arXiv research

This project improves model robustness to affine transformations.

Optimizes dividends with stability for risky businesses.

This paper optimizes portfolio selection for multivariate affine and quadratic Volterra models with rough volatilities.

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…

In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula for the expected squared hedging error and the optimal hedging strategy, we use a Fourier approach in a general multidime…

This abstract reviews recent methods for predicting protein-ligand binding affinity.

This paper shows how to hedge financial risks with integer investments.

The study analyzes pricing and hedging of STCDOs using an affine model with a catastrophic risk component.

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

Distributed adaptive networks achieve better estimation performance by exploiting temporal and as well spatial diversity while consuming few resources. Recent works have studied the single task distributed estimation problem, in which the nodes estimate a single optimum parameter vector collaboratively. However, there …

Study on faithfulness of Burau representation for Artin-Tits groups.

This paper shows how to approximate any log-concave distribution using well-conditioned affine coupling flows.

New examples of Calabi-Yau metrics on cones with irregular smooth links.

Meta-learning bandits by reducing dimensionality with PCA.

Integrates ESG data into Black-Litterman for portfolio optimization.

Newton's method solves variational problems on manifolds.

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities…

We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon and derive optimal dynamic investment strategies that maximize the investor's e…

Optimal order execution strategies for brokers under reference benchmarks.

We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that encapsulates a number of well-known models,including the Ornstein-Uhlenbeck (OU) model…

Investigates mean-variance portfolio selection in non-Markovian markets.

SwISS improves scalability of Bayesian inference for large datasets.

MASC balances dataset representation using affinity clustering and distribution discrepancies.

DKLM learns adaptive kernels for robust nonlinear subspace clustering.

Study proves existence, uniqueness, and stability for specific stochastic Volterra equations.

Almost Zoll affine surface found on cylinder.

We study affine maps between affine manifolds. Even when the fibers are compact and diffeomorphic, two of them can inherit different affine structures from the source space. This leads to a fixed linear holonomy deformation theory of the affine structure of an affine manifold. We found various conditions which make the…

Investor optimizes consumption and investment in a bond market described by HJM model.

The problem of Hybrid Linear Modeling (HLM) is to model and segment data using a mixture of affine subspaces. Different strategies have been proposed to solve this problem, however, rigorous analysis justifying their performance is missing. This paper suggests the Theoretical Spectral Curvature Clustering (TSCC) algori…

In this article, we propose the notion of the general $p$-affine capacity and prove some basic properties for the general $p$-affine capacity, such as affine invariance and monotonicity. The newly proposed general $p$-affine capacity is compared with several classical geometric quantities, e.g., the volume, the $p$-var…

In this paper, we show that a compact affine manifold endowed with an Affine Anosov transformation is finitely covered by a complete affine nilmanifold.

An affine manifold is a manifold with torsion-free flat affine connection. A geometric topologist's definition of an affine manifold is a manifold with an atlas of charts to the affine space with affine transition functions; a radiant affine manifold is an affine manifold with holonomy consisting of affine transformati…

Proofs for decomposing branched affine surfaces into triangles and cylinders.

An affine manifold is said to be geodesically complete if all affine geodesics extend for all time. It is said to be affine Killing complete if the integral curves for any affine Killing vector field extend for all time. We use the solution space of the quasi-Einstein equation to examine these concepts in the setting o…

Two families of general affine surface areas are introduced. Basic properties and affine isoperimetric inequalities for these new affine surface areas as well as for $L_φ$ affine surface areas are established.

Study on completeness in affine and statistical geometry.

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…

We study affine Jacobi structures on an affine bundle $π:A\to M$, i.e. Jacobi brackets that close on affine functions. We prove that there is a one-to-one correspondence between affine Jacobi structures on $A$ and Lie algebroid structures on the vector bundle $A^+=\bigcup_{p\in M}Aff(A_p,\R)$ of affine functionals. Som…

A (flat) affine $3$-manifold is a $3$-manifold with an atlas of charts to an affine space $\mathbb{R}^3$ with transition maps in the affine transformation group $\mathrm{Aff}(\mathbb{R}^3)$. We will show that a connected closed affine $3$-manifold is either an affine Hopf $3$-manifold or decomposes canonically to conca…

In this paper, we consider affine self-similar solutions for the affine curve shortening flow in the Euclidean plane. We obtain the equations of all affine self-similar solutions up to affine transformations and solve the equations or give descriptions of the solutions for the degenerate case. Some new special solution…

Study on hypersurfaces with specific curvature conditions.

Paper shows affine constraint is unnecessary for high-dimensional data.

In this paper we discuss some affine properties of convex equal-area polygons, which are convex polygons such that all triangles formed by three consecutive vertices have the same area. Besides being able to approximate closed convex smooth curves almost uniformly with respect to affine length, convex equal-area polygo…

Characterizes flat affine connections on manifolds.

Post-training corrections boost time-series forecasting accuracy.

Calculates affine transformations for specific homogeneous spaces.

An affine Cartan calculus is developed. The concepts of special affine bundles and special affine duality are introduced. The canonical isomorphisms, fundamental for Lagrangian and Hamiltonian formulations of the dynamics in the affine setting are proved.

In this paper, we introduce a new structure, namely, affine Szabó connection. We prove that, on $2$-dimensional affine manifolds, the affine Szabó structure is equivalent to one of the cyclic parallelism of the Ricci tensor. A characterization for locally homogeneous affine Szabó surface is obtained. Examples of two- a…