New research connects evolutionary dynamics to Bayesian learning.
problem Connecting evolutionary biology and Bayesian learning.
method Rigorous mathematical proof using Kushner-Stratonovich equation and gradient flows.
result Discrete time filtering equations converge to Stratonovich interpretation of Kushner-Stratonovich equation.
Study on stochastic flows on 7-dimensional spheres.
problem Stochastic processes on 7-dimensional spheres.
method Isometric stochastic flows of Stratonovich SDE on spheres.
result Properties of stochastic processes on Gromoll-Meyer exotic sphere.
Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito interpretation. Herein, we derive the Black-Scholes equation for the o…
Extends nonlinear filtering to predictable jump times.
problem Filtering with jumps in both signal and observation, especially when jump times are known.
method Derive Kushner-Stratonovich and Zakai equations for predictable discontinuities.
result Extends classical nonlinear filtering results to a setting with predictable discontinuities.
We explain how Itô Stochastic Differential Equations (SDEs) on manifolds may be defined using 2-jets of smooth functions. We show how this relationship can be interpreted in terms of a convergent numerical scheme. We show how jets can be used to derive graphical representations of Itô SDEs. We show how jets can be used…
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the setting of weighted spaces, the necessary analyticity of the split semigroups can be easily proved. A numerical example from interest rate theory,…
Suppose that X1,…,Xn are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation can be used to decompose the relative log-return of portfolios generated by functi…
We study harmonic and totally invariant measures in a foliated compact Riemannian manifold isometrically embedded in an Euclidean space. We introduce geometrical techniques for stochastic calculus in this space. In particular, using these techniques we can construct explicitely an Stratonovich equation for the foliated…
Geometric integrals of Hölder continuous functions are defined over a 2D domain.
problem Defining integrals for Hölder continuous functions over a 2D domain.
method Summing discrete Stratonovich or Itô type terms over refining partitions.
result Two-dimensional extension of Young integral that coincides with recent integral.
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that includes the Ito and Stratonovich cases. An uncoupled CTRW with zero-mean jumps is…
We define two new notions of projection of a stochastic differential equation (SDE) onto a submanifold: the Ito-vector and Ito-jet projections. This allows one to systematically develop low dimensional approximations to high dimensional SDEs using differential geometric techniques. The approach generalizes the notion o…
Revisits consumption-investment problem with anticipative noise.
problem Revisits classical consumption-investment problem with anticipative noise.
method Models risky-asset returns through a general α-integral, interpolating between Itô, Stratonovich, and related conventions.
result Derives closed-form optimal policies for logarithmic utility and constant volatilities in a market with n risky assets.
STS clarifies chaos and stochastic dynamics, linking algebraic topology and physics.
problem Chaos and stochastic dynamics in arbitrary form SDEs.
method Supersymmetric theory of stochastic dynamics (STS) using generalized transfer operator (GTO) and topological field theories (TFT).
result Positive 'pressure' in GTOs corresponds to spontaneous breakdown of topological supersymmetry, explaining 1/f noise.
The article constructs stochastic integration in Riemannian manifolds.
problem No specific problem stated; focuses on the construction of stochastic integration.
method Functional-analytic approach to stochastic integration in Riemannian manifolds.
result There are infinitely many stochastic integrals, and they are related by a simple formula.
We study a stochastic equation modeling the lay-down of fibers in the production process of nonwovens. The equation can be formulated as some manifold-valued Stratonovich stochastic differential equation. Especially, we study the long time behaviour of the stochastic process. Demanding mathematical difficulties arising…
Develops optimal low-dimensional approximations to high-dimensional SDEs.
problem Approximating solutions to high-dimensional SDEs in a low-dimensional space.
method Introduces Ito-vector and Ito-jet projections for optimal approximation.
result Optimal projection filters yield better approximations than Stratonovich projection.
Study rolling dynamics with random slipping and twisting using large deviation principles.
problem Analyzing the stability of a rolling model with random slipping and twisting.
method Modelled as a stochastic differential equation on the orthonormal frame bundle, examined via large deviations.
result Proved large deviation principles for projection curves and their horizontal lifts on the base manifold.
Develops trinomial models using cubature methods for financial derivative pricing.
problem Pricing financial derivatives in complex stochastic market models.
method Cubature methods applied to Wiener space for constructing trinomial models.
result Numerical solutions compare favorably with Black-Scholes model.
The paper approximates financial derivatives using neural networks and iterated integrals.
problem Approximating p-integrable financial derivatives. method Using iterated Stratonovich integrals and neural networks.
result Approximate solutions to the Lp-hedging problem. Unified geometric framework for Brownian motion on various manifolds.
problem Modeling Brownian motion on complex Riemannian manifolds.
method Constructing stochastic differential equations with noise and drift terms aligned with Laplace-Beltrami operators.
result Geometrically transparent and mathematically consistent foundation for diffusion processes.
Study on stochastic flows on exotic spheres, exploring their properties.
problem Investigating stochastic processes on exotic (m+n+1)-dimensional spheres. method Constructing exotic manifolds from disjoint unions and identifying points using maps.
result Explicit homeomorphisms and stochastic processes on exotic spheres.
The aim of these notes is to relate covariant stochastic integration in a vector bundle E (as in Norris \cite{Norris}) with the usual Stratonovich calculus via the connector $\K:TE \rightarrow E$ (cf. e.g. Paterson \cite{Paterson} or Poor \cite{Poor}) which carries the connection dependence.
Study on stochastic covariant derivatives in curved space-time.
problem Analyzing covariant derivatives in curved space-time under stochastic processes.
method Using Itô-Wiener processes and stochastic calculus, including Besov spaces, Schrödinger operators, and white noise.
result Developed a framework for stochastic geodesics and white noise in fractoid spaces.
This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the one generated by the asset prices, and the unobservable processes will be modeled …
The paper examines the consistency of Lasso regression applied to signature analysis of time series data.
problem Consistency of Lasso regression in signature analysis of time series data.
method The paper studies the consistency of Lasso regression applied to signature analysis of time series data, both theoretically and numerically.
result The Lasso regression is consistent both asymptotically and in finite sample for certain types of time series and processes.
In this article we develop geometric versions of the classical Langevin equation on regular submanifolds in euclidean space in an easy, natural way and combine them with a bunch of applications. The equations are formulated as Stratonovich stochastic differential equations on manifolds. The first version of the geometr…
Paper corrects and expands stochastic Lie systems theory.
problem Stochastic Lie systems and their properties.
method Corrected stochastic Lie theorem, introduced new stochastic Lie systems.
result Stochastic Lie systems can differ significantly between Stratonovich and Itô approaches.
We relate some basic constructions of stochastic analysis to differential geometry, via random walk approximations. We consider walks on both Riemannian and sub-Riemannian manifolds in which the steps consist of travel along either geodesics or integral curves associated to orthonormal frames, and we give particular at…
For a functionally generated portfolio, there is a natural decomposition of the relative log-return into the log-change in the generating function and a drift process. In this note, this decomposition is extended to arbitrary stock portfolios by an application of Fisk-Stratonovich integration. With the extended methodo…
New integration method improves BSDE-based PDE solvers.
problem Discretization bias in standard BSDE-based solvers.
method Proposed Stratonovich-based BSDE formulation with stochastic Heun integration.
result Eliminates bias issues and outperforms EM-based variants.
New algorithm samples from Ising models efficiently, even with outliers.
problem Sampling from Ising models with general interaction matrices.
method Combines MCMC and variational inference techniques.
result First polynomial time sampling algorithms for low-rank Ising models.
Study finds non-monotonic Value of Information in dynamic multi-market monopoly.
problem Investigates non-monotonicity in Value of Information for a price-setting monopolist.
method Uses a Bayesian inverse problem with Kalman-Bucy-Stratonovich filter in a dynamic discrete model.
result Non-monotonic relationship between signal variance and Value of Information.
We reconsider the problem of calculating a general spectral correlation function containing an arbitrary number of products and ratios of characteristic polynomials for a N x N random matrix taken from the Gaussian Unitary Ensemble (GUE). Deviating from the standard "supersymmetry" approach, we integrate out Grassmann …
Bayesian model predicts circular data with fast Gibbs sampling.
problem Predicting circular data in scientific fields.
method Expressive von Mises quasi-processes with Stratonovich augmentation for posterior inference.
result Fast Gibbs sampling for posterior inference.
The paper proves signatures of non-geometric rough paths can approximate functionals uniformly.
problem Approximating functionals of non-geometric rough paths.
method Extending rough paths with time and quadratic variation terms, proving uniform approximation.
result Linear functionals of extended signatures uniformly approximate continuous functionals.
Paper finds new equations for pseudospherical surfaces with isometric immersions.
problem Identifying equations with isometric immersions for pseudospherical surfaces.
method Provided families of second order non-linear PDEs with local isometric immersions in E^3.
result Found equations with principal curvatures depending on finite-order jets of solutions.
Study Galois groupoids of discret Painlevé equations.
problem Computing Galois groupoids for discret Painlevé equations.
method Using semi-continuity theorem for Galois groupoid in confluence of difference to differential equations.
result Computed Galois groupoids for discret Painlevé equations.
Proves solvability of general inverse σ_k equations with constant coefficients.
problem Solvability of general inverse σ_k equations with constant coefficients.
method Proves existence of unique solution if a C-subsolution exists.
result Confirms analytical conjecture for deformed Hermitian--Yang--Mills equation.
We present an unsupervised approach for discovering semantic representations of mathematical equations. Equations are challenging to analyze because each is unique, or nearly unique. Our method, which we call equation embeddings, finds good representations of equations by using the representations of their surrounding …
Paper establishes estimates for nonlinear equations on compact manifolds.
problem Estimating solutions to fully nonlinear equations with gradient terms on compact almost Hermitian manifolds.
method Establishes second order estimates and proves existence of solutions for specific equations.
result Proves existence of solutions for various equations, including Monge-Ampère and Hessian equations.
Proves C^2,alpha estimates for elliptic equations on hyperkähler manifolds.
problem Elliptic equations on hypercomplex manifolds.
method Proves C^2,alpha estimates under suitable assumptions.
result Solutions to specific elliptic equations on hyperkähler manifolds satisfy C^2,alpha estimates.
The paper generalizes Monge-Ampère equations and their solutions in differential geometry.
problem Understanding the structure of Monge-Ampère equations and their solutions.
method Generalizing Monge-Ampère equations to higher-order systems and proving their solutions correspond to integral manifolds of exterior differential systems.
result The Korteweg-de Vries (KdV) equation and Cauchy-Riemann equations are examples of generalized Monge-Ampère equations.
We study four distinct second-order nonlinear equations of Rabelo which describe pseudospherical surfaces. By transforming these equations to the constant-characteristic form we relate them to some well-studied integrable equations. Two of the Rabelo equations are found to be related to the sine-Gordon equation. The ot…
Introduces a new PDE involving differential forms for Kähler geometry.
problem Solving a unified PDE for various important equations in Kähler geometry.
method Introduces a fully nonlinear PDE with differential form Λ and proves solvability conditions.
result Generalizes previous works and proves a conjecture for the dHYM equation.
Sharp sub-Gaussian bounds for subsolutions of Trudinger's equation on Riemannian manifolds.
problem Bounding weak subsolutions of Trudinger's equation on Riemannian manifolds.
method Proving sub-Gaussian upper bounds for weak subsolutions.
result The upper bounds are sharp for specific classes of manifolds, including \(\mathbb{R}^{n}\).
In this paper we perform a blow-up and quantization analysis of the following nonlocal Liouville-type equation \begin{equation}(-Δ)^\frac12 u= κe^u-1~\mbox{in S1,} \end{equation} where (−Δ)21 stands for the fractional Laplacian and κ is a bounded function. We interpret the above equation as the prescri…
The paper studies curvature equations and their solvability.
problem Solving curvature type equations and their Dirichlet problems.
method General class of fully nonlinear curvature equations, Christoffel-Minkowski problem, degenerate equations.
result Solvability of curvature type equations and Dirichlet problems.
The paper derives gradient estimates for porous medium and fast diffusion equations on metric measure spaces.
problem Gradient estimates for porous medium and fast diffusion equations on metric measure spaces.
method Derives Li-Yau and Souplet-Zhang type gradient estimates for the given equations.
result Gradient estimates for the equations on complete noncompact metric measure spaces with compact boundary.