arXiv research

Study examines USD exchange rate dynamics using Kramers-Moyal expansion.

New method extracts stochastic laws from data, including Lévy noise.

This research develops an evolutionary approach to discover non-Gaussian stochastic dynamical systems.

New method handles complex systems with discontinuous, heavy-tailed noise.

We analyze the impact of the sampling interval on the estimation of Kramers-Moyal coefficients. We obtain the finite-time expressions of these coefficients for several standard processes. We also analyze extreme situations such as the independence and no-fluctuation limits that constitute useful references. Our results…

Study shows different price correlations in European electricity markets.

Method extracts governing laws from non-Gaussian stochastic systems data.

We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S$&$P 500 stock index, which can be described by means of the Fokker-Planck equation. We show that the Fokker-Planck equation and the Langevin equation from the estimated Kramers…

Novel framework discovers SPDEs from limited data.

The Accardi-Boukas quantum Black-Scholes framework, provides a means by which one can apply the Hudson-Parthasarathy quantum stochastic calculus to problems in finance. Solutions to these equations can be modelled using nonlocal diffusion processes, via a Kramers-Moyal expansion, and this provides useful tools to under…

In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a real dataset, namely, price fluctuations, in a wide range of temporal scales to em…

The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary one-dimensional potential $U$ under the influence of the variable noise intensity, dependin…

Unified framework maps financial market dynamics using TE and KM, revealing directional information flow.

We solve the dynamics of the on-line minority game, with general types of decision noise, using generating functional techniques a la De Dominicis and the temporal regularization procedure of Bedeaux et al. The result is a macroscopic dynamical theory in the form of closed equations for correlation- and response functi…

The evolution of the probability distributions of Japan and US major market indices, NIKKEI 225 and NASDAQ composite index, and $JPY/DEM$ and $DEM/USD$ currency exchange rates is described by means of the Fokker-Planck equation (FPE). In order to distinguish and quantify the deterministic and random influences on these…

Method extracts stochastic systems with Lévy noise from data.

The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process. In this work we check of the applicability of the Markovian approximation at separate times scales and will try to answer the question …

Our purpose is to relate the Fokker-Planck formalism proposed by [Friedrich et al., Phys. Rev. Lett. 84, 5224 (2000)] for the distribution of stock market returns to the empirically well-established power law distribution with an exponent in the range 3-5. We show how to use Friedrich et al.'s formalism to predict that…

Proposes a probabilistic digital twin for dynamical systems using sparse Bayesian learning.

This work extracts stochastic dynamical systems with $\alpha$-stable Lévy noise.

Study Galois groupoids of discret Painlevé equations.

Proves solvability of general inverse σ_k equations with constant coefficients.

We present an unsupervised approach for discovering semantic representations of mathematical equations. Equations are challenging to analyze because each is unique, or nearly unique. Our method, which we call equation embeddings, finds good representations of equations by using the representations of their surrounding …

Paper establishes estimates for nonlinear equations on compact manifolds.

Proves C^2,alpha estimates for elliptic equations on hyperkähler manifolds.

The paper generalizes Monge-Ampère equations and their solutions in differential geometry.

We study four distinct second-order nonlinear equations of Rabelo which describe pseudospherical surfaces. By transforming these equations to the constant-characteristic form we relate them to some well-studied integrable equations. Two of the Rabelo equations are found to be related to the sine-Gordon equation. The ot…

Introduces a new PDE involving differential forms for Kähler geometry.

Sharp sub-Gaussian bounds for subsolutions of Trudinger's equation on Riemannian manifolds.

In this paper we perform a blow-up and quantization analysis of the following nonlocal Liouville-type equation \begin{equation}(-Δ)^\frac12 u= κe^u-1~\mbox{in $S^1$,} \end{equation} where $(-Δ)^\frac{1}{2}$ stands for the fractional Laplacian and $κ$ is a bounded function. We interpret the above equation as the prescri…

The paper derives gradient estimates for porous medium and fast diffusion equations on metric measure spaces.

Paper solves Hessian equations on Kähler manifolds.

The paper introduces new equations in Kähler geometry and proves their solutions and convexity.

We describe a method to reduce partial differential equations of Monge-Ampère type in 4 variables to complex partial differential equations in 2 variables. To illustrate this method, we construct explicit holomorphic solutions of the special lagrangian equation, the real Monge-Ampère equations and the Plebanski equatio…

Probabilistic grammars improve equation discovery from data.

In this paper, we provide families of second order non-linear partial differential equations, describing pseudospherical surfaces (pss equations), with the property of having local isometric immersions in E^3, with principal curvatures depending on finite-order jets of solutions of the differential equation. These equa…

The paper proves constant rank theorems for special Lagrangian equations.

Study solves HJB equations for time-inconsistent control problems.

We introduce a class of overdetermined systems of partial differential equations of finite type on (pseudo)-Riemannian manifolds that we call the generalised Ricci soliton equations. These equations depend on three real parameters. For special values of the parameters they specialise to various important classes of equ…

In this thesis, we consider the suitability of using the charged cold fluid model in the description of ultra-relativistic beams. The method that we have used is the following. Firstly, the necessary notions of kinetic theory and differential geometry of second order differential equations are explained. Then an averag…

Combines geometric hydrodynamics with magnetic systems to derive new equations and prove well-posedness.

We determine the Lie point symmetries of the Fokker-Planck equation and provide examples of solutions of this equation. The Fokker-Planck equation admits a conserved form, hence there is an auxiliary system associated to this equation and whose point symmetries give rise to potential symmetries of the Fokker-Planck equ…

Studies projective geometry and partial differential equations prolongation.

Develops equivariant connections for Yang-Mills equations, simplifying interactions modeling.

The paper derives gradient estimates for solutions of certain equations on metric measure spaces.

Study generalizes Hermitian-Einstein equation for cyclic Higgs bundles, proving existence and inequality.

We come up with infinite-dimensional prequantum line bundles and moment map interpretations of three different sets of equations - the generalised Monge-Amp`ere equation, the almost Hitchin system, and the Calabi-Yang-Mills equations. These are all perturbations of already existing equations. Our construction for the g…

Study gradient estimates for nonlinear parabolic equations on Riemannian manifolds.