arXiv research

Investigates Meyer risk measures and their applications in finance.

Graph neural networks improve systemic risk measures for financial networks.

New systemic risk models for banks choosing their group memberships.

Develops Marsden-Meyer-Weinstein reduction for $k$-contact field theories.

In this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z; u), started in our accompanying paper [15]. Relying on the existence and uniqueness result of [15], we define the corresponding g-expectations and study some of the…

In stochastic control problems delicate issues arise when the controlled system can jump due to both exogenous shocks and endogenous controls. Here one has to specify what the controller knows when about the exogenous shocks and how and when she can act on this information. We propose to use Meyer-$σ$-fields as a flexi…

We give a survey on Meyer functions, with emphasis on their application to the signatures of fibered 4-manifolds.

A new insurance and reinsurance pricing scheme based on realized loss.

The Gromoll-Meyer sphere is constructed and studied in a homogeneous space.

For each d>=2, the mapping class group for plane curves of degree d will be defined and it is proved that there exists uniquely the Meyer function on this group. In the case of d=4, using our Meyer function, we can define the local signature for 4-dimensional fiber spaces whose general fibers are non-hyperelliptic comp…

We provide a general Doob-Meyer decomposition for $g$-supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Meyer decomposition of Mertens (1972) for classical supermartingales, as well as Peng's (1999) version for right-continuous $g$-supermartingale…

Following the lines of the celebrated Riemannian result of Gromoll and Meyer, we use infinite dimensional equivariant Morse theory to establish the existence of infinitely many geometrically distinct closed geodesics in a class of globally hyperbolic stationary Lorentzian manifolds.

Here we generalize the Gromoll-Meyer construction of an exotic 7-sphere by producing geometric models of exotic 8, 10 and Kervaire spheres as quotients of sphere bundles over spheres by free isometric actions. We give a geometric application at the end.

We construct a new infinite family of models of exotic 7-spheres. These models are direct generalizations of the Gromoll-Meyer sphere. From their symmetries, geodesics and submanifolds half of them are closer to the standard 7-sphere than any other known model for an exotic 7-sphere.

We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in some standard market filtrations, default times are totally inaccessible stoppi…

Quotients of torus endomorphisms have parabolic orbifolds.

We study transverse conformal Killing forms on foliations and prove a Gallot-Meyer theorem for foliations. Moreover, we show that on a foliation with $C$-positive normal curvature, if there is a closed basic 1-form $φ$ such that $Δ_Bφ=qCφ$, then the foliation is transversally isometric to the quotient of a $q$-sphere.

Gromoll and Meyer have represented a certain exotic 7-sphere $Σ^7$ as a biquotient of the Lie group $G = Sp(2)$. We show for a 2-parameter family of left invariant metrics on $G$ that the induced metric on $Σ^7$ has strictly positive sectional curvature at all points outside four subvarieties of codimension $\geq 1$ wh…

In this paper, we study a type of reflected BSDE with a constraint and introduce a new kind of nonlinear expectation via BSDE with a constraint and prove the Doob-Meyer decomposition with respect to the super(sub)martingale introduced by this nonlinear expectation. We then apply the results to the pricing of American o…

We give an explicit formula for the signature of handlebody bundles over the circle in terms of the homological monodromy. This gives a cobounding function of Meyer's signature cocycle on the mapping class group of a $3$-dimensional handlebody, i.e., the handlebody group. As an application, we give a topological interp…

We studied isometric stochastic flows of a Stratonovich stochastic differential equation on spheres, i.e. on the standard sphere and Gromoll-Meyer exotic sphere. The standard sphere $S^7_s$ can be constructed as the quotient manifold $\mathrm{Sp}(2, \mathbb{H})/S^3$ with the so-called ${\bullet}$-action of $S^3$, where…

The target of this paper is to establish the bid-ask pricing frame work for the American contingent claims against risky assets with G-asset price systems (see \cite{Chen2013b}) on the financial market under Knight uncertainty. First, we prove G-Dooby-Meyer decomposition for G-supermartingale. Furthermore, we consider …

Two reduction schemes for symplectic manifolds are shown equivalent.

We study a secondary invariant, called the Meyer function, on the fundamental group of the complement of the dual variety of a smooth projective variety. This invariant have played an important role when studying the local signatures of fibered 4-manifolds from topological point of view. As an application of our study,…

Study geodesics on nested non-holonomic systems.

Study utility maximization with costs, proving convergence and strategies.

Paper derives a formula for the determinant of Dirichlet-to-Neumann operator on Riemann surfaces.

We prove a vanishing and estimation theorem for the $p^{\text{th}}$-Betti number of closed $n$-dimensional Riemannian manifolds with a lower bound on the average of the lowest $n-p$ eigenvalues of the curvature operator. This generalizes results due to D. Meyer, Gallot-Meyer, and Gallot. For example, in dimensions $n=5…

We show that there is a metric on the Gromoll-Meyer sphere with positive sectional curvature.

The first part of the paper is to improve the fundamental theory of isoparametric functions on general Riemannian manifolds. Next we focus our attention on exotic spheres, especially on "exotic" 4-spheres (if exist) and the Gromoll-Meyer sphere. In particular, as one of main results we prove: there exists no properly t…

Werner Meyer constructed a cocycle in $H^2(Sp(2g, \mathbb{Z}); \mathbb{Z})$ which computes the signature of a closed oriented surface bundle over a surface, with fibre a surface of genus g. By studying properties of this cocycle, he also showed that the signature of such a surface bundle is a multiple of 4. In this pap…

We describe a few abstract principles that are used in the deformation of the Gromoll-Meyer metric to positive curvature.

Golden age of mathematical finance in the late 20th century.

Extending Itô's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-Itô, applies to one dimensional semimartingales and convex functions. There are also satisfactory generalizations of Itô's formula for diffusion processes whe…

We construct a co-dimension $3$ completely non-holonomic sub-bundle on the Gromoll-Meyer exotic $7$ sphere based on its realization as a base space of a Sp(2)-principal bundle with the structure group Sp(1). The same method is valid for constructing a co-dimension 3 completely non-holonomic sub-bundle on the standard 7…

We recognize the Gromoll-Meyer sphere Sigma^7 as the geodesic join of a simple closed geodesic and a minimal subsphere Sigma^5, which can be equivariantly identified with the Brieskorn sphere W^5_3. As applications we in particular determine the full isometry group of Sigma^7, classify all closed subgroups that act fre…

LLMs optimize quantum circuits by iteratively improving proposals with feedback and memory traces.

In this paper, using functional Steiner symmetrizations, we show that Meyer and Pajor's proof of the Blaschke-Santalo inequality can be extended to the functional setting.

P. Berard and D. Meyer proved a Faber-Krahn inequality for domains in compact manifolds with positive Ricci curvature. We prove stability results for this inequality.

We propose a new definition for tameness within the model of security prices as Itô processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the second fundamental theorem of asset pricing, and a theorem for valuation of contin…

we introduce a generalization of the $p$-Laplace operator to act on differential forms and generalize an estimate of Gallot-Meyer for the first nonzero eigenvalue on closed Riemannian manifolds.

New extensions for homogeneous distributions on deformations to the normal cone.

We classify all biquotients whose rational cohomology rings are generated by one element. As a consequence we show that the Gromoll-Meyer 7-sphere is the only exotic sphere which can be written as a biquotient.

We introduce the notion of a Hamiltonian action of an étale Lie group stack on an étale symplectic stack and establish versions of the Kirwan convexity theorem, the Meyer-Marsden-Weinstein symplectic reduction theorem, and the Duistermaat-Heckman theorem in this context.

New set-valued star-shaped risk measures introduced for better risk assessment.

The study examines how market completeness is lost when filtering down the information set.

In this paper, we discuss relations among several invariants of 3-manifolds including Meyer's function, the eta-invariant, the von Neumann rho-invariant and the Casson invariant from the viewpoint of the mapping class group of a surface.

Paper characterizes star-shaped risk measures and their properties.