arXiv research

By a classical result, solutions of analytic elliptic PDEs, like the Laplace equation, are analytic. In many instances, the properties that come from being analytic are more important than analyticity itself. Many important equations are degenerate elliptic and solutions have much lower regularity. Still, one may hope …

We study the time analyticity of ancient solutions to heat equations on graphs. Analogous to Dong and Zhang [DZ19], we prove the time analyticity of ancient solutions on graphs under some sharp growth condition.

Analyzing static solutions in Finsler gravity, extending known results.

Analytical solution found for a three-layer network with a specific activation function.

In this paper, we introduce an analytical perturbative solution to the Merton Garman model. It is obtained by doing perturbation theory around the exact analytical solution of a model which possesses a two-dimensional Galilean symmetry. We compare our perturbative solution of the Merton Garman model to Monte Carlo simu…

We prove the analyticity in time for solutions of two parabolic equations in the whole space, without any decaying or vanishing conditions. One of them involves solutions to the heat equation of exponential growth of order $2$ on $\M$. Here $\M$ is $\R^d$ or a complete noncompact manifold with Ricci curvature bounded f…

It is well known that generic solutions of the heat equation are not analytic in time in general. Here it is proven that ancient solutions with exponential growth are analytic in time in ${\M} \times (-\infty, 0]$. Here $\M=\R^n$ or is a manifold with Ricci curvature bounded from below. Consequently a necessary and suf…

Using Maple, we compute some analytical solutions of a modified Black-Scholes equation, recently proposed, in the case of the European put option. We show that the modified Black-Scholes equation with the European put option is exactly solvable in terms of associated Laguerre polynomials. We make some numerical experim…

This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of the non-analytic solution, this paper obtains the transition probability density function of the random variable that i…

It is a theorem of S. Bando that if $g(t)$ is a solution to the Ricci flow on a compact manifold $M$, then $(M, g(t))$ is real-analytic for each $t >0$. In this note, we extend his result to smooth solutions on open domains $U\subset M$.

It is shown that the Kerr-Newman solution, representing charged and rotating stationary black holes, admits analytic extension at the singularity. This extension is obtained by using new coordinates, in which the metric tensor becomes smooth on the singularity ring. On the singularity, the metric is degenerale - its de…

Intelligent transportation systems (ITSs) will be a major component of tomorrow's smart cities. However, realizing the true potential of ITSs requires ultra-low latency and reliable data analytics solutions that can combine, in real-time, a heterogeneous mix of data stemming from the ITS network and its environment. Su…

Real analyticity proved for modified Laplacian coflow solutions.

In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research problem. In particular, it presents an additional optimisation compared to the classical one. We find the analytical solution for the optimal …

It is the purpose of this article to establish a technical tool to study regularity of solutions to parabolic equations on manifolds. As applications of this technique, we prove that solutions to the Ricci-DeTurck flow, the surface diffusion flow and the mean curvature flow enjoy joint analyticity in time and space, an…

We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices …

This paper compares analytical and numerical solutions of the Black-Scholes model.

We establish interior regularity for convex viscosity solutions of the special Lagrangian equation. Our result states that all such solutions are real analytic in the interior of the domain.

Analyticity of heat equation extended to Bakry-Émery Ricci curvature manifolds.

Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.

In this paper, we prove that if $g(t)$ is a smooth, complete solution to the Ricci flow of uniformly bounded curvature on $M\times[0, Ω]$, then the correspondence $t\mapsto g(t)$ is real-analytic at each $t_0\in (0, Ω)$. The analyticity is a consequence of classical Bernstein-type estimates on the temporal and spatial …

Modified perturbation method removes non-smoothness in solving Black-Scholes equations.

Let $\mathcal{M}_1$ denote the space of solutions $z(x,y)$ to an elliptic, real analytic Monge-Ampère equation ${\rm det} (D^2 z)=\varphi(x,y,z,Dz)>0$ whose graphs have a non-removable isolated singularity at the origin. We prove that $\mathcal{M}_1$ is in one-to-one correspondence with $\mathcal{M}_2\times Z_2$, where…

Stochastic VB improves nonlinear model inference speed and accuracy.

The systems of complex analytic second order ordinary differential equations whose solutions close up to become rational curves (after analytic continuation) are characterized by the vanishing of an explicit differential invariant, and turn out to provide an infinite dimensional family of integrable systems.

We propose a geometric setup to study analytic aspects of a variant of the super symmetric two-dimensional nonlinear sigma model. This functional extends the functional of Dirac-harmonic maps by gravitino fields. The system of Euler--Lagrange equations of the two-dimensional nonlinear sigma model with gravitino is calc…

We show that for any $δ\in [0,1)$ there exists a homogeneous order $2-δ$ analytic outside zero solution to a uniformly elliptic Hessian equation in R^5.

Semi-analytical approach for optimal wealth management contributions.

In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations in case the short rate is assumed to depend also on other stochastic factors. Ou…

Proves solution uniqueness for biomembrane shape prediction.

We show the existence of a global unique and analytic solution for the mean curvature flow, the surface diffusion flow and the Willmore flow of entire graphs for Lipschitz initial data with small Lipschitz norm. We also show the existence of a global unique and analytic solution to the Ricci-DeTurck flow on euclidean s…

We construct some explicit quasihomogeneous algebraic solutions to the associativity (WDVV) equations by using analytical methods of the finite gap integration theory. These solutions are expanded in the uniform way to non-semisimple Frobenius manifolds.

Let $\varphi(t), t\in [0,T]$ be a smooth solution to the Laplacian flow for closed G_2 structures on a compact 7-manifold $M$. We show that for each fixed positive time $t\in (0,T]$, $(M,\varphi(t),g(t))$ is real analytic, where $g(t)$ is the metric induced by $\varphi(t)$. Consequently, any Laplacian soliton is real a…

Proves uniqueness of certain spacetime solutions with extremal horizons.

In arXiv:0805.2192, we set up a gauge-theoretic equation on symplectic 6-manifolds, which is a version of the Hermitian-Einstein equation perturbed by Higgs fields, and call Donaldson-Thomas equation, to analytically approach the Donaldson-Thomas invariants. In this article, we consider the equation on compact Kähler t…

We develop analytical methods for nonlinear Dirac equations. Examples of such equations include Dirac-harmonic maps with curvature term and the equations describing the generalized Weierstrass representation of surfaces in three-manifolds. We provide the key analytical steps, i.e., small energy regularity and removable…

Paper explores non-uniqueness and uniqueness class for wave equations on graphs.

Neural networks learn modular arithmetic but not all, extending known solutions to generalize.

Study proves convergence of quantized geodesics to Mabuchi geodesics.

The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed. In this paper an extension of the approach proposed in LiptonSepp2011 is developed by i) replacing a piecewise constant…

On any closed Riemannian 3-manifold which is not a torus bundle, every nonvanishing analytic solution of the stationary Euler equations has a periodic trajectory. This result is originally due to A. Rechtman (arXiv:0904.2719) and K. Cieliebak and E. Volkov (arXiv:1402.6484); here we present an alternative proof of it.

SAFLe solves federated learning's trade-off between non-linearity and scalability.

An analytic solution for asset allocation with Laplace distribution.

We provide an exact analytical solution of the Nash equilibrium for $k$- price auctions. We also introduce a new type of auction and demonstrate that it has fair solutions other than the second price auctions, therefore paving the way for replacing second price auctions.

In the present work we propose an original analytical model of coopetitive game. We try to apply this analytical model of coopetition - based on game theory and conceived at a macro level - to the Greek crisis, suggesting feasible solutions in a cooperative perspective for the divergent interests which drive the econom…

Let (P1) be certain elliptic free-boundary problem on a Riemannian manifold (M,g). In this paper we study the restrictions on the topology and geometry of the fibres (the level sets) of the solutions f to (P1). We give a technique based on certain remarkable property of the fibres (the analytic representation property)…

In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of the optimal solution for the case where the return rate is described with a single-factor model and compare the findings …

Let $X=\mathbb{C}\timesΣ$ be the product of the complex plane and a compact Riemann surface. We establish a classification theorem of solutions to the Seiberg-Witten equation on $X$ with finite analytic energy. The spin bundle $S^+\to X$ splits as $L^+\oplus L^-$. When $2-2g\leq c_1(S^+)[Σ]<0$, the moduli space is in b…