The paper proves extension theorems for complex manifolds with Levi q-concave domains.
problem Holomorphic extension theorems for complex manifolds with Levi q-concave domains. method The proof relies on holomorphic Morse inequalities, the Kohn-Rossi extension theorem, and a general Nakano-Griffiths inequality.
result Holomorphic extension theorems for (0,ℓ)-forms on Levi q-concave domains. By using asymptotic Morse inequalities we give a lower bound for the space of holomorphic sections of high tensor powers in a positive line bundle over a q-concave domain. The curvature of the positive bundle induces a hermitian metric on the manifold. The bound is given explicitely in terms of the volume of the domain…
Deep models can't generate heavy-tailed samples well.
problem Understanding the limitations of deep generative models in generating samples with heavy tails.
method Unified framework using concentration of measure and convex geometry, Gromov-Levy inequality.
result Deep generative models are not universal generators and can only produce concentrated samples with light tails.
Investigates the rotating Kepler problem for energy values ≤ -3/2.
problem Understanding periodic orbits and symplectic structures in rotating celestial mechanics.
method Ligon-Schaaf and Levi-Civita symplectic regularizations, special concave toric domain construction.
result Identification of a special concave toric domain (SCTD) for the RKP phase space.
The paper establishes boundary estimates for solutions to elliptic equations on Hermitian manifolds.
problem Boundary estimates for solutions to fully non-linear elliptic equations on Hermitian manifolds.
method Unified approach using quantitative boundary estimates, gradient estimates, and existence results.
result Established gradient estimates and unified approach to Dirichlet problem solutions.
The paper establishes conditions for strict power concavity in convolutions.
problem Conditions for strict power concavity in convolutions.
method Analyzes sufficient conditions for strict parabolic power concavity of convolutions.
result Establishes sufficient conditions for strict power concavity of convolutions.
Study reveals finite-size effects and sensitivity to random numbers in Levy-Levy-Solomon model.
problem Finite-size effects and sensitivity to random numbers in Levy-Levy-Solomon model.
method Simulations and analysis of Levy-Levy-Solomon model with different random number generators and stopping criteria.
result Low-quality pseudo random number generators significantly impact simulation results.
Minimal graph level sets are concave if boundary is concave.
problem Understanding curvature of minimal graph level sets.
method Proved an inequality and showed geometric properties.
result Level sets of minimal graphs are concave if boundary is concave.
These lectures notes aim at introducing Lévy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of Lévy processes. We analyze a `toy' example of a Lévy process, viz. a Lévy jump-diffusion, which yet offers significant insight into the distri…
Simple connection between Harnack inequalities and concavity of arrival time functions.
problem Proving differential Harnack inequalities for various flows.
method Directly proving concavity properties of time-of-arrival functions for a class of flows using a concavity maximum principle.
result Short proof of Hamilton's and Andrews' differential Harnack inequalities.
Proves log-concavity of cluster algebra coefficients for type An.
problem Log-concavity of cluster algebra coefficients.
method Introduced atomic theta basis and proved log-concavity for type An. result Proved log-concavity of coefficients for cluster algebra variables of type An. Study improves sampling from non-log-concave distributions using Fisher information.
problem Sampling from non-log-concave distributions with high Fisher information guarantees.
method Proximal sampler with RGO implementation, leveraging log-concave sampling results.
result Improved complexity guarantee in relative Fisher information for non-log-concave sampling.
The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gauss…
Established concavity principle for curved spaces.
problem Solving equations on curved spaces with nonnegative curvature.
method Applied concavity principle to elliptic and parabolic equations on locally symmetric spaces with nonnegative curvature.
result First general concavity principle on spaces with non-constant sectional curvature.
Develops information geometry for Lévy processes in finance.
problem Understanding the statistical properties of Lévy processes for financial modeling.
method Deriving α-divergences from Lévy triplets, identifying Fisher information matrix and α-connection. result Identifies statistical implications and differential-geometric structures of Lévy processes.
Establishes log-concavity estimates for convex domains' first Dirichlet eigenfunctions.
problem Quantifying the Hessian of log-concave eigenfunctions on convex domains.
method Analyzes log-concavity properties of the first Dirichlet eigenfunction on convex domains.
result Obtains quantitative estimates for the Hessian of logu. Study of Yang-Mills fields on 4-manifolds using modified Lévy Laplacians.
problem Connection between Yang-Mills fields and modified Lévy Laplacians on 4-manifolds.
method Analysis of modified Lévy Laplacians and their relation to Yang-Mills equations under nontrivial holonomy groups.
result Existence of a modified Lévy Laplacian related to Yang-Mills self-duality equations.
New saddle network architectures preserve convex-concave geometry in optimization problems.
problem Optimization models with convex x and concave y components.
method Structured separable decomposition and saddle network architectures.
result Proven one-dimensional approximation theorem and high accuracy on various test functions.
Investigates concavity of spacetimes, showing conditions for local concavity.
problem Understanding the concavity of spacetimes in Finsler geometry.
method Analyzes flag curvature and future capsules to characterize concavity.
result Berwald spacetimes are locally concave if and only if their flag curvature is nonnegative in timelike directions.
Heat flow fails to preserve concavity in curved spaces.
problem Non-preservation of concavity properties in curved spaces.
method Analysis of Dirichlet heat flow on Riemannian manifolds.
result No concavity properties are preserved unless curvature is zero.
We define a class of L-convex-concave subsets of RPn, where L is a projective subspace of dimension l in RPn. These are sets whose sections by any (l+1)-dimensional space L' containing L are convex and concavely depend on L'. We introduce an L-duality for these sets, and prove that the L-dual to an L-…
The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy measure generally requires either to truncate small jumps or to replace them by a …
Geodesic concavity and hypersymplectic structures in G2-structures space.
problem Analyzing the geodesic concavity and hypersymplectic structures in the space of closed G2-structures. method Utilising the geodesic constructed in the previous article, we show geodesic concavity and decrease in length of G2 Laplacian flow. result Hitchin's volume functional is geodesically concave and the G2 Laplacian flow decreases the length. Gradient methods converge exponentially in concave network games.
problem Finding Nash equilibria in concave network zero-sum games.
method Gradient Ascent and Optimistic Gradient Ascent analyses.
result Exponential convergence rates in various game settings.
Efficient methods for Lévy models using SINH-regular processes.
problem Efficient numerical methods for evaluating Lévy models.
method Defining SL-processes and sSL-processes, deriving properties of characteristic exponent, and showing all popular Lévy processes can be subordinated to Brownian motion.
result All crucial properties of characteristic exponent are consequences of a specific representation, and all popular Lévy processes are SL- or sSL-subordinated Brownian motion.
Study of Lévy flights on Zoll surfaces, revealing geometric information.
problem Understanding the mean first capture time of Lévy flights on Zoll surfaces.
method Analysis of geodesic Lévy processes on Zoll surfaces, focusing on the first correction term.
result The first correction term encodes geometric information, specifically the degree of the conjugate point.
This study examines how earnings announcements affect option volatility and pricing.
problem The impact of earnings announcements on option volatility and pricing.
method Analysis of extremely short-term options data to study bimodality and concavity in IV curves.
result Investors pay a premium to hedge against extreme volatility during earnings announcements in the presence of concave IV smiles.
Study shows convergence rates for BSDEs approximated by compound Poisson processes.
problem Analyzing convergence rates of BSDEs driven by Lévy processes.
method Approximating Lévy processes by compound Poisson processes and studying BSDEs.
result Optimal convergence rates derived for BSDEs in L2-norm and Wasserstein distance. Log-concavity of eigenfunctions on curved surfaces is proven, leading to fundamental gap estimates.
problem Proving log-concavity of eigenfunctions on curved surfaces.
method Analyzing the Laplacian eigenfunctions on positively curved surfaces.
result Strong log-concavity of the first eigenfunction on positively curved surfaces.
Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dim…
Improved sampling guarantees for weakly log-concave distributions.
problem Sampling from distributions that are not strongly log-concave.
method Proximal sampler with convergence guarantees under weaker assumptions.
result New state-of-the-art sampling guarantees for various target distributions.
Motivated by the pricing of lookback options in exponential Lévy models, we study the difference between the continuous and discrete supremum of Lévy processes. In particular, we extend the results of Broadie et al. (1999) to jump-diffusion models. We also derive bounds for general exponential Lévy models.
We introduce an algorithm for the pricing of finite expiry American options driven by Lévy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm is viable for any Lévy process whose law at an independent, exponentially distrib…
We explain a general construction through which concave elliptic operators on complex manifolds give rise to concave functions on cohomology. In particular, this leads to generalized versions of the Khovanskii-Teissier inequalities.
Establishes a concavity property for positive Hessian quotient operators.
problem Analyzing positive Hessian quotient operators on Riemannian manifolds.
method Proves a special concavity property and a Jacobi inequality.
result Proves a Jacobi inequality for symmetric tensors.
Study of bandit problem with Poisson decision times and Lévy processes.
problem Continuous-time multi-armed bandit problem with Poisson decision times.
method Gittins index policy applied to spectrally one-sided Lévy processes.
result Gittins index converges to classical Lévy bandit index.
The paper constructs CR manifolds with arbitrary Levi nondegeneracy.
problem Creating CR manifolds with specific Levi nondegeneracy properties.
method Using CR algebras from su(2) representations, studying iterated Levi forms, and local model equations. result Explicit construction and analysis of homogeneous CR manifolds with arbitrary Levi nondegeneracy.
Paper calculates perpetual American put option pricing with drawdown event in Lévy market.
problem Pricing perpetual American put options with a drawdown event in a Lévy market.
method Derives explicit price using geometric Lévy process with downward jumps, optimal stopping rule, and martingale arguments.
result Optimal stopping rule is the first time asset price falls below a specific value.
In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular first passage times, overshoots, undershoots and the last maximum before the passage time. Such functionals have many applications, for inst…
Unified routing and arbitrage with concave continuation.
problem Combining routing and arbitrage in financial markets.
method Extending AMM trade functions to negative inputs via concave continuation.
result Unified approach unifies routing and arbitrage.
The study proves non-existence of concave functions on specific metric spaces.
problem Proving the non-existence of concave functions on certain metric spaces.
method Analogue theorems for Alexandrov spaces and Cα-Hölder Riemannian manifolds. result Proves non-existence of concave functions on complete manifolds with finite volume and specific metric spaces.
Analyzes Lévy flights on manifolds for finding small targets.
problem Finding small targets using Lévy flights on various manifolds.
method Analytic description of Lévy flights on closed Riemannian manifolds, including asymptotics of expected stopping time.
result Computes the expected time for finding a small target by Lévy flight on surfaces.
Log-concavity proven for multinomial likelihoods under specific constraints.
problem Log-concavity of multinomial likelihoods under interval censoring constraints.
method Proved log-concavity by showing M-convex subsets of the discrete simplex.
result Likelihood function is completely log-concave.
Optimizes liquidation strategies for assets with Levy process price dynamics.
problem Maximizing cash received from asset sale with price impact.
method Almgren-Chriss framework, constant absolute risk aversion, Levy process approximation.
result Explicit expression for optimal liquidation trajectories.
The Levy Laplacian is studied on manifolds, with heat flow solutions tending to constant functionals over time.
problem Understanding the Levy Laplacian on manifolds and its heat flow behavior.
method Various definitions of the Levy Laplacian are proven equivalent. Heat flows of differential forms are used to construct solutions.
result Solutions of the heat equation with the Levy Laplacian tend to locally constant functionals over time.
The Links-Gould polynomial of alternating knots is shown to be log-concave and positive.
problem Verifying the positivity and log-concavity of the Links-Gould polynomial for alternating knots.
method Formulated a conjecture and verified it computationally for all 51.3 million knots with up to 19 crossings.
result All but 544 knots satisfy a stronger log-concavity condition.
The paper transforms a convex hull into a concave surface around a point cloud.
problem Creating a concave surface that encloses all points in a point cloud.
method Iterative facet replacement and expansion of the convex hull.
result A method to evolve a convex hull into a concave surface that fits the point cloud.
Paper extends Lévy models with memory to better price FX double barrier options.
problem Efficiently pricing double barrier options in complex FX models.
method Introduces regime-switching Lévy models with memory and a modified numerical method.
result New models and method improve accuracy of option pricing.