Paper maps Hamiltonians and line elements in manifolds.
problem Mapping among generalized Hamiltonians and line elements.
method Constructing Calabi's Riemannian Line Elements and solving matrix Riccati equations.
result Analytical and exact solutions of mapping between manifolds.
Researchers derive an explicit Laplace transform for integrated Volterra Wishart process.
problem Modeling and pricing financial instruments with complex covariance structures.
method Explicit expression for conditional Laplace transform of integrated Volterra Wishart process, linking to matrix Riccati equations.
result Derivation of Laplace transform for a special case of convolution kernel, leading to efficient pricing methods.
It is proved that the members of the Riccati hierarchy, the so-called Riccati chain equations, can be considered as particular cases of projective Riccati equations, which greatly simplifies the study of the Riccati hierarchy. This also allows us to characterize Riccati chain equations geometrically in terms of the pro…
This paper optimizes portfolio selection for multivariate affine and quadratic Volterra models with rough volatilities.
problem Optimizing portfolio selection for multivariate models with rough volatilities and stochastic correlations.
method Investigates continuous-time Markowitz mean-variance problem for multivariate affine and quadratic Volterra models using Riccati backward stochastic differential equations (BSDEs).
result Derives explicit solutions for BSDEs in affine Volterra models and new analytic formulae for quadratic models.
Study solves DREs for trading strategies using signals and past prices.
problem Solving DREs for optimal trading strategies.
method Analyzes DREs with indefinite matrix coefficients and applies to trading problems.
result Derives optimal trading strategies using signals and past prices.
Paper derives Riccati equation for static spaces and proves its applications.
problem Deriving Riccati equation for static spaces.
method Proving splitting theorem and connectivity of conformal boundary.
result Establishes compactness of universal covering for static triples.
Model liquidity premia using a risk-sharing economy with quadratic costs.
problem Understanding the cross-section of liquidity premia earned by assets with different trading costs.
method Developed a risk-sharing economy model with quadratic transaction costs, leading to matrix-valued Riccati equations for equilibrium.
result Calibrated model to time series data, revealing liquidity premia across assets with varying trading costs.
The paper defines and studies the geometric mean for tensors and its associated Riemannian geometry.
problem Defining and studying the geometric mean for tensors.
method Generalized geometric mean for tensors using T-product, verified properties, and investigated Riemannian manifold.
result Geometric mean of T-positive definite tensors is a unique solution of algebraic Riccati tensor equations and a midpoint of geodesics.
Study of J-Hermitian matrices and geometric mean definition.
problem Understanding the cone of J-Hermitian matrices and its geometric mean.
method Analysis of the cone structure, Riemannian structure, and definition of J-geometric mean.
result Uniquely characterized J-geometric mean defined as a solution to a Riccati-type equation.
Study solves HJB equations for time-inconsistent control problems.
problem Time-inconsistent deterministic linear quadratic control problems.
method Characterized solutions using Riccati equations with integral terms, proving uniqueness.
result Uniqueness of solutions to equilibrium HJB equations proved.
We study algebraic solutions of the Riccati equation over the field of rational functions C(t), and over the elliptic function field C(℘,℘′).
New techniques solve Riccati equations on 3D manifolds, finding 4th order metric obstructions.
problem Solving Riccati-type equations with algebraic constraints on 3D Riemannian manifolds.
method Real algebraic geometry techniques, focusing on connection coefficients and Hessian equations.
result Obstruction to solving Riccati equations has order 4 in metric coefficients.
We determine the homogeneous Kähler diffeomorphism FC which expresses the Kähler two-form on the Siegel-Jacobi ball $\mc{D}^J_n=\C^n\times \mc{D}_n$ as the sum of the Kähler two-form on $\C^n$ and the one on the Siegel ball $\mc{D}_n$. The classical motion and quantum evolution on $\mc{D}^J_n$ determined by a hermiti…
New theory extends LQ control to non-exponential discount scenarios.
problem Time-inconsistent deterministic LQ control problems.
method Extended equivalent relationship to non-exponential discount functions, studied Riccati equation solvability.
result Existence and uniqueness of linear equilibrium for time-inconsistent LQ problem.
Study on SGD dynamics and scaling laws for training quadratic neural networks in high dimensions.
problem Optimizing and understanding the training dynamics of quadratic neural networks in high-dimensional settings.
method Sharp analysis of SGD dynamics, combining matrix Riccati differential equations and matrix monotonicity arguments.
result Derivation of scaling laws for prediction risk, highlighting power-law dependencies on optimization time, sample size, and model width.
Representations of coherent state Lie algebras on coherent state manifolds as first order differential operators are presented. The explicit expressions of the differential action of the generators of semisimple Lie groups determine for linear Hamiltonians in the generators of the groups first order differential equati…
In this paper we develop some group theoretical methods which are shown to be very useful for a better understanding of the properties of the Riccati equation and we discuss some of its integrability conditions from a group theoretical perspective. The nonlinear superposition principle also arises in a simple way.
Investigates mean-variance portfolio selection in non-Markovian markets.
problem Continuous-time Markowitz mean-variance portfolio selection in fake stationary affine Volterra models.
method Stochastic factor solution to a Riccati BSDE, deriving explicit solutions as multi-dimensional Riccati-Volterra equations.
result Analytical closed-form expressions for optimal portfolio policies and mean-variance efficient frontier.
Study optimizes portfolio liquidation strategies with complex market impacts.
problem Optimizing portfolio liquidation with transient market impacts and self-exciting order flow.
method Mean-field control problem with semimartingale strategies, passing to continuous-time limit, and solving Riccati equations.
result Existence of optimal strategy with jumps only at start and end of trading period.
A new tontine design aims to protect longevity risk with non-indexed investments.
problem Pooling longevity risk with traditional methods.
method Non-indexed investments with negatively correlated returns to mortality.
result Mathematical proof of recovery schedule using a Riccati equation.
This paper refines the Gaussian Sinkhorn algorithm for general multivariate models.
problem Finite-dimensional solutions for general Gaussian multivariate models.
method Recursive formulation of the Sinkhorn algorithm for Gaussian models, including closed form expressions of entropic transport maps and Schrödinger bridges.
result Refined convergence analysis of Gaussian Sinkhorn algorithms.
We propose two methods to obtain exact solutions for the Almgren-Chriss model about optimal execution of portfolio transactions. In the first method we rewrite the Almgren-Chriss equation and find two exact solutions. In the second method, employing a general reparametrized time, we show that the Almgren-Chriss equatio…
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Br…
The paper studies Fourier-Laplace transforms in polynomial OU volatility models for option pricing.
problem Calibrating and pricing options in polynomial Ornstein-Uhlenbeck volatility models.
method Analyzes Fourier-Laplace transforms, connects to Riccati equations, and develops numerical schemes.
result Establishes existence and solution for Riccati equations and provides efficient numerical methods.
Investigates optimal investment strategies in financial markets with jumps.
problem Optimal portfolio selection for investors in multi-asset financial markets with jumps.
method Uses martingale optimality principle and Riccati backward stochastic differential equations with jumps.
result Derives semi-closed form optimal strategies and value function for Merton's problem.
Researchers developed volume comparison theorems in Finsler spacetimes.
problem Volume comparison in Finsler spacetimes with specific curvature conditions.
method Riccati equation techniques applied to (1+n)-dimensional Lorentz--Finsler manifolds. result Established volume comparison theorems for standard sets in Lorentzian volumes (SCLVs).
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial literature thanks to their ability to reproduce a rough volatility beha…
The paper addresses optimal execution for multi-asset portfolios using Ornstein-Uhlenbeck dynamics.
problem Optimal execution for multi-asset portfolios with Ornstein-Uhlenbeck dynamics.
method Stochastic optimal control and simplification of Hamilton-Jacobi-Bellman equation to ODEs.
result Existence and uniqueness of solution to the execution problem using extit{a priori} estimates.
Paper solves Merton's portfolio problem in a non-Markovian, non-semimartingale model.
problem Merton's portfolio optimization in a fake stationary Volterra-Heston model.
method Stochastic factor solution to a Riccati BSDE, combined with martingale optimality principle.
result Derives semi-closed form optimal strategies and value function.
This paper investigates optimal trading strategies in a financial market with multidimensional stock returns where the drift is an unobservable multivariate Ornstein-Uhlenbeck process. Information about the drift is obtained by observing stock returns and expert opinions. The latter provide unbiased estimates on the cu…
We show that the Hawking--Penrose singularity theorem, and the generalisation of this theorem due to Galloway and Senovilla, continue to hold for Lorentzian metrics that are of C1,1-regularity. We formulate appropriate weak versions of the strong energy condition and genericity condition for C1,1-metrics, an…
Expanding the rough Heston model in H
problem Analyzing the dependence of the fractional Riccati equation on the Hurst parameter H method Deriving a Taylor expansion of the Riccati solution in H result Local uniform convergence and analyticity of the fractional Riccati solution
We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to simila…
These notes on Riemannian geometry use the bases bundle and frame bundle, as in Geometry of Manifolds, to express the geometric structures. It has more problems and omits the background material. It starts with the definition of Riemannian and semi-Riemannian structures on manifolds. Affine connections, geodesics, tors…
A new model minimizes investment risk at multiple time points.
problem Minimizing risk in investment portfolios with multiple stopping points.
method Developed a multi-time state mean-variance model using Riccati equations.
result Optimal investment strategies can be derived from a sequence of Riccati equations.
While the Matrix Generalized Inverse Gaussian (MGIG) distribution arises naturally in some settings as a distribution over symmetric positive semi-definite matrices, certain key properties of the distribution and effective ways of sampling from the distribution have not been carefully studied. In this paper…
We propose maximum likelihood estimation for learning Gaussian graphical models with a Gaussian (ell_2^2) prior on the parameters. This is in contrast to the commonly used Laplace (ell_1) prior for encouraging sparseness. We show that our optimization problem leads to a Riccati matrix equation, which has a closed form …
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant generating function, which can be obtained as solution of a convolution Riccati equat…
Methods from learning theory are used in the state space of linear dynamical and control systems in order to estimate the system matrices. An application to stabilization via algebraic Riccati equations is included. The approach is illustrated via a series of numerical examples.
This paper introduces a complex representation for spacelike surfaces in the Lorentz-Minkowski space L4, based in two complex valued functions which can be assumed to be holomorphic or anti-holomorphic. When the immersion is contained in quadrics of L4, the representation then allows us to obtain interesting part…
In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility maximization. We solve the problem by means of a solution to a fully nonlinear evolutionary Hamilton-Jacobi-Bellman (HJB) equation. We propose the so-called Riccati met…
Proposes variational Gaussian approximations for solving the Kushner equation.
problem Solving the Kushner equation for state estimation with observations.
method Tractable variational Gaussian approximations of proximal losses based on Wasserstein and Fisher metrics.
result The proposed method leads to a Gaussian flow consistent with Kalman-Bucy and Riccati flows.
Abstract: Study Hamiltonian systems on almost cosymplectic manifolds, extending contact Hamiltonian systems.
problem Extend Hamiltonian systems to almost cosymplectic manifolds.
method Determine Hamiltonian vector field on odd-dimensional almost cosymplectic manifolds.
result Extend equations of motion to generalized transitive almost cosymplectic structures.
The paper solves a complex financial optimization problem using a novel mathematical technique.
problem Optimizing portfolio selection in financial markets.
method Maximal monotone operator method and Riccati transformation.
result Existence and uniqueness of a solution to the transformed parabolic equation in a Sobolev space.
Study bond market making with hit-ratio target using optimal control and HJB equations.
problem Optimizing bond market making with hit-ratio target in OTC markets.
method Stochastic optimal control approach, dualizing hit-ratio target, HJB equation, Riccati equation, linearization.
result Explicit quote decompositions into riskless spread, inventory-risk correction, and hit-ratio correction.
Optimizes control of noisy discrete systems without system matrix knowledge.
problem Optimal control of discrete-time systems with additive and multiplicative noises.
method Stochastic Lyapunov and Riccati equations, model-free reinforcement learning.
result Model-free reinforcement learning algorithm converges to optimal control policy.
Extend classical theory of affine processes to path-dependent setting
problem Path-dependent affine processes
method Introduce path-dependent coefficients and provide analytic formulas for their Fourier--Laplace transform
result Define path-dependent affine processes through their exponential-affine Fourier--Laplace transform and establish a characterization theorem
Affine connections linked to Riccati distributions on compact surfaces.
problem Understanding affine structures on complex compact surfaces.
method Established a correspondence between affine connections and Riccati distributions.
result One-to-one correspondence between affine structures and Riccati foliations on compact surfaces.