Unified approach to equity markets with open and hybrid Jacobi models.
problem Stochastic Portfolio Theory problems in equity markets.
method Combining open markets and hybrid Jacobi processes.
result Stability of capital distribution curve and growth optimal strategies.
This paper constructs Brownian motion on complex flag manifolds and finds joint distribution of stochastic areas.
problem Modeling stochastic areas on complex partial flag manifolds.
method Constructs Brownian motion on complex partial flag manifolds and uses it to find joint distribution of stochastic areas.
result Limit law of stochastic areas is a multivariate Cauchy distribution.
Study optimal investment and consumption in financial markets using Ornstein-Uhlenbeck process.
problem Optimal consumption/investment problem in financial markets with logarithmic utility.
method Stochastic dynamical programming method and Hamilton-Jacobi-Bellman (HJB) equation.
result Explicit solution to the HJB equation and optimal financial strategies constructed.
Deep neural nets approximate high-dimensional HJB equations efficiently.
problem Approximating solutions to high-dimensional HJB equations.
method Deep neural networks for approximating solutions.
result Deep neural networks can approximate solutions without the curse of dimensionality.
Paper applies quantization to polynomial processes for option pricing.
problem Quantization for polynomial processes in finance.
method Two quantization procedures for stochastic volatility Jacobi process.
result Theoretical and practical tools for fast option pricing.
A model optimizes carbon emission reduction and allowance purchasing for companies.
problem Optimizing carbon emissions and allowance purchasing for companies.
method Established an optimal control model involving two stochastic processes with two control variables, converted into an HJB equation, proved existence and uniqueness of solution.
result Proved the existence and uniqueness of the solution to the HJB equation.
DiPhon generates scalable graphs via diffusion on graphons.
problem Scaling diffusion models to large graphs.
method Formulated a continuous diffusion process on graphon space via Jacobi SDE, discretized for finite graphs.
result DiPhon matches the first moment of graphon dynamics and approximates the second moment.
We study twisted Jacobi manifolds, a concept that we had introduced in a previous Note. Twisted Jacobi manifolds can be characterized using twisted Dirac-Jacobi, which are sub-bundles of Courant-Jacobi algebroids. We show that each twisted Jacobi manifold has an associated Lie algebroid with a 1-cocycle. We introduce t…
Study optimal investment strategies for an insurer in two currency markets.
problem Maximizing expected exponential utility of terminal wealth for an insurer in two currency markets.
method Dynamic programming method applied to solve Hamilton-Jacobi-Bellman equations.
result Optimal investment strategies and value functions are derived.
This paper optimizes DC pension plan investments using O-U process and loan.
problem Optimizing investment strategy for DC pension plans under specific market conditions.
method Dynamic programming and Hamilton-Jacobi-Bellman equation to derive optimal investment strategy.
result Explicit expression for optimal investment strategy derived.
We propose a definition of Jacobi quasi-Nijenhuis algebroid and show that any such Jacobi algebroid has an associated quasi-Jacobi bialgebroid. Therefore, also an associated Courant-Jacobi algebroid is obtained. We introduce the notions of quasi-Jacobi bialgebroid morphism and Courant-Jacobi algebroid morphism providin…
Paper solves investment strategy optimization with deep learning.
problem Maximizing investor utility with optimal asset allocation.
method Solves PDEs with Deep Galerkin method.
result Deep learning algorithm outperforms finite difference method.
Defines Jacobi-Koszul-Vinberg structures on Jacobi-left-symmetric algebroids.
problem No specific problem stated; focuses on new structure definition.
method Definition and properties of Jacobi-Koszul-Vinberg structures on Jacobi-left-symmetric algebroids.
result Defines a new structure on Jacobi-left-symmetric algebroids.
The paper analyzes time-inconsistent strategies in financial markets with rough volatility.
problem Time-inconsistency in financial markets with rough volatility.
method Functional Itô calculus and game-theoretic framework to solve path-dependent Hamilton-Jacobi-Bellman equations.
result Explicit solutions to MVP problems under rough volatility, showing performance benefits.
The study extends Jacobi-orthogonality to indefinite scalar product spaces.
problem Generalizing Jacobi-orthogonality to indefinite scalar product spaces.
method Comparing principles, investigating tensor relations, proving properties.
result Every quasi-Clifford tensor is Jacobi-orthogonal; certain tensors are Jacobi-dual or Osserman.
Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. Knowledge of the symmetries of the Hamilton-Jacobi-Bellman equation associated with these processes allows one to obtain relations between stochastic processes (Lescot-Zambrini, Progress in Probability, vols 58 and 59). More recentl…
We study quasi-Jacobi and Jacobi-quasi bialgebroids and their relationships with twisted Jacobi and quasi Jacobi manifolds. We show that we can construct quasi-Lie bialgebroids from quasi-Jacobi bialgebroids, and conversely, and also that the structures induced on their base manifolds are related via a quasi Poissoniza…
Study optimal portfolio in intraday electricity markets using Lévy-Ornstein-Uhlenbeck processes.
problem Maximizing expected terminal utility in a single risky asset market.
method Model power prices with mean-reverting additive process, solve HJB equation for logarithmic utility.
result Explicit solution for optimal strategy, numerical and analytical methods available.
A new macroscopic market making model connects market making and optimal execution.
problem Connecting market making and optimal execution problems.
method Using continuous processes for orders, the model bridges the gap between market making and optimal execution.
result Demonstrates the model's effectiveness through various noise and intensity function scenarios.
Defines Dirac pairs on Jacobi algebroids, generalizing Lie algebroids.
problem Generalizing Dirac pairs to Jacobi algebroids.
method Introducing Dirac pairs on Jacobi algebroids and showing their relationship to Lie algebroids.
result Dirac pairs on Jacobi algebroids characterize compatible structures.
We use the supergeometric formalism, more precisely, the so-called "big bracket" (for which brackets and anchors are encoded by functions on some graded symplectic manifold) to address the theory of Jacobi algebroids and bialgebroids (following mainly Iglesias-Marrero and Grabowski-Marmo as a guideline). This formalism…
In this paper, we develop holomorphic Jacobi structures. Holomorphic Jacobi manifolds are in one-to-one correspondence with certain homogeneous holomorphic Poisson manifolds. Furthermore, holomorphic Poisson manifolds can be looked at as special cases of holomorphic Jacobi manifolds. We show that holomorphic Jacobi str…
Defines compatibility between Jacobi structures and pseudo-Riemannian metrics on Jacobi algebroids.
problem Generalizing compatibility between Poisson and pseudo-Riemannian metrics to Jacobi structures.
method Introduces and studies compatibility conditions for Jacobi structures and pseudo-Riemannian metrics on Jacobi algebroids.
result Compatibility conditions are preserved under Poissonization and equivalent to Sasakian structures for contact pseudo-metrics.
This paper extends Jacobi field theory to Jacobi curves and their curvatures.
problem Characterizing and understanding Jacobi curves and their curvatures.
method Developed a new theory of Jacobi curves and associated curvatures, derived Ricci curvature, and presented a Cartan-like theory.
result Jacobi curves are fully characterized by a family of conformal symplectic invariant curvatures.
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constrai…
The paper proves normal forms for Dirac-Jacobi bundles and splitting theorems for Jacobi structures.
problem Proving normal forms and splitting theorems for Jacobi structures.
method Using recent techniques from Bursztyn, Lima and Meinrenken, the paper proves normal forms for Dirac-Jacobi bundles and splitting theorems for Jacobi pairs.
result The paper provides an alternative proof of the splitting theorem of homogeneous Poisson structures.
Inverse metric matrices on Siegel-Jacobi spaces are calculated for Berezin quantization.
problem Calculating inverse metric matrices on Siegel-Jacobi spaces.
method Inversion of metric matrices on XnJ and ildeXnJ. result Explicit calculations of inverse metric matrices for n=2. We study the holomorphic unitary representations of the Jacobi group based on Siegel-Jacobi domains. Explicit polynomial orthonormal bases of the Fock spaces based on the Siegel-Jacobi disk are obtained. The scalar holomorphic discrete series of the Jacobi group for the Siegel-Jacobi disk is constructed and polynomial …
Jacobi algebroids (i.e. `Jacobi versions' of Lie algebroids) are studied in the context of graded Jacobi brackets on graded commutative algebras. This unifies varios concepts of graded Lie structures in geometry and physics. A method of describing such structures by classical Lie algebroids via certain gauging (in the …
Lichnerowicz-Jacobi cohomology and homology of Jacobi manifolds are reviewed. We present both in a unified approach using the representation of the Lie algebra of functions on itself by means of the hamiltonian vector fields. The use of the associated Lie algebroid allows to prove that the Lichnerowicz-Jacobi cohomolog…
Paper introduces stochastic HJB on Jacobi structures.
problem Stochastic analysis on Jacobi manifolds.
method Global stochastic analysis techniques, extending Bismut and Lázaro-Camí work.
result Proposes a stochastic HJB framework.
Jacobi-Nijenhuis algebroids are defined as a natural generalization of Poisson-Nijenhuis algebroids, in the case where there exists a Nijenhuis operator on a Jacobi algebroid which is compatible with it. We study modular classes of Jacobi and Jacobi-Nijenhuis algebroids.
The most general Jacobi brackets in R3 are constructed after solving the equations imposed by the Jacobi identity. Two classes of Jacobi brackets were identified, according to the rank of the Jacobi structures. The associated Hamiltonian vector fields are also constructed.
Study Godbillon-Vey class for regular Jacobi foliations.
problem Characterizing foliations in Jacobi manifolds.
method Explicitly defined and computed Godbillon-Vey class for regular foliations.
result Expressed Godbillon-Vey class in terms of Jacobi structures.
Analyzes Berry phases and connection matrices on Siegel-Jacobi spaces.
problem Understanding Berry phases and connection matrices on Siegel-Jacobi spaces.
method Examines the Siegel-Jacobi disk and upper half-plane, calculates connection matrices and covariant derivatives.
result Calculates the connection matrix and covariant derivatives on the extended Siegel-Jacobi upper half-plane.
Simplified calculus for stochastic processes simplifies complex financial calculations.
problem Complex stochastic processes in economics and finance.
method Intuitive calculus capturing jumps without explicit measure reference.
result Simplifies calculations involving drifts and expected values.
New L∞ algebra governs deformations of Dirac-Jacobi structures.
problem Deformation theory of Dirac-Jacobi structures.
method Using higher derived brackets and split Courant-Jacobi algebroids, an L∞ algebra is associated with each Dirac-Jacobi structure. result There is a one-to-one correspondence between MC elements of the L∞ algebra and small deformations of the Dirac-Jacobi structure. New characterization of Osserman tensors using Jacobi-orthogonality.
problem Characterizing Osserman tensors.
method Introducing Jacobi-orthogonality as a new potential characterization.
result Jacobi-orthogonal tensors are Osserman, and all known Osserman tensors are Jacobi-orthogonal.
A new definition for vector fields extends the Jacobi set concept.
problem Describing interactions between vector fields on complex domains.
method Piecewise linear approach for simplicial complexes.
result Generalizes Jacobi set concept to vector fields.
Survey reviews Hamilton-Jacobi theory in various geometric settings, focusing on Jacobi and Leibniz identities.
problem Analyzing Hamilton-Jacobi theory across different geometric backgrounds.
method Geometric review of Hamilton-Jacobi theory, focusing on Jacobi and Leibniz identities.
result Novel Hamilton-Jacobi equation for conformal Hamiltonian vector fields.
New action functionals for sigma models on Jacobi bundles.
problem Defining action functionals for sigma models on Jacobi bundles.
method Generalizing Jacobi brackets to Jacobi bundles and proposing different approaches.
result Solutions correspond to morphisms of Jacobi algebroids.
Optimal dividend strategy for insurance company in foreign currency.
problem Maximizing dividends paid in a foreign currency until ruin.
method Spectrally negative Lévy process, exponentially Lévy exchange rate, Hamilton--Jacobi--Bellman equation.
result Single dividend barrier strategy is optimal.
New method uses TT approximations to solve HJB equations for efficient sampling.
problem Efficiently sampling from complex probability densities.
method Direct time integration of HJB equations using Tensor Train compression.
result Sample-free, dimensionality-avoiding integration method.
The paper outlines key geometry issues in Siegel-Jacobi space.
problem Basic problems in the geometry of the Siegel-Jacobi space.
method Proposes basic problems.
result Outlines key geometry issues in Siegel-Jacobi space.
Abstract: From complex financial models to simpler Hamilton-Jacobi equations.
problem Complex financial models for multi-dimensional Black-Scholes.
method Linked Hamilton-Jacobi equations to simplify financial models.
result Simplified financial models using Hamilton-Jacobi equations.
Defines Jacobi fields in nonholonomic mechanics.
problem No specific problem stated; focuses on definition and properties.
method Characterizes Jacobi fields using Riemannian geometry methods and finds them explicitly. Uses complete lift and curvature/torsion of nonholonomic connection.
result Derives nonholonomic Jacobi equations in two equivalent ways.
We solve continuous-time reinforcement learning using distributional Hamilton-Jacobi-Bellman equations.
problem Predicting the distribution of returns in continuous-time, stochastic environments.
method We derive a distributional Hamilton-Jacobi-Bellman equation for Itô diffusions and Feller-Dynkin processes, and propose an algorithm based on a JKO scheme.
result We propose an online control algorithm that can be used to approximately solve the distributional HJB equation.
We analyze the relationship between the covering of the Jacobi group and the squeezed states. We attach some nonclassical states to the Jacobi group. The matrix elements of the Jacobi group are presented.