arXiv research

We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to minimize her probability of lifetime ruin. Without relying on the dynamic programming…

We extend the stochastic Perron method to analyze the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost surely reaches a given target no matter which action is chosen by the other player. Within this framework, our method produces a viscosity sub-solut…

In this paper, we adapt stochastic Perron's method to analyze a stochastic target problem with unbounded controls in a jump diffusion set-up. With this method, we construct a viscosity sub-solution and super-solution to the associated Hamiltonian-Jacobi-Bellman (HJB) equations. Under comparison principles, uniqueness o…

Investor aims to meet financial goals with deadlines and target amounts, considering stock trading costs.

This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to multi-dimensional performance fees that are charged whenever each fund profit exceeds its historical maximum, the value function is expecte…

Using an idea of Doug Lind, we give a lower bound for the Perron-Frobenius degree of a Perron number that is not totally-real. As an application, we prove that there are cubic Perron numbers whose Perron-Frobenius degrees are arbitrary large; a result known to Lind, McMullen and Thurston. A similar result is proved for…

A framework for goal-based investing with penalties for fund transfers.

Deep learning framework for kernel methods using RKHM and Perron-Frobenius operators.

Optimal investment strategy with expert opinions in uncertain conditions.

Every weak Perron number is realized as a stretch factor of a homeomorphism on a surface.

Solves Monge-Ampère equations on compact Hessian manifolds using the Perron method.

Study complex Monge-Ampère flows on Kähler manifolds using Perron method.

Characterizes bi-Perron numbers with specific Galois conjugates.

This paper extends transfer operator theory to McKean-Vlasov equations.

Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investment horizons. This paper introduces an empirical framework to analyze the permanent-transitory decomposition of SDF processes. Specifically, …

Study of hypersurfaces with specific expansion properties.

Paper proves existence and uniqueness of circle patterns on surfaces with assigned geodesic curvatures.

The paper explores growth rates and Perron numbers in Coxeter systems with low-dimensional Davis complexes.

Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingal…

Edge subdivision affects the Perron eigenvalue of tree Ricci matrices.

We prove existence of solutions to boundary value problems and obstacle problems for degenerate-elliptic, linear, second-order partial differential operators with partial Dirichlet boundary conditions using a new version of the Perron method. The elliptic operators considered have a degeneracy along a portion of the do…

Paper finds principal eigenvalue for infinity Laplacian in metric spaces.

In this paper we consider the growth rates of 3-dimensional hyperbolic Coxeter polyhedra some of its dihedral angles are $\fracπ{m}$ for $m\geq{7}$. By combining with the classical result by Parry \cite{Pa} and the main result of \cite{Y}, we prove that the growth rates of 3-dimensional hyperbolic Coxeter groups are Pe…

Using the Perron method, we prove the existence of hypersurfaces of prescribed special Lagrangian curvature with prescribed boundary inside complete Riemannian manifolds of non-positive curvature.

We shall use the classical Perron envelope method to show a general existence theorem to degenerate complex Monge-Ampère type equations on compact Kähler manifolds.

This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs to choose an optimal stopping time to initiate stage-2; in stage-2, the investo…

We define a large class of abstract Coxeter groups, that we call $\infty$--spanned, and for which the word growth rate and the geodesic growth rate appear to be Perron numbers. This class contains a fair amount of Coxeter groups acting on hyperbolic spaces, thus corroborating a conjecture by Kellerhals and Perren. We a…

A pseudo-Anosov surface automorphism $φ$ has associated to it an algebraic unit $λ_φ$ called the dilatation of $φ$. It is known that in many cases $λ_φ$ appears as the spectral radius of a Perron-Frobenius matrix preserving a symplectic form $L$. We investigate what algebraic units could potentially appear as dilatatio…

This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gompertz' law and investment opportunities are constant. Healthcare slows the natural growth of mortality, indirectly increasing utility from c…

The symplectic representation of mapping classes is not surjective for certain types of mapping classes.

Study of endperiodic maps on infinite graphs, proving homotopy and eigenvalue properties.

We describe a novel technique for solving the Plateau problem for constant curvature hypersurfaces based on recent work of Harvey and Lawson. This is illustrated by an existence theorem for hypersurfaces of constant Gaussian curvature in $\Bbb{R}^{n+1}$.

In this note, we deduce a partial answer to the question in the title. In particular, we show that asymptotically almost all bi-Perron algebraic unit whose characteristic polynomial has degree at most $2n$ do not correspond to dilatations of pseudo-Anosov maps on a closed orientable surface of genus $n$ for $n\geq 10$.…

We proof existence theorems for the Dirichlet problem for hypersurfaces of constant special Lagrangian curvature in Hadamard manifolds. The first results are obtained using the continuity method and approximation and then refined using two iterations of the Perron method. The a-priori estimates used in the continuity m…

Existence and uniqueness of discrete Einstein metrics on trees proven.

IGNN captures long-range graph dependencies using fixed-point equations.

Paper introduces RKHM for more explicit variable structures analysis.

Data-driven methods link graphon limits to random walks and spectral clustering.

The development of a metric for structural data is a long-term problem in pattern recognition and machine learning. In this paper, we develop a general metric for comparing nonlinear dynamical systems that is defined with Perron-Frobenius operators in reproducing kernel Hilbert spaces. Our metric includes the existing …

We determine the optimal robust investment strategy of an individual who targets at a given rate of consumption and seeks to minimize the probability of lifetime ruin when she does not have perfect confidence in the drift of the risky asset. Using stochastic control, we characterize the value function as the unique cla…

Operator-theoretic analysis of nonlinear dynamical systems has attracted much attention in a variety of engineering and scientific fields, endowed with practical estimation methods using data such as dynamic mode decomposition. In this paper, we address a lifted representation of nonlinear dynamical systems with random…

New methods for clustering graphs using spectral analysis.

Study of complex Hessian equations using subharmonic functions and geodesics.

Let $f\colon M\to N$ be a continuous map between closed irreducible graph manifolds with infinite fundamental group. Perron and Shalen showed that if $f$ induces a homology equivalence on all finite covers, then $f$ is in fact homotopic to a homeomorphism. Their proof used the statement that every graph manifold is fin…

We prove the existence of classical solutions to the Dirichlet problem for the $α$-translating soliton equation defined in a strip of $\r^2$. We use the Perron method where a family of grim reapers are employed as barriers for solving the Dirichlet problem when the boundary data is formed by two copies of a convex func…

Modernizes Thurston's proof of entropy theorem for traintrack maps.

The paper estimates key metrics for linear models with Markov or hidden Markov sources.

We construct infinite series of non-simple ideal hyperbolic Coxeter 4-polytopes whose growth rates are Perron numbers. This infinite series is the first example of such a non-compact infinite polytopal series.