arXiv research

Study on null-projectability of Levi-Civita connections in neutral metrics.

Extends foliation results to singular cases.

Let $X$ be a connected complex manifold of dimension $\geq 3$ and $M$ a smooth compact Levi-flat real hypersurface in $X$. We show that the normal bundle to the Levi foliation does not admit a Hermitian metric with positive curvature along the leaves. This generalizes a result obtained by Brunella.

We discuss the geometry of warped foliations. After examining the Levi-Civita connection, we describe the formulae for sectional, Ricci and scalar curvatures. In the final part of this note, we present some examples.

We use adiabatic limits to study foliated manifolds. The Bott connection naturally shows up as the adiabatic limit of Levi-Civita connections. As an application, we then construct certain natural elliptic operators associated to the foliation and present a direct geometric proof of a vanshing theorem of Connes[Co], whi…

Develops new approach to recover CR structures from their Levi foliations.

We study curvature restrictions of Levi-flat real hypersurfaces in complex projective planes, whose existence is in question. We focus on its totally real Ricci curvature, the Ricci curvature of the real hypersurface in the direction of the Reeb vector field, and show that it cannot be greater than -4 along a Levi-flat…

Study of degenerate contrast functions on Lie groupoids and their geometric structures.

A Lipschitz hypersurface is a hypersurface which locally is the graph of a Lipschitz function. A Lipschitz (or C^1) hypersurface is said to be Levi-flat if it is locally foliated by complex manifolds of complex dimension (n-1). We shall prove that there exist no Lipschitz Levi-flat hypersurfaces in CP^n with n >= 3. Ou…

Proof shows cones minimize certain geometric functionals.

Egorov's theorem for transversally elliptic operators, acting on sections of a vector bundle over a compact foliated manifold, is proved. This theorem relates the quantum evolution of transverse pseudodifferential operators determined by a first order transversally elliptic operator with the (classical) evolution of it…

We study Riemannian foliations whose transverse Levi-Civita connection $\nabla$ has special holonomy. In particular, we focus on the case where $Hol(\nabla)$ is contained either in SU(n) or in Sp(n). We prove a Weitzenbock formula involving complex basic forms on Kähler foliations and we apply this formula for pointing…

Study reveals finite-size effects and sensitivity to random numbers in Levy-Levy-Solomon model.

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…

A primary goal in this paper is to study the question that asks when a real analytic submanifold $M$ in ${\mathbb{C}}^{n+1}$ bounds a real analytic (up to $M$) Levi-flat hypersurface $\hat{M}$ near $p\in M$ such that $\hat{M}$ is foliated by a family of complex hypersurfaces moving along the normal direction of $M$ at …

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…

Develops information geometry for Lévy processes in finance.

Study of Yang-Mills fields on 4-manifolds using modified Lévy Laplacians.

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 …

Efficient methods for Lévy models using SINH-regular processes.

Study of Lévy flights on Zoll surfaces, revealing geometric information.

Study shows convergence rates for BSDEs approximated by compound Poisson processes.

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…

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…

Study of bandit problem with Poisson decision times and Lévy processes.

The paper constructs CR manifolds with arbitrary Levi nondegeneracy.

Paper calculates perpetual American put option pricing with drawdown event in Lévy market.

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…

Analyzes Lévy flights on manifolds for finding small targets.

Optimizes liquidation strategies for assets with Levy process price dynamics.

The Levy Laplacian is studied on manifolds, with heat flow solutions tending to constant functionals over time.

Paper extends Lévy models with memory to better price FX double barrier options.

Sequences of Levy transformations for the Darboux system of conjugates nets in multidimensions are studied. We show that after a suitable number of Levy transformations, with at least a Levy transformation in each direction, we get closed formulae in terms of multi-Wroński determinants. These formulae are for the tange…

We construct a complete convergent normal form for a real hypersurface in $\CC{N},\,N\geq 2$ at generic Levi degeneracy. This seems to be the first convergent normal form for a Levi-degenerate hypersurface. In particular, we obtain, in the spirit of the work of Chern and Moser \cite{chern}, distinguished curves in the …

This brief manuscript provides an introduction to Lévy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular Lévy processes are presented in R.

Method extends option valuation for 2D Lévy models.

Bayesian inference for Levy density with Gibbs posterior in discrete sampling.

This is a continuation of our previous paper [14]. In [14], we introduced the first Aeppli-Chern class on compact complex manifolds, and proved that the $(1,1)$ curvature form of the Levi-Civita connection represents the first Aeppli-Chern class which is a natural link between Riemannian geometry and complex geometry. …

In this paper, we study the geometry of compact complex manifolds with Levi-Civita Ricci-flat metrics and prove that compact complex surfaces admitting Levi-Civita Ricci-flat metrics are Kahler Calabi-Yau surfaces or Hopf surfaces.

The paper constructs Levi flat structures using structure sheaves and differential complexes.

Universal approximation for rough paths and Lévy processes.

Calibrating a Lévy process usually requires characterizing its jump distribution. Traditionally this problem can be solved with nonparametric estimation using the empirical characteristic functions (ECF), assuming certain regularity, and results to date are mostly in 1D. For multivariate Lévy processes and less smooth …

This paper considers magnitude, asymptotics and duration of drawdowns for some Lévy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative Lévy processes using an approximation approach. For any spectrally negative Lévy process whose scale functions are well-behaved at …

Study CR manifolds focusing on Levi and contact-nondegeneracy.

The paper explores unique properties of Kähler manifolds without shared CR-submanifolds.

Deep neural networks approximate option prices in high-dimensional Lévy models efficiently.

The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian Lévy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian Lévy noise may have infinite variance. A modified Kalman filter for linear systems wi…