arXiv research

The paper is accompanying "A general Duality Theorem for the Monge-Kantorovich Transport Problem". We explain the methods used in this article in an elementary setting and present two examples complementing the results obtained therein.

Unified approach solves Kyle model with dynamic information.

Proves uniqueness of barycenters on manifolds without restrictions.

In this paper we investigate model-independent bounds for exotic options written on a risky asset. Based on arguments from the theory of Monge-Kantorovich mass-transport we establish a dual version of the problem that has a natural financial interpretation in terms of semi-static hedging. In particular we prove that th…

Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static position in vanilla options which can be exercised at maturity. Both the stock …

Modeling informed trading with risk-averse market makers.

In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet possibly less liquid, exotic options, and a dynamic trading strategy in risky assets …

New method calculates cut locus on Riemannian manifolds using optimal transport.

By investigating model-independent bounds for exotic options in financial mathematics, a martingale version of the Monge-Kantorovich mass transport problem was introduced in \cite{BeiglbockHenry LaborderePenkner,GalichonHenry-LabordereTouzi}. In this paper, we extend the one-dimensional Brenier's theorem to the present…

New optimal transport divergences derived from scoring functions.

Generative sampler learns velocity fields for efficient posterior inference.

New algorithm for estimating multivariate quantiles using stochastic optimal transport.

Some optimization or equilibrium problems involving somehow the concept of optimal transport are presented in these notes, mainly devoted to applications to economic and game theory settings. A variant model of transport, taking into account traffic congestion effects is the first topic, and it shows various links with…

Monge-Kantorovich distances, otherwise known as Wasserstein distances, have received a growing attention in statistics and machine learning as a powerful discrepancy measure for probability distributions. In this paper, we focus on forecasting a Gaussian process indexed by probability distributions. For this, we provid…

In this series of lectures we introduce the Monge-Kantorovich problem of optimally transporting one distribution of mass onto another, where optimality is measured against a cost function c(x,y). Connections to geometry, inequalities, and partial differential equations will be discussed, focusing in particular on recen…

This is a review of explicit computations of Connes distance in noncommutative geometry, covering finite dimensional spectral triples, almost-commutative geometries, and spectral triples on the algebra of compact operators. Several applications to physics are covered, like the metric interpretation of the Higgs field, …

Two probability distributions $μ$ and $ν$ in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investigate two couplings which arise as optimizers for constrained Monge-Kantorovich optimal transport problems where only supermartingales are al…

The paper studies convergence rates of Tsallis entropic regularization in optimal transport.

Proves Poincaré duality for Hopf algebroids with bijective antipode.

New proof of chain duality for simplicial complexes.

Introduces Kähler duality between domains in complex space.

Research on dualities in geometric stereotypes.

Duality restored in gauge theory, gravity, and string theory models.

Unified proof of four Bavard dualities and new results on quasimorphisms.

Verma Howe duality connects tensor products of Verma modules to LKB representations.

Cohomological and homological spectral sequences are shown to be isomorphic.

We prove that, if $Ω\subset \mathbb{R}^n$ is an open bounded starshaped domain of class $C^2$, the constancy over $\partial Ω$ of the function $\varphi(y) = \int_0^{λ(y)} \prod_{j=1}^{n-1}[1-t κ_j(y)]\, dt$ implies that $Ω$ is a ball. Here $k_j(y)$ and $λ(y)$ denote respectively the principal curvatures and the cut v…

The paper proves T-duality and Hori formulae for winding loop spaces.

Equivariant T-duality connects bundles with twists.

We give the definition of a duality that is applicable to arbitrary $k$-forms. The operator that defines the duality depends on a fixed form $Ω$. Our definition extends in a very natural way the Hodge duality of $n$-forms in $2n$ dimensional spaces and the generalized duality of two-forms. We discuss the properties of …

The paper establishes T-duality for 2D σ-models with H-flux.

QP perspective on Poisson-Lie T-duality topology changes.

Unified framework for T-duality in both trivial and non-trivial topologies.

Geometric duality connects graph isomorphism and knot equivalence.

Koszul duality for manifold modules proven.

This dissertation explores T-duality between hyperkähler structures and branes on algebraic integrable systems.

Maps self-duality in little disks operad to framed manifolds.

We study generalized complex structures and $T$-duality (in the sense of Bouwknegt, Evslin, Hannabuss and Mathai) on Lie algebras and construct the corresponding Cavalcanti and Gualtieri map. Such a construction is called "Infinitesimal $T$-duality". As an application we deal with the problem of finding symplectic stru…

New spherical T-duality for higher degree forms in fiber bundles.

The paper establishes a duality between non-compact and compact symmetric pairs.

We find the T-duality transformation rules for 2-dimensional (2,1) supersymmetric sigma-models in (2,1) superspace. Our results clarify certain aspects of the (2,1) sigma model geometry relevant to the discussion of T-duality. The complexified duality transformations we find are equivalent to the usual Buscher duality …

We study discrete group actions on coarse Poincare duality spaces, e.g. acyclic simplicial complexes which admit free cocompact group actions by Poincare duality groups. When G is an (n-1) dimensional duality group and X is a coarse Poincare duality space of formal dimension n, then a free simplicial action of G on X d…

The paper shows plentiful non-homotopy finite Poincaré duality spaces.

Study S-duality and supersymmetry on curved manifolds using localization.

We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a wide class of utility functions on the whole real line and unbounded random endo…

In this paper, we show that if G is a finite p-group (p prime) acting by automorphisms on a $δ$-hyperbolic Poincare Duality group, then the fixed subgroup is a Poincare Duality group over Z/p. We also provide examples to show that the fixed subgroup might not even be a Duality group over Z.

Unified treatment of reinforcement learning via convex duality.

Dualities in physics help in machine learning tasks.