arXiv research

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

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.

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

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

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…

Paper improves classification rates for private data.

We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold $r_c$. Through an exponential bin plot, we observe that the waiting-time distributi…

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…

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

Study shows spectrum properties for specific Hadamard manifolds.

Develops a new divergence framework that combines $f$-divergences and IPMs.

New divergence measures improve KL approximation.

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

ABROCA assesses algorithmic bias, revealing skewed distributions that inflate results.

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.

Extends curve theory to non-smooth data with finite curvature and torsion.

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.

This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two per…

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 …

This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry properties of P(x,y) such as Market Mill dependence patterns described in preced…

We present simple and computationally efficient nonparametric estimators of Rényi entropy and mutual information based on an i.i.d. sample drawn from an unknown, absolutely continuous distribution over $\R^d$. The estimators are calculated as the sum of $p$-th powers of the Euclidean lengths of the edges of the `genera…

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 …

The Volterra square-root process shows non-uniqueness of limiting distributions and regularity of its law.

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…

Sharp bounds for distortion risk metrics under uncertain distributions.

Improved density estimation for mixed discrete-continuous data.

A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a multivariate Pareto distribution. Insurance: Mathematics and Economics 46(2), 308-31…

Paper optimizes portfolios for absolute return funds with constraints.

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

This study compares the largest claims from two insurance portfolios using stochastic orderings.

Paper quantifies distortion risk measures' robustness to distributional uncertainty.

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…

We examine the novel problem of the estimation of transaction arrival processes in the intraday electricity markets. We model the inter-arrivals using multiple time-varying parametric densities based on the generalized F distribution estimated by maximum likelihood. We analyse both the in-sample characteristics and the…

We study Monge's optimal transportation problem, where the cost is given by optimal control cost. We prove the existence and uniqueness of an optimal map under certain regularity conditions on the Lagrangian, absolute continuity of the measures with respect to Lebesgue, and most importantly the absence of sharp abnorma…

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