arXiv research

Study optimal stopping for American call options with random time-horizon in Lévy models.

Suppose M is a noncompact connected oriented C^infty n-manifold and omega is a positive volume form on M. Let D^+(M) denote the group of orientation preserving diffeomorphisms of M endowed with the compact-open C^infty topology and D(M; omega) denote the subgroup of omega-preserving diffeomorphisms of M. In this paper …

Omega ratio is shown to be equivalent to Sharpe ratio under certain distributional assumptions.

We consider a vector space V over K=R or C, equipped with a skew symmetric bracket [.,.]: V x V --> V and a 2-form omega:V x V --> K. A simple change of the Jacobi identity to the form [A,[B,C]]+[C,[A,B]]+[B,[C,A]]=omega(B,C)A+omega(A,B)C+omega(C,A)B opens new possibilities, which shed new light on the Bianchi classifi…

We prove that an arbitrary Poisson structure omega^{ij}(u) and an arbitrary closed 3-form T_{ijk}(u) generate the local Poisson structure A^{ij}(u,u_x) = M^i_s(u,u_x)omega^{sj}(u), where M^i_s(u,u_x)(delta^s_j + omega^{sp}(u)T_{pjk}(u)u^k_x) = delta^i_j, on the corresponding loop space. We obtain also a special graded …

We determine the third cohomology of Alexander quandles of the form F_q[T]/(T-omega), where F_q denotes the finite field of order q and omega is an element of F-q which is neither 0 nor 1. As a result, we obtain many concrete examples of non-trivial 3-cocycles.

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting sh…

Let Omega^3(SU(n)) be the Lie group of based mappings from S^3 to SU(n). We construct a Lie group extension of Omega^3(SU(n)) for n>2 by the abelian group of the affine dual space of SU(n)-connections on S^3. In this article we give several improvement of J. Mickelsson's results in 1987, especially we give a precise de…

Let X be some Riemann surface, and let omega be a meromorphic quadratic differential form on X, that is, omega can be written in local coordinates as f(z) dz^2, for some meromorphic function f. We say that a curve gamma is part of a horizontal leaf of omega if for each t in I, we have that f(gamma(t)) (gamma'(t))^2 is …

Clock theorem extended to knotoids and linkoids.

Omega method mitigates noise in stochastic game optimization.

In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model with tax(Albrecher and Hipp (2007)). We explicitly characterize t…

Let (M, g, omega) be a compact, almost-Kaehler Einstein 4-manifold of negative star-scalar curvature. Then (M, omega) is a MINIMAL symplectic 4-manifold of general type. In particular, M cannot be differentiably decomposed as a connected sum N # (-CP_2).

This paper is about the clock number of a knot. First we define the clock number by using states of a knot defined by Kauffman. Next we show that if K is a prime knot, its clock number is greater than or equal to its crossing number. Finally we prove that its clock number is equal to its crossing number if and only if …

Paper proves equivalences in portfolio optimization with new risk measures.

On a compact, oriented, Riemannian manifold, the Hodge decomposition theorem associates a smooth primitive to any exact smooth form omega. In this paper, we show that given a smooth family of exact smooth forms omega(t), the family of associated primitives is also a smooth family with respect to t.

We introduce the notion of a positive opetope and positive opetopic cardinals as certain finite combinatorial structures. The positive opetopic cardinals to positive-to-one polygraphs are like simple graphs to free omega-categories over omega-graphs, c.f. [MZ]. In particular, they allow us to give an explicit combinato…

HTFM improves mode coverage and tail-statistic recovery for heavy-tailed data.

An SU(3)- or SU(1,2)-structure on a 6-dimensional manifold N^6 can be defined as a pair of a 2-form omega and a 3-form rho. We prove that any analytic SU(3)- or SU(1,2)-structure on N^6 with d omega^2 =0 can be extended to a parallel Spin(7)- or Spin_0(3,4)-structure Phi that is defined on the trivial disc bundle N^6\t…

This article shows that given any orientable 3-manifold X, the 7-manifold T^*X x R admits a closed G_2-structure varphi=Re(Omega)+omega\wedge dt where Omega is a certain complex-valued 3-form on T^*X; next, given any 2-dimensional submanifold S of X, the conormal bundle N^*S of S is a 3-dimensional submanifold of T^*X …

Let N and P be smooth manifolds of dimensions n and p (n>=p>=2). Let Omega^{I}(N,P) denote an open subspace of J(N,P) which consists of all Boardman submanifolds Sigma^{J}(N,P) with J=< I in the lexicographic order. We will prove the homotopy principle in the existence level for Omega^{I}(N,P).

Generalizes Kauffman's clock theorem to surfaces.

Investors can enhance their portfolios by strategically using LETFs, especially with dynamic strategies.

Quantum cellular automata form a homology theory.

We describe two extensions of the notion of a self-dual connection in a vector bundle over a manifold M from dim M=4 to higher dimensions. The first extension, Omega-self-duality, is based on the existence of an appropriate 4-form Omega on the Riemannian manifold M and yields solutions of the Yang-Mills equations. The …

Paper introduces clock moves for plane graphs and proves Alexander polynomial properties.

Unique arcs create slopes in genus two handlebodies.

Transfer learning improves fusion simulation accuracy.

State-of-the-art link prediction utilizes combinations of complex features derived from network panel data. We here show that computationally less expensive features can achieve the same performance in the common scenario in which the data is available as a sequence of interactions. Our features are based on social vec…

Let LM be the semigroup of non-degenerate based loops with a fixed initial/final frame in a Riemannian manifold M of dimension at least three. We compare the topology of LM to that of the loop space Omega FTM on the bundle of frames in the tangent bundle of M. We show that Omega FTM is the group completion of LM, and p…

Study Bergman metric on Cartan-Hartogs domains and their duals.

In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated time-homogeneous diffusion. Then we …

Improved stochastic clocks for financial models without increasing trades.

We prove the existence of a smooth family of non-compact domains $Omega_s \subset R^{n+1}$ bifurcating from the straight cylinder $B^n \times R$ for which the first eigenfunction of the Laplacian with 0 Dirichlet boundary condition also has constant Neumann data at the boundary. The domains $Omega_s$ are rotationally s…

Let X and Y be finite-type CW-complexes (X connected, Y simply connected), such that the rational cohomology ring of Y is a k-rescaling of the rational cohomology ring of X. Assume H^*(X,Q) is a Koszul algebra. Then, the homotopy Lie algebra pi_*(Omega Y) tensor Q equals, up to k-rescaling, the graded rational Lie alge…

Study efficient pricing for barrier options in stochastic-volatility models with leverage correction.

The paper characterizes discrete Morse functions on knot diagrams and generalizes a clock theorem.

Chern's theorem shows S^6 can't have compatible complex structures.

The Kelly rule fails to maximize growth in a time-changed return setting.

We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and uniqueness for a large class of utility maximization problems including the classical one…

Paper analyzes systematic jump risk around the clock using news narratives.

We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and uniqueness for a large class of utility-maximization problems including the classical one…

The study confirms conditions for $Q$-learning with persistent exploration.

We propose a Lie geometric point of view on flat fronts in hyperbolic space as special omega-surfaces and discuss the Lie geometric deformation of flat fronts.

A new uncertainty principle helps traders better understand market activity.

This paper categorifies Quinn's TQFTs and computes them for specific omega-groupoids.

Study geodesics of meromorphic connections on Riemann surfaces.

We consider non-degenerate centro-affine hypersurface immersions in R^n whose cubic form is parallel with respect to the Levi-Civita connection of the affine metric. There exists a bijective correspondence between homothetic families of proper affine hyperspheres with center in the origin and with parallel cubic form, …