arXiv research

The article constructs stochastic integration in Riemannian manifolds.

Suppose that $X_1, \ldots , X_n$ 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 show that geometric integrals of the type $\int_Ωf\, d g^1\wedge \, d g^2$ can be defined over a two-dimensional domain $Ω$ when the functions $f$, $g^1$, $g^2\colon \mathbb{R}^2\to \mathbb{R}$ are just Hölder continuous with sufficiently large Hölder exponents and the boundary of $Ω$ has sufficiently small dimensio…

The paper approximates financial derivatives using neural networks and iterated integrals.

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.

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…

The paper examines the consistency of Lasso regression applied to signature analysis of time series data.

New research connects evolutionary dynamics to Bayesian learning.

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…

We studied isometric stochastic flows of a Stratonovich stochastic differential equation on spheres, i.e. on the standard sphere and Gromoll-Meyer exotic sphere. The standard sphere $S^7_s$ can be constructed as the quotient manifold $\mathrm{Sp}(2, \mathbb{H})/S^3$ with the so-called ${\bullet}$-action of $S^3$, where…

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 …

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…

Study on stochastic covariant derivatives in curved space-time.

Revisits consumption-investment problem with anticipative noise.

The paper proves signatures of non-geometric rough paths can approximate functionals uniformly.

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…

New integration method improves BSDE-based PDE solvers.

Extends nonlinear filtering to predictable jump times.

STS clarifies chaos and stochastic dynamics, linking algebraic topology and physics.

Develops trinomial models using cubature methods for financial derivative pricing.

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…

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,…

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…

Develops optimal low-dimensional approximations to high-dimensional SDEs.

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…

New algorithm samples from Ising models efficiently, even with outliers.

We study a rolling model from the perspective of probability. More precisely, we consider a Riemannian manifold rolling against Euclidean space, where the rolling is coupled with random slipping and twisting. The system is modelled by a stochastic differential equation of Stratonovich-type driven by semimartingales, on…

Study finds non-monotonic Value of Information in dynamic multi-market monopoly.

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…

Unified geometric framework for Brownian motion on various manifolds.

Bayesian model predicts circular data with fast Gibbs sampling.

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 …

Paper corrects and expands stochastic Lie systems theory.

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…

Stochastic flows of Stratonovich stochastic differential equations on exotic spheres have been studied. The consequences of the choice of exotic differential structure on stochastic processes taking place on the topological space $S^{m+n+1}$ as state space of the processes have been investigated. More precisely, we hav…

The study examines stability of Hamiltonian Poisson integrators on both integrable and non-integrable systems.

Geometrically interprets integrability of geodesic flow using web theory.

Proof shows volume equals integral points for certain manifolds.

Integrates rough geometric forms on manifolds.

The paper defines and analyzes set-valued stochastic integrals for Lévy processes.

New integration theory on topological spaces, including fractals.

We discuss a recurrent geometrical method, due to Élie Cartan and von Weber ([1],[11]) enabling us to determine, step by step, the maximal integral manifolds of a not necessarily integrable nor regular Pfaffian system. The dimensions of such integral manifolds can, of course, vary from point to point but more so can va…

We define a non-absolutely convergent integration on integral currents of dimension 1 in Euclidean space. This integral is closely related to the Henstock-Kurzweil and Pfeffer Integrals. Using it, we prove a generalized Fundamental Theorem of Calculus on these currents. A detailed presentation of Henstock-Kurzweil Inte…

The paper defines and proves the existence of decompositions of integral varifolds.

Counterexample shows Ito integrand needn't be locally square integrable.

Study integrable geodesic flows on 2-surfaces with high-degree polynomial first integrals.

We introduce renormalized integrals which generalize conventional measure theoretic integrals. One approximates the integration domain by measure spaces and defines the integral as the limit of integrals over the approximating spaces. This concept is implicitly present in many mathematical contexts such as Cauchy's pri…

TQ separates sampling and integration for high-dimensional integrals.