation spaces.
method Construction of a new space of valuations with similar structures to classical spaces.
result The new space satisfies Poincaré duality and hard Lefschetz theorem.
Quantization and reduction studied for CR manifolds with group actions.
problem Quantization and reduction for CR manifolds with group actions.
method Consider a compact torsion free CR manifold X with a G-equivariant rigid CR line bundle L. The high tensor powers of L are studied, and a weighted G-invariant Fourier-Szegő operator projects onto the space of G-invariant CR sections. result Quantization commutes with reduction for sufficiently high tensor powers of the line bundle.
This work improves Fourier pricing for multi-asset options using RQMC with domain transformation.
problem Efficiently pricing multi-asset options in high dimensions with Fourier methods.
method Randomized quasi-Monte Carlo (RQMC) with domain transformation to handle singularities.
result RQMC with domain transformation provides accurate and scalable Fourier pricing for multi-asset options.
New algorithm for estimating multivariate quantiles using stochastic optimal transport.
problem Estimating multivariate quantiles from data.
method Stochastic algorithm for entropic optimal transport in Banach spaces, using Fourier coefficients.
result Almost sure convergence of the stochastic algorithm in infinite-dimensional Banach spaces.