A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Infinite Hidden Markov Models (iHMM's) are an attractive, nonparametric generalization of the classical Hidden Markov Model which can automatically infer the number of hidden states in the system. However, due to the infinite-dimensional nature of transition dynamics performing inference in the iHMM is difficult. In th…
Most existing approaches to clustering gene expression time course data treat the different time points as independent dimensions and are invariant to permutations, such as reversal, of the experimental time course. Approaches utilizing HMMs have been shown to be helpful in this regard, but are hampered by having to ch…
This paper reviews recent advances in Bayesian nonparametric techniques for constructing and performing inference in infinite hidden Markov models. We focus on variants of Bayesian nonparametric hidden Markov models that enhance a posteriori state-persistence in particular. This paper also introduces a new Bayesian non…
This paper describes a method to obtain state model parameters for an infinite series of Links-Gould link invariants LG^{m,n}, based on quantum R matrices associated with the (\dot{0}_m | \dotα_n) representations of the quantum superalgebras U_q[gl(m|n)]. Explicit details of the state models for the cases n=1 and m=1,2…
The volume of the quantum mechanical state space over n-dimensional real, complex and quaternionic Hilbert-spaces with respect to the canonical Euclidean measure is computed, and explicit formulas are presented for the expected value of the determinant in the general setting too. The case when the state space is endo…
We present the Infinite Latent Events Model, a nonparametric hierarchical Bayesian distribution over infinite dimensional Dynamic Bayesian Networks with binary state representations and noisy-OR-like transitions. The distribution can be used to learn structure in discrete timeseries data by simultaneously inferring a s…
We present the construction of an infinite dimensional Banach manifold of quantum mechanical states on a Hilbert space H using different types of small perturbations of a given Hamiltonian. We provide the manifold with a flat connection, called the exponential connection, and comment on the possibility of introducing t…
We consider continuous time Markovian processes where populations of individual agents interact stochastically according to kinetic rules. Despite the increasing prominence of such models in fields ranging from biology to smart cities, Bayesian inference for such systems remains challenging, as these are continuous tim…
In this paper, we put the issue of dynamic equivalence of control systems in the context of pullbacks of coframings on infinite jet bundles over the state manifolds. While much attention has been given to differentially flat systems, i.e. systems dynamically equivalent to linear control systems, the advantage of this a…
We prove a partial generalization of Bonahon's tameness result to surfaces inside irreducible 3-manifolds with hyperbolic fundamental group. Bonahon's result states that geometrically infinite ends of freely indecomposable hyperbolic 3-manifolds are simply degenerate. It is easy to see that a geometrically infinite end…
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead of equivalent martingale…
In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump component exhibiting state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability …
We present some applications of ideas from partial differential equations and differential geometry to the study of difference equations on infinite graphs. All operators that we consider are examples of "elliptic operators" as defined by Y. Colin de Verdiere. For such operators, we discuss analogs of inequalities of C…
Study optimal portfolio allocation in credit markets with default contagion.
problem Risk-sensitive portfolio optimization in a regime-switching credit market with default contagion.
method Investigate recursive infinite-dimensional nonlinear dynamical programming equations (DPEs) and develop a verification theorem for optimal feedback strategies.
result Established existence and uniqueness of classical solutions to the recursive DPEs and constructed approximating problems to converge to the original system.
We prove that if the order of the first homology of the 2-fold branched cover of a knot K in the 3-sphere is given by pm where p is a prime congruent to 3 mod 4 and gcd(p,m) =1, then K is of infinite order in the knot concordance group. This provides an obstruction to classical knots being of order 4. In particular, th…