arXiv research

Machine learning identifies Shakespeare and Fletcher's contributions to Henry VIII.

T. Saito and M. Teragaito asked whether Berge knots of type VII are hyperbolic, and showed that some infinite sequences of the knots are hyperbolic. We show that Berge knots of types VII and VIII are hyperbolic except the known sequence of torus knots. We used the Reidemeister torsions. As a result, the Alexander polyn…

For the simply connected compact exceptional Lie group $E_8$, we determine the structure of subgroup $(E_8)^{σ, σ'}$ of $E_8$ which is the intersection $(E_8)^σ\cap (E_8)^{σ'}$. Then the space $E_8/(E_8)^{σ, σ'}$ is the exceptional $\mathbb{Z}_2 \times \mathbb{Z}_2$- symmetric space of type EVIII-VIII-VIII, and that we…

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.

Most known four-dimensional cohomogeneity-one Einstein metrics are diagonal in the basis defined by the left-invariant one-forms, though some essentially non-diagonal ones are known. We consider the problem of explicitly seeking non-diagonal Einstein metrics, and we find solutions which in some cases exhaust the possib…

Short survey based on talk given at the Institut Henri Poincare January 17th 2012, during program on surface groups. The aim was to describe some background results before describing in detail (in subsequent talks) the results of [Boa11c] related to wild character varieties and irregular mapping class groups.

These notes are the basis of a course given at the Institut Henri Poincare in September 2014. We survey some recent results related to the geometric analysis of hypoelliptic diffusion operators on totally geodesic Riemannian foliations. We also give new applications to the study of hypocoercive estimates for Kolmogorov…

No minimal chart of type (7) exists.

These notes summarize and expand on a mini-course given at CIRM in February 2018 as part of Winter Braids VIII. We somewhat obsessively develop the slogan `Trisections are to 4-manifolds as Heegaard splittings are to 3-manifolds', focusing on and clarifying the distinction between three ways of thinking of things: the …

We present in modern language the contents of the famous note published by Henri Poincaré in 1901 "Sur une forme nouvelle des équations de la Mécanique", in which he proves that, when a Lie algebra acts locally transitively on the configuration space of a Lagrangian mechanical system, the well known Euler-Lagrange equa…

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…

After G. Perelman's solution of the Poincare Conjecture, this is a different way toward it. Given a simply connected, closed 3-manifold M, we produce a homotopy disc H, which arises from M by a finite sequence of simple modifications and, almost miraculously, can be imbedded into the ordinary space R^3. It follows that…

Survey on twisted dynamical zeta functions and Fried's conjecture.

Study on stochastic covariant derivatives in curved space-time.

The SABR model is a stochastic volatility model not admitting a closed form solution. Hagan, Kumar, Leniewski and Woodward have obtained an approximate solution by means of perturbative techniques. A more precise approximation was found by Henry-Labordère with the heat kernel expansion method. The latter relies on deep…

New method calibrates local volatility models to marginal distributions.

Suppose G is a compact Lie group and N is a closed normal subgroup of G acting freely on a smooth manifold X. The Cartan theorem alluded to in the title postulates the existence of a natural isomorphism between the G-equivariant cohomology X and the G/N-equivariant cohomology of X/N. In this note we use J. Kalkman's ex…

The Bass model is calibrated to vanilla options using a fixed-point equation.

We present a novel Monte Carlo based LSV calibration algorithm that applies to all stochastic volatility models, including the non-Markovian rough volatility family. Our framework overcomes the limitations of the particle method proposed by Guyon and Henry-Labordère (2012) and theoretically guarantees a variance reduct…

In a recent comment (Johansen A 2003 An alternative view, Quant. Finance 3: C6-C7, cond-mat/0302141), Anders Johansen has criticized our methodology and has questioned several of our results published in [Sornette D and Zhou W-X 2002 The US 2000-2002 market descent: how much longer and deeper? Quant. Finance 2: 468-81,…

Extends unbiased simulation method to Asian options.

Solved Dudeney's 100-year-old puzzle about triangle to square dissection.

Proves existence and uniqueness of calibrated LSV model.

Constructs supermartingale couplings with full marginals constraints.

Negative curvature restricts the gap between the first and second eigenvalues of convex domains.

We solve the $n$-marginal Skorokhod embedding problem for a continuous local martingale and a sequence of probability measures $μ_1,...,μ_n$ which are in convex order and satisfy an additional technical assumption. Our construction is explicit and is a multiple marginal generalisation of the Azema and Yor (1979) soluti…

We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to $n$-marginal Skorokhod embedding problem in Obłój and Spoida [An iterated Azéma-Yor type embedding for finitely many marginals (2013) Preprint]…

New approach improves computational efficiency of Bass Local Volatility model.

Paper introduces branched signature model for efficient computation and data-driven applications.

Proposes a new gauge theory for fuzzy geometries using finite-dimensional algebras.

New method uses reinforcement learning to calibrate financial models.

This paper concludes the series begun in [M. Dafermos and I. Rodnianski, Decay for solutions of the wave equation on Kerr exterior spacetimes I-II: the cases |a| << M or axisymmetry, arXiv:1010.5132], providing the complete proof of definitive boundedness and decay results for the scalar wave equation on Kerr backgroun…

Generative model for time series using Schrödinger bridges with jumps.

Study of Dirac fields on Kerr spacetimes using peeling method.

This work analyzes centered binary Restricted Boltzmann Machines (RBMs) and binary Deep Boltzmann Machines (DBMs), where centering is done by subtracting offset values from visible and hidden variables. We show analytically that (i) centering results in a different but equivalent parameterization for artificial neural …

A new algorithm for missing data imputation with low RMSE and explainability.

Since the work of Henri Cartan finite dimensional Riemannian symmetric spaces are an important subject of mathematical interest. They are related in a natural way to semisimple Lie groups. In this work we introduce and study their infinite dimensional generalization: Affine Kac-Moody symmetric spaces. Affine Kac-Moody …

The paper uses topological concepts to analyze neural networks, revealing complex structure and dynamics.

Neural network models and deep models are one of the leading and state of the art models in machine learning. Most successful deep neural models are the ones with many layers which highly increases their number of parameters. Training such models requires a large number of training samples which is not always available…

Machine learning recently has been used to identify the governing equations for dynamics in physical systems. The promising results from applications on systems such as fluid dynamics and chemical kinetics inspire further investigation of these methods on complex engineered systems. Dynamics of these systems play a cru…

By Gyongy's theorem, a local and stochastic volatility (LSV) model is calibrated to the market prices of all European call options with positive maturities and strikes if its local volatility function is equal to the ratio of the Dupire local volatility function over the root conditional mean square of the stochastic v…