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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.

168,657 papers · 148 categories

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3036079101,213 · Jun 202019922001200920172026
48 results for Itô's formula

It has been shown that the Alvarez-Gaumeˊ\mathrm{\acute{e}}-Witten miraculous anomaly cancellation formula in type IIB superstring theory and its various generalizations can be derived from modularity of certain characteristic forms. In this paper, we show that the Green-Schwarz formula and the Schwarz-Witten formula i…

2012-05-03abs ↗pdf ↗

Although it is known that the dimension of the Vassiliev invariants of degree three of long virtual knots is seven, the complete list of seven distinct Gauss diagram formulas have been unknown explicitly, where only one known formula was revised without proof. In this paper, we give seven Gauss diagram formulas to pres…

2019-05-04abs ↗pdf ↗

The paper derives new Gauss-Bonnet formulas for frontal bundles over surfaces with boundary.

problem Deriving new formulas for coherent tangent bundles over surfaces with boundary.
method Defining frontal bundles and applying Gauss-Bonnet theorems to derive formulas.
result Four new Gauss-Bonnet type formulas for frontal bundles are derived.

Developed new Crofton formulas for pseudo-Riemannian spaces.

problem Computing volumes and curvature integrals in pseudo-Riemannian space forms.
method Introduced Crofton formulas using distributions and Alesker's Radon transform.
result Explicit Crofton formulas for all isometry-invariant valuations on pseudo-Riemannian spaces.

Formula derived for zeta functions of 3D foliated systems.

problem Analyzing zeta functions of 3D Riemannian foliated dynamical systems.
method Relating dynamical spectral ξξ-functions to zeta functions using the distributional dynamical Lefschetz trace formula.
result Proved a regularized determinant formula for zeta functions.

We construct a new representation formula for indefinite improper affine spheres in terms of two para-holomorphic functions and study singularities which appear in this representation formula. As a result, it follows that cuspidal cross caps never appear as the singularities on indefinite improper affine spheres and so…

2008-01-31abs ↗pdf ↗

We present a gluing formula for Gromov-Witten invariants in the case of a triple product. This gluing formula is a simple case of a much more general gluing formula proved and stated using exploded manifolds. We present this simple case because it is relatively easy to explain without any knowledge of exploded manifold…

2015-11-03abs ↗pdf ↗

Author presents the second variational formula for statistical biharmonic maps.

problem Developing a formula for statistical biharmonic maps.
method Introduced the second variational formula for the statistical bi-energy functional.
result The second variational formula can be represented using Hessian curvature in Hessian manifolds.

Paper derives a Reilly type integral formula and applies it to inequalities and eigenvalue problems.

problem Developing a new integral formula and its applications in geometric inequalities and eigenvalue problems.
method Derives a Reilly type integral formula associated with the φφ-Laplacian and applies it to inequalities and eigenvalue problems.
result Obtains Heintze-Karcher and Minkowski type inequalities, and eigenvalue relationships.

Extends Alòs' formula to Barndorff-Nielsen and Shephard model.

problem Modeling call option prices in a stochastic volatility model.
method Uses Alòs' decomposition formula and Ito's formula for an Ornstein-Uhlenbeck model with infinite jumps.
result First Alòs type decomposition formula for Barndorff-Nielsen and Shephard model.

Extends Itô's formula for path-dependent functions in finance.

problem Modeling and hedging of path-dependent financial options.
method Functional extension of Itô's formula for C^{0,1}-functions of continuous weak Dirichlet processes.
result Validates the hedging or superhedging problems for path-dependent options.

Proves Steiner and tube formulae for 3D contact sub-Riemannian surfaces.

problem Calculating surface properties in complex geometric structures.
method Develops a local Steiner formula for regular surfaces in 3D contact sub-Riemannian manifolds.
result Establishes a formula for surface expansion in arbitrary regions of contact sub-Riemannian manifolds.

Investigates Künneth formula for foliated de Rham cohomology, overcoming non-Hausdorff issues.

problem Computing cohomology for foliated manifolds, especially when non-Hausdorff.
method Develops a Künneth formula for specific cases of Hausdorff foliated cohomology and finite-dimensional cohomology.
result Valid Künneth formula for certain foliated cohomology spaces, with counterexamples for others.

The Guillemin-Uribe trace formula is a semiclassical version of the Selberg trace formula and more general Duistermaat-Guillemin formula for elliptic operators on compact manifolds, which reflects the dynamics of magnetic geodesic flows in terms of eigenvalues of a natural differential operator (the magnetic Laplacian)…

2019-01-17abs ↗pdf ↗

In this article, we will discuss a localization formulas of equivariant cohomology about two Killing vector fields on the set of zero points Zero(XM1YM)={xMYM(x)=XM(x)=0}.{\rm{Zero}}(X_{M}-\sqrt{-1}Y_{M})=\{x\in M \mid |Y_{M}(x)|=|X_{M}(x)|=0 \}. As application, we use it to get formulas about characteristic numbers and to get a Duistermaat-Heckm…

2017-04-28abs ↗pdf ↗

We give reconstruction formulas inverting the geodesic X-ray transform over functions (call it I0I_0) and solenoidal vector fields on surfaces with negative curvature and strictly convex boundary. These formulas generalize the Pestov-Uhlmann formulas in [Pestov-Uhlmann, IMRN '04] (established for simple surfaces) to ca…

2015-11-17abs ↗pdf ↗

Matrix formulas for super Teichmüller spaces generalize previous work and yield super λ-lengths.

problem Calculating super λ-lengths on bordered surfaces with marked points.
method Using holonomy matrices of elements in the supergroup OSp(1|2) to compute super λ-lengths in decorated super Teichmüller spaces.
result Matrix formulas for arcs on bordered surfaces yield super λ-lengths in Penner-Zeitlin's decorated super Teichmüller space.

Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be used to identify arbitrage opportunities

2016-07-06abs ↗pdf ↗

Polterovich proved a remarkable closed formula for heat kernel coefficients of the Laplace operator on compact Riemannian manifolds involving powers of Laplacians acting on the distance function. In the case of Kähler manifolds, we prove a combinatorial formula for powers of the complex Laplacian and use it to derive a…

2013-11-21abs ↗pdf ↗

Abstract mathematical formulas for statistical structures and curvatures.

problem Developing formulas for statistical structures and curvatures.
method Proving new formulas and theorems for statistical structures and curvatures.
result Generalized formulas for statistical structures and curvatures.

We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Valuation Adjustment (CVA)'s formulas as seen from the two different parties in the transaction. This formula is only a simplified representati…

2011-06-17abs ↗pdf ↗

We prove an analogue of the classical Steiner formula for the LpL_p affine surface area of a Minkowski outer parallel body for any real parameters pp. We show that the classical Steiner formula and the Steiner formula of Lutwak's dual Brunn Minkowski theory are special cases of this new Steiner formula. This new Stein…

2018-11-17abs ↗pdf ↗