arXiv research

Let $x : M \to E^m$ be an isometric immersion of a Riemannian manifold $M$ into a Euclidean $m$-space. Denote by $Δ$ the Laplace operator of $M$. Then $Δ$ gives rise to a differentiable map $L :M \to E^m$, called the Laplace map, defined by $L(p)=(Δx)(p)$, $p\in M$. We call $L(M)$ the Laplace image, and the transformat…

The 1993 Laplace transform approach of Geman and Yor is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a financial perspective. In this paper, we discuss two observations regarding the financial relevance of its results. First, we show that the Geman and Yor Lap…

Study of line congruences for Appell's rank-4 hypergeometric functions.

The paper examines special Q-nets that terminate after a finite number of Laplace steps.

In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and Thomée (IMA J. Numer. Anal., 2003) to solve the Black-Scholes equation. The algorithm is of arbitrary high convergence rate and naturally parallelizable. It is shown that the method is very efficient for calculating vari…

The paper studies Fourier-Laplace transforms in polynomial OU volatility models for option pricing.

We prove that the Fourier--Laplace--Nahm transform for connections on the projective line is a hyper-Kähler isometry.

Study investigates ruin probability with random premiums and risky investments.

We introduce the spherical phylon group, a subgroup of the group of all formal diffeomorphisms of $\R^d$ that fix the origin. The invariant theory of the spherical phylon group is used to understand the invariants of the Laplace transform.

Efficiently calculates Brazilian stock options with discrete dividends.

We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is the derivation of the conditional Laplace transform of general Gaussian processes in terms of Fredholm's determinant and…

The study bounds quantum eigenfunctions on complex manifolds.

In this paper we investigate overdetermined systems of scalar PDEs on the plane with one common characteristic, whose general solution depends on 1 function of 1 variable. We describe linearization of such systems and their integration via Laplace transformation, relating this to Lie's integration theorem and formal th…

Transforms game optimization dynamics into frequency domain for precise hyperparameter analysis.

Asymptotic Laplace transform for geometric Brownian motion applied to bond pricing.

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their life…

Extend classical theory of affine processes to path-dependent setting

The study bounds Riesz transforms on manifolds with controlled curvature.

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru. We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE's and the Runge-Kutta al…

Develops a new method to compute risk-sharing allocations using Laplace transforms.

We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, solving it analytically and numerically for the steady-state distribution, and exploring the solutions for various values o…

New techniques save bits in image compression with upsampling.

This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach. Based on suggestions by Pliska the notion of Paris options is extended such that their valuation is possible at any poi…

We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process with regime-switching coefficients modeled by a continuous-time finite-state Markov chain. We consider an inves…

New method calculates geometric Brownian motion with affine drift and its integral.

We study discrete conjugate nets whose Laplace sequence is of period four. Corresponding points of opposite nets in this cyclic sequence have equal osculating planes in different net directions, that is, they correspond in an asymptotic transformation. We show that this implies that the connecting lines of correspondin…

The paper uses the variance-gamma model to price options and explain excess kurtosis.

Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and continuously monitored Asian options under one-dimensional Markov processes. In …

In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its running minimum. The drawdown and the drawup are the first hitting times of the dr…

It is proved that if a Paley-Wiener family of eigenfunctions of the Laplace operator in $\mathbb R^3$ vanishes on a real analytically ruled two-dimensional surface $S \subset \mathbb R^3$ then $S$ is a union of cones, each of which is contained in a translate of the zero set of a nonzero harmonic homogeneous polynomial…

This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of the non-analytic solution, this paper obtains the transition probability density function of the random variable that i…

Previous research has shown that computation of convolution in the frequency domain provides a significant speedup versus traditional convolution network implementations. However, this performance increase comes at the expense of repeatedly computing the transform and its inverse in order to apply other network operati…

Efficiently transforms samples from various statistical models.

New methods for computing volumes and constructing Fano fibrations.

The paper proves conditions for Darboux integrability in diagonal hydrodynamic systems.

Fast approximate inference for non-Gaussian data.

We consider vector fields $X$ on a closed manifold $M$ with rest points of Morse type. For such vector fields we define the property of exponential growth. A cohomology class $ξ\in H^1(M;\mathbb R)$ which is Lyapunov for $X$ defines counting functions for isolated instantons and closed trajectories. If $X$ has exponent…

In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Levy model with hyper-exponential jumps. In…

This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage times and undershoot (overshoot) are obtained. As applications, we pr…

We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of $J$-functionals of Dawson-Watanabe superprocesses. This solution is related to the superprocess solution of quasilinear parabolic PDEs with singular terminal condition. For the probabilistic verification proof, we develo…

Darboux Wronskian formulas allow to construct Darboux transformations, but Laplace transformations, which are Darboux transformations of order one cannot be represented this way. It has been a long standing problem on what are other exceptions. In our previous work we proved that among transformations of total order on…

This is the fourth article of our series. Here, we study weighted norm inequalities for the Riesz transform of the Laplace-Beltrami operator on Riemannian manifolds and of subelliptic sum of squares on Lie groups, under the doubling volume property and Gaussian upper bounds.

In this paper we prove mixed norm estimates for Riesz transforms related to Laplace--Beltrami operators on compact Riemannian symmetric spaces of rank one. These operators are closely related to the Riesz transforms for Jacobi polynomials expansions. The key point is to obtain sharp estimates for the kernel of the Jaco…

Derives an index formula for families of end-periodic Dirac operators.

Improves Laplace approximation for Bayesian inference on Riemannian manifolds.

We show that the quantum field theoretical formulation of the $τ$-function theory has a geometrical interpretation within the classical transformation theory of conjugate nets. In particular, we prove that i) the partial charge transformations preserving the neutral sector are Laplace transformations, ii) the basic ver…

So-called sparse estimators arise in the context of model fitting, when one a priori assumes that only a few (unknown) model parameters deviate from zero. Sparsity constraints can be useful when the estimation problem is under-determined, i.e. when number of model parameters is much higher than the number of data point…

For operators of many different kinds it has been proved that (generalized) Darboux transformations can be built using so called Wronskian formulae. Such Darboux transformations are not invertible in the sense that the corresponding mappings of the operator kernels are not invertible. The only known invertible ones wer…