A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New law predicts first extinction in resampling processes.
Develops a new volatility model for prediction markets.
Develops a new volatility model for prediction markets.
We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright-Fisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit. We also shed light on a use…
Starting from a sequence of independent Wright-Fisher diffusion processes on , we construct a class of reversible infinite dimensional diffusion processes on $\DD_\infty:= \{{\bf x}\in Let $Mμ\ff 1 2\DD+ZZ$…
We are interested in strong approximations of one-dimensional SDEs which have non-Lipschitz coefficients and which take values in a domain. Under a set of general assumptions we derive an implicit scheme that preserves the domain of the SDEs and is strongly convergent with rate one. Moreover, we show that this general …
We present the Wright-Fisher Indian buffet process (WF-IBP), a probabilistic model for time-dependent data assumed to have been generated by an unknown number of latent features. This model is suitable as a prior in Bayesian nonparametric feature allocation models in which the features underlying the observed data exhi…