arXiv research

The paper studies curves in Finsler-like spaces and their properties.

A classical result in Riemannian geometry states that the absolutely continuous curves into a (finite-dimensional) Riemannian manifold form an infinite-dimensional manifold. In the present paper this construction and related results are generalised to absolutely continuous curves with values in a strong Riemannian mani…

Study absolute continuity of Wasserstein barycenters on manifolds with singular cost functions.

New method proves absolute continuity of Wasserstein barycenters on manifolds with lower Ricci curvature bound.

Monotone aggregation of dependent random vectors has an absolutely continuous distribution under certain conditions.

We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of gene…

The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules used in current literature, the value function of the insider can be finite when…

Study shows spectrum properties for specific Hadamard manifolds.

The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume that the compensator is absolutely continuous with respect to a general $σ$-finite …

In mathematical Finance calculating the Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for finite-dimensional Itô-diffusions. The existence of Malliavin weights relies on absolute continuity of laws of the projected diffusion process and a sufficiently regular density. In this article…

In a recent joint work with V. Turaev (cf. math.DG/9810114) we defined a new concept of combinatorial torsion which we called absolute torsion. Compared with the classical Reidemeister torsion it has the advantage of having a well-defined sign. Also, the absolute torsion is defined for arbitrary orientable flat vector …

We construct Riemannian manifolds with singular continuous spectrum embedded in the absolutely continuous spectrum of the Laplacian. Our manifolds are asymptotically hyperbolic with sharp curvature bounds.

Given a definable function f, enough differentiable, we study the continuity of the total curvature function t --> K(t), total curvature of the level {f=t}, and the total absolute curvature function t-->|K| (t), total absolute curvature of the level {f=t}. We show they admits at most finitely many discontinuities.

Paper studies geometric properties of nonlinear Lebesgue spaces.

Root's barrier is continuous and finite under certain conditions.

In this paper we investigate the relationship between a general existence of transport maps of optimal couplings with absolutely continuous first marginal and the property of the background measure called essentially non-branching introduced by Rajala-Sturm (Calc.Var.PDE 2014). In particular, it is shown that the quali…

New proof shows path-connectedness of actions on intervals and circles.

We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Markov setting, the indicator function of the default has an absolutely continuous compensator. Given this compensator we t…

The square root velocity function (SRVF), introduced by Srivastava et al, has proved to be an effective way to compare absolutely continuous curves in $R^N$ modulo reparametrization. Several computational papers have been published based on this method. In this paper, we carefully establish the theoretical foundations …

Anosov maps study with new Banach space and foliation method.

Two markets should be considered isomorphic if they are financially indistinguishable. We define a notion of isomorphism for financial markets in both discrete and continuous time. We then seek to identify the distinct isomorphism classes, that is to classify markets. We classify complete one-period markets. We define …

LALR adapts learning rate for faster convergence in regression and neural nets.

We prove that in metric measure spaces where the entropy functional is K-convex along every Wasserstein geodesic any optimal transport between two absolutely continuous measures with finite second moments lives on a non-branching set of geodesics. As a corollary we obtain that in these spaces there exists only one opti…

We consider flows, called $W^{\rm u}$ flows, whose orbits are the unstable manifolds of a codimension one Anosov flow. Under some regularity assumptions, we give a short proof of the strong mixing property of $W^{\rm u}$ flows and we show that $W^{\rm u}$ flows have purely absolutely continuous spectrum in the orthocom…

Paper optimizes portfolios for absolute return funds with constraints.

Characterizes nodal volumes of Gaussian fields on manifolds, extending previous work.

It is well-known that the class of piecewise smooth curves together with a smooth Riemannian metric induces a metric space structure on a manifold. However, little is known about the minimal regularity needed to analyze curves and particularly to study length-minimizing curves where neither classical techniques such as…

This paper develops GPCA for probability distributions using Otto-Wasserstein geometry.

The nearest neighbor rule is proven consistent in a broad setting.

The paper explores MAE as a loss function for DNN vector-to-vector regression, proving its advantages over MSE.

Paper improves classification rates for private data.

We prove existence and uniqueness of optimal maps on $RCD^*(K,N)$ spaces under the assumption that the starting measure is absolutely continuous. We also discuss how this result naturally leads to the notion of exponentiation.

Applying a theorem due to Belopol'ski and Birman, we show that the Laplace-Beltrami operator on 1-forms on ${\bf R}^n$ endowed with an asymptotically Euclidean metric has absolutely continuous spectrum equal to $[0, +\infty)$.

Improved bounds for continuous functions in online learning.

We study the asymptotic geometry of Teichmueller geodesic rays. We show that when the transverse measures to the vertical foliations of the quadratic differentials determining two different rays are topologically equivalent, but are not absolutely continuous with respect to each other, then the rays diverge in Teichmue…

Method estimates parameters of complex nonlinear systems.

If M is a smooth compact Riemannian manifold, let P(M) denote the Wasserstein space of probability measures on M. If S is an embedded submanifold of M, and $μ$ is an absolutely continuous measure on S, then we compute the tangent cone of P(M) at $μ$.

Kernel for Lévy rough paths derived from PDE system.

The framework of this paper is that of risk measuring under uncertainty, which is when no reference probability measure is given. To every regular convex risk measure on ${\cal C}_b(Ω)$, we associate a unique equivalence class of probability measures on Borel sets, characterizing the riskless non positive elements of $…

We prove a completely new integral criterion for the existence and completeness of the wave operators $W_{\pm}(-Δ_h,-Δ_g, I_{g,h})$ corresponding to the (unique self-adjoint realizations of) the Laplace-Beltrami operators $-Δ_j$, $j=1,2$, that are induced by two quasi-isometric complete Riemannian metrics $g$ and $h$ o…

Extends Brouwer fixed point theorem with new conditions for continuous maps.

Explicit BCH series radii found for special Banach-Malcev shift algebras.

We study optimal solutions to an abstract optimization problem for measures, which is a generalization of classical variational problems in information theory and statistical physics. In the classical problems, information and relative entropy are defined using the Kullback-Leibler divergence, and for this reason optim…

We examine the theory of metric currents of Ambrosio and Kirchheim in the setting of spaces admitting differentiable structures in the sense of Cheeger and Keith. We prove that metric forms which vanish in the sense of Cheeger on a set must also vanish when paired with currents concentrated along that set. From this we…

The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and deterministic coefficients. It turns out that the indirect utility functions inherit the…

Regulated curves on Banach manifolds with continuous projections and regulated derivatives are studied.

Study finds a non-locally contractible $r$-convex set.

New financial model with sandwiched volatility for option pricing.