Paper studies second order tail probabilities in risk models.
problem Analyzing tail probabilities in risk models with constant interest force.
method Asymptotic expansion and weighted Kesten-type inequality for second order subexponential random variables.
result Second order asymptotic formulae for continuous-time renewal risk models are derived.
Proposes new rule for ranking investment prospects over long horizons.
problem Ranking investment prospects over long horizons considering bounded risk aversion.
method Introduces asymptotic fractional-order stochastic dominance with bounded relative risk aversion.
result Establishes equivalent conditions for the new rule under lognormal returns without mean non-negativity constraint.
Paper examines risk measure expansions under FGM dependence, improving accuracy at extreme levels.
problem Capturing higher-order tail behavior and dependence effects in risk measures.
method Second-order asymptotic expansions using extreme value theory and regular variation theory.
result Second-order approximations reduce approximation errors, especially at extreme confidence levels.
Study leading-order asymptotics for VIX option prices in Bergomi models.
problem Understanding VIX option pricing in Bergomi models.
method Analytical approach to derive leading-order asymptotics for VIX option prices in Bergomi models.
result Closed-form solutions for VIX option prices in Bergomi models are derived.
Unified asymptotic treatment for VaR- and expectile-based systemic risk measures.
problem Analyzing systemic risk measures under extreme system-wide disasters.
method Classified systemic risk measures into VaR- and expectile-based families, introduced new ICE and SICE measures, and provided second-order asymptotic results.
result Second-order asymptotics provide more accurate tail approximations for systemic risk measures.
Study stabilizes second-order systems to first-order dynamics.
problem Stabilizing second-order systems to first-order dynamics.
method Feedback control of second-order systems on manifolds.
result Second-order systems can globally exponentially stabilize first-order dynamics for fully actuated systems.
Study improves BN TTA under distribution shift using higher-order asymptotics.
problem Improving BN TTA for changing data distributions.
method Integrates Edgeworth expansion and saddlepoint approximation with one-step M-estimation.
result Derives optimal weighting parameter for minimized mean-squared error.
Smooth solutions found for a curvature problem in hyperbolic space.
problem Existence of smooth complete hypersurfaces with prescribed curvature in hyperbolic space.
method Utilized Pogorelov type interior second order estimate.
result Affirmative answers for specific curvature cases in hyperbolic space.
ROOT-SGD solves convex optimization problems with optimal nonasymptotic and near-optimal asymptotic performance.
problem Solving strongly convex and smooth unconstrained optimization problems using stochastic first-order algorithms.
method ROOT-SGD: Recursive One-Over-T SGD, averaging past stochastic gradients.
result Achieves state-of-the-art performance in both nonasymptotic and asymptotic senses.
Develops a novel fast bootstrap for dependent data with higher-order accuracy.
problem Estimation of parametric and semi-parametric models for dependent data.
method i.i.d. resampling of smoothed moment indicators, asymptotic refinements under mild assumptions.
result Higher-order correct asymptotic confidence distributions and confidence intervals.
Let G be a finitely generated group with a given word metric. The asymptotic density of elements in G that have a particular property P is defined to be the limit, as r goes to infinity, of the proportion of elements in the ball of radius r which have the property P. We obtain a formula to compute the asymptotic densit…
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. We establish the almost sure convergence and the asymptotic n…
We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kern…
New method improves model risk prediction using cross-audit projection.
problem Over-optimism in K-fold CV for binary classification. method Cross-audit projection (CAP) procedure combining resampling and asymptotic bias correction.
result CAP estimator achieves second-order asymptotic unbiasedness.
A new method for embedding sparse high-order interactions.
problem Learning embeddings from sparse high-order interaction events.
method Hybridizing sparse hypergraph and matrix Gaussian processes.
result Strong asymptotic bounds on sparsity ratio.
New method for zeroth-order stochastic gradient algorithms provides confidence intervals.
problem Lack of inferential capabilities for zeroth-order stochastic gradient algorithms.
method Established central limit theorem and provided online estimators for asymptotic covariance matrix.
result Asymptotically valid confidence sets for parameter estimation and prediction.
New algorithms estimate Hessians using random directions for faster stochastic optimization.
problem Efficiently estimating Hessians for stochastic optimization.
method Generalized Hessian estimators using random directions and noisy function measurements.
result Asymptotically unbiased estimators with lower bias for more measurements.
Paper proves rigidity theorems for AE Q-singular spaces.
problem Analyzing Q-curvature on AE manifolds. method Introducing a fourth order energy and rewriting it in terms of a fourth order Ricci-like tensor.
result Yamabe positive J-flat AE manifolds are isometric to Euclidean space. In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of admissible controls under this problem setup. Specifically, we first establish a rigo…
Study heat content in sub-Riemannian structures, proving asymptotic series existence and coefficients.
problem Analyzing heat content in sub-Riemannian manifolds.
method Adapting Savo's technique to sub-Riemannian structures, computing coefficients up to order 5.
result Existence of full asymptotic series and explicit computation of coefficients up to order 5.
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small price impact, we determine the asymptotic expansion of the value function around …
Derives derivatives of risk measures for various types of portfolio losses.
problem Calculating precise risk measures for portfolio losses.
method Analyzes first and second order derivatives of risk measures for both continuous and discrete portfolio loss scenarios.
result Provides asymptotic results for conditional moments of heavy-tailed portfolio losses.
Extended Einstein manifolds reveal new symmetries.
problem Understanding symmetries of Einstein manifolds.
method Constructed a line bundle from projective compactification and identified its automorphisms as asymptotic symmetries.
result Asymptotic symmetries identified on extended boundaries of Einstein manifolds.
We give an exact formula for the value of the derivative at zero of the gap probability in finite n x n Gaussian ensembles. As n goes to infinity our computation provides an asymptotic (with an explicit constant) of the order n^(1/2). As a first application, we consider the set of n x n (Real, Complex or Quaternionic) …
Study volume growth and asymptotic cones of nonnegative Ricci curvature manifolds.
problem Whether the volume growth order of manifolds is greater than or equal to the dimension of their asymptotic cones.
method Analyzing asymptotic cones and volume growth conditions, extending Sormani's results.
result Existence of asymptotic cones with upper box dimension at most equal to the volume growth order.
We prove sharp blow up rates of solutions of higher order conformally invariant equations in a bounded domain with an isolated singularity, and show the asymptotic radial symmetry of the solutions near the singularity. This is an extension of the celebrated theorem of Caffarelli-Gidas-Spruck for the second order Yamabe…
The paper calculates asymptotic Betti numbers and homology multiplicities for graph configuration spaces.
problem Understanding the homology of ordered configuration spaces of graphs.
method Explicit formulas for asymptotic Betti numbers and homology multiplicities in characteristic zero.
result Explicit formulas for asymptotic multiplicities in homology of irreducible representations of the symmetric group.
Study heat content on RCD(K,N) spaces with specific boundary conditions.
problem Analyzing heat content in RCD(K,N) spaces with irregular boundaries.
method Proved first-order asymptotics using measured interior geodesic condition.
result Established first-order heat content asymptotics on RCD(K,N) spaces.
We study positive solutions of the Yamabe equation with isolated singularity and prove the existence of solutions with prescribed asymptotic expansions near singular points and an arbitrarily high order of approximation.
Geometric quantization results for Riemann surfaces with semi-positive line bundles.
problem Analyzing geometric quantization for Riemann surfaces with semi-positive line bundles.
method Exploring the Bergman kernel expansion and related results for induced Fubini-Study metrics, Toeplitz operators, and holomorphic torsion.
result Asymptotic results for holomorphic torsion and random sections.
We derive caplet volatilities for quadratic models, providing an asymptotic approximation.
problem Calculating caplet volatilities for quadratic term-structure models.
method Asymptotic approximation for caplet volatilities under quadratic models.
result Asymptotic accuracy of the derived caplet volatilities.
In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire's functional Ito calculus. The main conclusion is that the market group parameters calibrated to vanilla options can be used to price to the same order exotic, path-dependent deriv…
The CGMY model's ATM call-price asymptotics are derived using characteristic function.
problem Deriving short-time asymptotics for the CGMY model's ATM call prices.
method Using the characteristic function, derived short-time asymptotics for the CGMY model's ATM call prices. Extracted higher-order coefficients by dynamic cutoff partitioning.
result Higher-order coefficients are derived for the CGMY model's ATM call prices.
The paper studies solutions to the Yamabe equation on asymptotically flat manifolds and their behavior at infinity.
problem Behavior of solutions to the Yamabe equation on asymptotically flat manifolds.
method Establishing asymptotic behavior near isolated singularities and using appropriate flatness conditions.
result Positive solutions on asymptotically flat manifolds of flatness order at least (n-2)/2 converge to fundamental solutions or radial Fowler solutions at infinity.
We investigate fourth order Paneitz equations of critical growth in the case of n-dimensional closed conformally flat manifolds, n≥5. Such equations arise from conformal geometry and are modelized on the Einstein case of the geometric equation describing the effects of conformal changes of metrics on the Q-cu…
Study of Dirichlet minimizers on manifolds with boundary and their asymptotic behavior.
problem Understanding the behavior of solutions to the Allen-Cahn equation on manifolds with boundary.
method Analyzing the asymptotic behavior of Dirichlet minimizers, relating Neumann data to boundary geometry, and using invertibility of the linearized Allen-Cahn operator.
result Computed expansions of the solution to high order and established a projection theorem about Allen-Cahn solutions near minimal surfaces.
The study explains the concavity of price impact in markets.
problem The asymptotic concavity of price impact in meta-orders.
method A model with linear local price impact and co-directional trades.
result Volumes at best bid and ask prices favor the executor.
The study provides interior estimates for Qk-flows and translators in Rn+1.
problem Estimating Qk-flows and translators in Rn+1. method Proved interior gradient and second order estimates.
result Non-existence of Qk-translators asymptotic to o(∣x∣). Let Y be a compact, oriented 3-manifold with a contact form a. For any Dirac operator D, we study the asymptotic behavior of the spectral flow between D and D+cl(-ira) as r very large. If a is the Thurston-Winkelnkemper contact form whose monodromy is the product of Dehn twists along disjoint circles, we prove that the…
The paper calculates heat kernel and closed geodesic asymptotics for nilpotent coverings.
problem Heat kernel and closed geodesic asymptotics for nilpotent coverings.
method Finite-dimensional rational Floquet-Bloch theory, Pytlik functional, and spectral sums.
result Genuinely local, pointwise higher-order heat-kernel expansions.
Study on high-codimensional minimal surfaces in hyperbolic space.
problem Understanding high-codimensional minimal surfaces in hyperbolic space.
method Investigating asymptotic behavior and boundary regularity of area-minimizing currents.
result Established boundary regularity results for high-codimensional minimal surfaces near their asymptotic boundaries.
We present a method in nonlinear elliptic systems to study curvature decays on asymptotically locally Euclidean (ALE) manifolds. In particular, we show that scalar flat Kahler and harmonic ALE metrics of real dimension n are of order n-2.
Study tail behavior of sum of heavy-tailed risks with copulas.
problem Analyzing the tail behavior of sums of heavy-tailed risks with dependence modeled by copulas.
method Modeling dependence with copulas and analyzing tail asymptotics of sums of heavy-tailed risks.
result Obtained asymptotic expansions for Value-at-Risk of aggregate risk.
For complete affine manifolds we introduce a definition of compactification based on the projective differential geometry (i.e.\ geodesic path data) of the given connection. The definition of projective compactness involves a real parameter α called the order of projective compactness. For volume preserving connectio…
The paper calculates option prices using Mellin transform for stochastic volatility models.
problem Calculating prices for path-dependent options under stochastic volatility.
method Asymptotic approach and Mellin transform for deriving closed-form formulas.
result Derives closed-form formulas for option prices with first-order approximation.
For an n-dimensional polytope Ω in Rn, we study lower bounds for eigenvalues of the Dirichlet eigenvalue problem of the Laplacian. In the asymptotic formula on the average of the first k eigenvalues, Li and Yau (1983) obtained the first term with the order kn2, which is optimal. The next l…
We consider second-order elliptic partial differential operators acting on sections of vector bundles over a compact Riemannian manifold without boundary, working without the assumption of Laplace-like principal part −NμNμ. Our objective is to obtain information on the asymptotic expansions of the corresponding r…
In this paper, we computed the first three coefficients of the asymptotic expansion of Zelditch. We also proved that in general, the k-th coefficient is a polynomial of the curvature and its derivative of weight k.