arXiv research

Separates estimation and control in risk-sensitive investment problems with partial observation.

A deep learning method solves nonlinear filtering problems efficiently.

Extends nonlinear filtering to predictable jump times.

Neural networks solve SPDEs using Wiener chaos expansion.

Deep learning approximates SPDE solutions from noise trajectories.

Consider the problem of learning the drift coefficient of a stochastic differential equation from a sample path. In this paper, we assume that the drift is parametrized by a high dimensional vector. We address the question of how long the system needs to be observed in order to learn this vector of parameters. We prove…

Unified approach solves Kyle model with dynamic information.

The paper studies the modified J-equation on Kähler manifolds.

New method reveals insights about stochastic optimization methods using modified equations.

We construct finite-gap solutions to the modified Novikov-Veselov equations, describe their spectral properties and the reduction to the modified Korteweg--de Vries equation and explain its relation to soliton deformations of tori and the Willmore conjecture.

We construct explicit solutions to continuous motion of discrete plane curves described by a semi-discrete potential modified KdV equation. Explicit formulas in terms the $τ$ function are presented. Bäcklund transformations of the discrete curves are also discussed. We finally consider the continuous limit of discrete …

Using Maple, we compute some analytical solutions of a modified Black-Scholes equation, recently proposed, in the case of the European put option. We show that the modified Black-Scholes equation with the European put option is exactly solvable in terms of associated Laguerre polynomials. We make some numerical experim…

We apply Cartan's method of equivalence to find a covering for the modified Khokhlov - Zabolotskaya equation.

We find contact integrable extensions and coverings for the r-th double modified dispersionless Kadomtsev--Petviashvili equation.

Graphs prove curvature condition with modified heat equation.

Global deformations of surfaces, immersed into the Euclidean 3-space, by using the modified Novikov--Veselov equation are investigated. relation to the theory of the Willmore functional is discussed

Global and local estimates for a curvature equation on manifolds with boundary.

Using Maple, we compute a new exact series solution of a modified Black-Scholes equation, recently proposed, for the case of the Aunt Michaela option with a maturity condition of gamma type. We show that the modified Black-Scholes equation with the Aunt Michaela option is exactly solvable in terms of associated Laguerr…

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

We present an explicit example of a fast decaying solution to the modified Novikov--Veselov equation with a one-point singularity in the space-time. It is constructed by using the geometrical interpretation of the Moutard transformation of solutions to this equation and the Enneper minimal surface.

The paper studies dimensions of attractors for modified Leray-alpha equation on various surfaces.

Enhances understanding of Kähler-Ricci flow singularities.

In this paper, multi-component generalizations to the Camassa-Holm equation, the modified Camassa-Holm equation with cubic nonlinearity are introduced. Geometric formulations to the dual version of the Schrödinger equation, the complex Camassa-Holm equation and the multi-component modified Camassa-Holm equation are pro…

Paper introduces a modified Allen-Cahn equation for better energy equipartition.

Sharp eigenvalue bounds and splitting for modified Ricci flow.

We develop the method of stochastic modified equations (SME), in which stochastic gradient algorithms are approximated in the weak sense by continuous-time stochastic differential equations. We exploit the continuous formulation together with optimal control theory to derive novel adaptive hyper-parameter adjustment po…

In this paper, we propose a method of studying the modified Kahler-Ricci flow on projective bundles and give the explicit equation from the view point of symplectic geometry.

Euler derived elastica equation using modern mathematical concepts.

In this paper, we illustrated one scenario to modify the Ivanenko-Landau-Kähler equation. Since Ivanenko and Landau introduced the equation in 1928, the equation has been regarded as having a certain role as a fermion in particular in the discrete Lattice. Also, although it correctly is formulated as an alternative cla…

A construction of blowing up solutions to the modified Novikov-Veselov equation is proposed. It is based on the Moutard transformation of two-dimensional Dirac operators and its geometrical interpretation via surface geometry. An explicit example of such a solution constructed by using the Enneper minimal surface is di…

Study of closed real plane curves with hyperelliptic genus three solutions.

Solutions near infinity to special Lagrangian equations are asymptotic to quadratic polynomials with logarithmic terms.

Miura-type transformations (MTs) are an essential tool in the theory of integrable nonlinear partial differential and difference equations. We present a geometric method to construct MTs for differential-difference (lattice) equations from Darboux-Lax representations (DLRs) of such equations. The method is applicable t…

Study a modified Laplacian equation in spacetime.

Method learns dynamics from noisy partial observations.

In this paper, we prove the existence of solutions to the Fu-Yau equation on compact Kähler manifolds. As an application, we give a class of non-trivial solutions of the modified Strominger system.

We apply the technique of integrable extensions to the symmetry pseudo-group of the r-th mdKP equation. This gives another look on deriving known coverings and allows us to find new coverings for this equation.

Modified Gibbs-Helmholtz equation geometric models for thermodynamics.

New dynamics for SGD in small learning rate regime.

Our main aim is to present a geometrically meaningful formula for the fundamental solutions to a second order sub-elliptic differential equation and to the heat equation associated with a sub-elliptic operator in the sub-Riemannian geometry on the unit sphere $\mathbb S^3$. Our method is based on the Hamiltonian approa…

We propose a stochastic modified equations (SME) for modeling the asynchronous stochastic gradient descent (ASGD) algorithms. The resulting SME of Langevin type extracts more information about the ASGD dynamics and elucidates the relationship between different types of stochastic gradient algorithms. We show the conver…

We develop the mathematical foundations of the stochastic modified equations (SME) framework for analyzing the dynamics of stochastic gradient algorithms, where the latter is approximated by a class of stochastic differential equations with small noise parameters. We prove that this approximation can be understood math…

Fine-grained analysis of gradient descent with momentum provides modified loss equations.

Modified perturbation method removes non-smoothness in solving Black-Scholes equations.

In this paper, we prove a far-from-CMC result similar to the ones obtained by Holst, Nagy, Tsogtgerel and Maxwell for the conformal Einstein-scalar field constraint equations on compact Riemannian manifolds with positive (modified) Yamabe invariant.

We introduce two basic invariant forms which define generic surface in 3-space uniquely up to Lie sphere equivalence. Two particularly interesting classes of surfaces associated with these invariants are considered, namely, the Lie-minimal surfaces and the diagonally-cyclidic surfaces. For diagonally-cyclidic surfaces …

We study the affine quasi-Einstein Equation for homogeneous surfaces. This gives rise through the modified Riemannian extension to new half conformally flat generalized quasi-Einstein neutral signature $(2,2)$ manifolds, to conformally Einstein manifolds and also to new Einstein manifolds through a warped product const…

In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition rate, to meet the existence of classical solution of the modified price equation, t…