arXiv research

In this paper, we introduce a new parameter, the affine twist parameter for the affine deformation of a sphere with holes. We show that the affine deformation space can be parametrized by Margulis invariants and affine twist parameters. The affine twist parameter is canonically regarded as a correspondence to the Fench…

Dual Bayesian Affine Estimators for Wiener-type state-space models

We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters for the process, we construct a corresponding non-linear expectation on the path space of continuous processes. By a general dynamic programm…

First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $R_+ \times R^d$. We specialize our result to one-dimensional continuous state branching processes with immigration. As an application, we study the asymptotic behavior of least squares estimators…

The paper classifies singularities of plane congruences and affine distance functions.

Training only BatchNorm parameters achieves surprisingly high performance in deep networks.

This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of moments, combined with Quasi-…

We give a new characterization of flat affine manifolds in terms of an action of the Lie algebra of classical infinitesimal affine transformations on the bundle of linear frames. We characterize flat affine symplectic Lie groups using symplectic étale affine representations and as a consequence of this, we show that a …

For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We prove strong consistency and asymptotic normality of the estimators in question.

The paper explores affine geometry of line congruences using singularity theory.

We present a fundamental theory of curves in the affine plane and the affine space, equipped with the general-affine groups ${\rm GA}(2)={\rm GL}(2,{\bf R})\ltimes {\bf R}^2$ and ${\rm GA}(3)={\rm GL}(3,{\bf R})\ltimes {\bf R}^3$, respectively. We define general-affine length parameter and curvatures and show how such …

We formulate a correspondence between affine and projective special Kähler manifolds of the same dimension. As an application, we show that, under this correspondence, the affine special Kähler manifolds in the image of the rigid r-map are mapped to one-parameter deformations of projective special Kähler manifolds in t…

Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-fac…

Randomizes AD models for better option pricing.

Study path-dependent affine models under uncertain parameters for financial applications.

New model for Knightian uncertainty with jumps.

Developed moment estimators for affine stochastic volatility models.

This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for time-inhomogeneous Markov processes. For stochastically continuous affine proce…

Solitons are special polygon midpoints under affine transformations.

The study classifies certain types of incomplete surfaces with low curvature.

We put forward a complete theory on moment explosion for fairly general state-spaces. This includes a characterization of the validity of the affine transform formula in terms of minimal solutions of a system of generalized Riccati differential equations. Also, we characterize the class of positive semidefinite process…

Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approache…

Improved bounds on neural network regions using activation histograms.

Affine spiking neural networks learn efficiently and generalize well.

This paper is a continuation of the previous paper of the author[M]. We show that an affine deformation space of a hyperbolic surface of type (g,b) can be parametrized by Margulis invariants and affine twist parameters with a certain decomposition of the surface, which are associated with the Fenchel-Nielsen coordinate…

We consider equitorsion second type almost geodesic mappings of a non-symmetric affine connection space in this article. Using different computational methods, we obtained some invariants of these mappings. Last generalized Thomas projective parameter and Weyl projective tensor as invariants of a second type almost geo…

At a 3/2-cusp of a given plane curve $γ(t)$, both of the Euclidean curvature $κ_g$ and the affine curvature $κ_A$ diverge. In this paper, we show that each of $\sqrt{|s_g|}κ_g$ and $(s_A)^2 κ_A$ (called the Euclidean and affine normalized curvature, respectively) at a 3/2-cusp is a smooth function of the variable $t$, …

Holomorphic projective structures and bundles are studied on surfaces, revealing affine spaces of parameters.

This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=κ_{t}\left(θ_{t}-V_{t}\right)dt+λ_{t}V_{t}dB_{t}$. This non-affine model is much more realistic than classical affine models like the Heston stochastic volatility model, e…

Paper proposes Sp-GD for sparse max-affine regression with theoretical guarantees.

Improved SGD with AdaGrad stepsizes adapts to unknown parameters and unbounded gradients.

Extends model uncertainty framework to non-linear affine processes for longevity bonds and contingent claims.

In this article, we define and study the affine and cyclotomic Yokonuma-Hecke algebras. These algebras generalise at the same time the Ariki-Koike and affine Hecke algebras and the Yokonuma-Hecke algebras. We study the representation theory of these algebras and construct several bases for them. We then show how we can…

New framework discovers non-affine continuous symmetries in neural networks.

The study finds parametrizations for surfaces of revolution with a linear curvature ratio.

Proposes a deep hedging method for robust pricing and hedging under parameter uncertainty.

The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dynamics of real data, these models need to exhibit time-dependent or even stochast…

Generalizes Hecke algebra for double torus, linking to skein algebra.

The paper classifies singularities of line congruences in 4D space.

This paper discusses properties of a Doubly Stochastic Poisson Process (DSPP) where the intensity process belongs to a class of affine diffusions. For any intensity process from this class we derive an analytical expression for probability distribution functions of the corresponding DSPP. A specification of our results…

Novel method for estimating currency option parameters with improved accuracy.

The classical result of describing harmonic maps from surfaces into symmetric spaces of reductive Lie groups states that the Maurer-Cartan form with an additional parameter, the so-called loop parameter, is integrable for all values of the loop parameter. As a matter of fact, the same result holds for $k$-symmetric spa…

We describe how to compute topological objects associated to a polynomial map of several complex variables with isolated singularities. These objects are: the affine critical values, the affine Milnor numbers for all irregular fibers, the critical values at infinity, and the Milnor numbers at infinity for all irregular…

The aim of this paper is to prove that a control affine system on a manifold is equivalent by diffeomorphism to a linear system on a Lie group or a homogeneous space if and only the vector fields of the system are complete and generate a finite dimensional Lie algebra. A vector field on a connected Lie group is linear …

We study the real Monge-Ampère equation in two and three dimensions, both from the point of view of the SYZ conjecture, where solutions give rise to semi-flat Calabi-Yau's and in affine differential geometry, where solutions yield parabolic affine sphere hypersurfaces. We find explicit examples, connect the holomorphic…

This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use composition techniques as Ninomiya and Victoir or Alfonsi. Doing so, we have found a remarkable splitting for Wishart proc…

Python package ajdmom simplifies moment formula derivation for jump diffusions.

In this article, we introduce a $2$-parameter family of affine connections and derive the Ricci curvature. We first establish an integral Bochner technique. On one hand, this technique yields a new proof to our recent work in \cite{LX} for substatic manifolds. On the other hand, this technique leads to various geometri…