We formulate and prove an axiomatic characterization of conditional information geometry, for both the normalized and the nonnormalized cases. This characterization extends the axiomatic derivation of the Fisher geometry by Cencov and Campbell to the cone of positive conditional models, and as a special case to the man…
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48 results for “axiomatic characterization”
An axiomatization of -quantilesq-fin.MF
Axiomatizes -quantiles, a generalization of quantiles.
problem Found an axiomatization for -quantiles.
method Characterized -quantiles using the locality property.
result Local changes in distribution do not affect -quantiles.
A framework for anonymized risk sharing without revealing identities or preferences.
problem Risk sharing without revealing individual identities or preferences.
method Axiomatic framework with four key axioms: actuarial fairness, risk fairness, risk anonymity, and operational anonymity.
result The conditional mean risk sharing rule is uniquely characterized by these axioms.
Milnor proved two uniqueness theorems for axiomatic (co)homology: one for pairs of compacta (1960) and another, in particular, for pairs of countable simplicial complexes (1961). We obtain their common generalization: the Eilenberg-Steenrod axioms along with Milnor's map excision axiom and a (non-obvious) common genera…
The paper develops axioms for uniquely decomposing functions with real arguments.
problem Decomposing functions with real arguments while preserving their overall structure.
method Developing axioms to uniquely decompose Borel measurable functions.
result Unique decompositions for all Borel measurable functions are achieved.
We discuss equivalent axiomatic characterizations of distortion risk measures, and give a novel and concise proof of the characterization of elicitable distortion risk measures. Elicitability has recently been discussed as a desirable criterion for risk measures, motivated by statistical considerations of forecasting. …
New Gini indices capture more nuanced income inequality.
problem Measuring joint dispersion across multiple observations.
method Axiomatic approach to define and characterize n-th order Gini deviations.
result Higher-order Gini coefficients reveal more extreme income disparities.
A concise discussion of the axiomatic approach to the concept of parallel transport is presented. Attention is drawn to a bijective map between the sets of connections and (axiomatically defined) parallel transports. The transports along paths are pointed as a generalization of the (axiomatically defined) parallel tran…
Mathematical study of excess growth rate connects info theory with finance.
problem Understanding the excess growth rate in portfolio theory.
method Axiomatic characterization theorems of excess growth rate in terms of relative entropy, Jensen's inequality gap, and logarithmic divergence.
result Established rich connections between information theory and finance.
The angle defect, which is the standard way to measure curvature at the vertices of polyhedral surfaces, goes back at least as far as Descartes. Although the angle defect has been widely studied, there does not appear to be in the literature an axiomatic characterization of the angle defect. We give a characterization …
This paper examines allocation mechanisms in markets with transfer costs, showing how these costs affect economic efficiency.
problem Transfer costs in decentralized exchange markets reduce economic efficiency.
method An axiomatic study of allocation mechanisms in the presence of transfer costs, providing robust and conditional mean allocation mechanisms.
result Robust and conditional mean allocation mechanisms are identified, relating to risk sharing in agent pools.
Factorization homology theories of topological manifolds, after Beilinson, Drinfeld and Lurie, are homology-type theories for topological -manifolds whose coefficient systems are -disk algebras or -disk stacks. In this work we prove a precise formulation of this idea, giving an axiomatic characterization of fa…
Paper axiomatizes interventional probability distributions.
problem Causal inference and intervention.
method Axiomatization of interventional families.
result Markovian property of intervened distributions.
An axiomatic characterization of buildings of type $\CC_3$ due to Tits is used to prove that any cohomogeneity two polar action of type $\CC_3$ on a positively curved simply connected manifold is equivariantly diffeomorphic to a polar action on a rank one symmetric space. This includes two actions on the Cayley plane w…
Defines hierarchical clustering axioms for various densities.
problem Defining hierarchical clustering for different types of densities.
method An axiomatic approach to piecewise constant densities, then extending to general densities.
result Our axiomatic definition results in Hartigan's cluster tree under certain conditions.
Mathematical proofs for Shapley explanations clarify their properties.
problem Clarify the essential axioms and properties of Shapley values in machine learning.
method Mathematical rigor and axiomatic characterization.
result The symmetry axiom is essential for Shapley values, contradicting Lundberg and Lee's claim.
We refurbish our axiomatics of differential geometry introduced in [Mathematics for Applications,, 1 (2012), 171-182]. Then the notion of Euclideaness can naturally be formulated. The principal objective in this paper is to present an adaptation of our theory of differential forms developed in [International Journal of…
In this paper we give an axiomatization of differential geometry comparable to model categories for homotopy theory. Weil functors play a predominant role.
The axiomatic approach to parallel transport theory is partially discussed. Bijective correspondences between the sets of connections, (axiomatically defined) parallel transports, and transports along paths satisfying some additional conditions, are constructed. In particular, the equivalence between the concepts "conn…
On evaluation of joint risk for non-negative multivariate risks under dependence uncertaintyq-fin.RM
Paper proposes a new method to evaluate joint risk under uncertainty.
problem Evaluating joint risk of multiple insurance risks under dependence uncertainty.
method Axiomatic approach to scalar and vector-valued distortion joint risk measures.
result Established a new scalar distortion joint risk measure with positive homogeneity.
In our previous paper entitled "Axiomatic differential geometry -towards model categories of differential geometry-, we have given a category-theoretic framework of differential geometry. As the first part of our series of papers concerned with differential-geometric developments within the above axiomatic scheme, this…
New characterization of geodesic currents via curve functionals.
problem Characterize geodesic currents using curve functionals.
method Purely axiomatic and combinatorial approach.
result Characterization of curve functionals dual to geodesic currents.
In this article we prove that any unitary, axiomatic topological quantum field theory in four-dimensions can not detect changes in the smooth structure of M, a simply connected, closed (compact without boundary), oriented smooth manifold. However, as Donaldson-Witten theory (a topological quantum field theory but not a…
New theory extends rank-dependent utility for risk and ambiguity.
problem Modeling decision-making under risk and ambiguity.
method Axiomatizes a new preference relation with ambiguity index, probability weighting, and utility function.
result Extends rank-dependent utility to risk and ambiguity, reducing to existing models under specific conditions.
Axiomatic Market Makingq-fin.MF
Axiomatizes the bid-ask market maker's quoting rule
problem Axiomatizing the quoting rule of a market maker
method Eight natural axioms and six environmental assumptions
result A unique three-parameter family emerges
Generalized differential cohomology theories, in particular differential K-theory (often called "smooth K-theory"), are becoming an important tool in differential geometry and in mathematical physics. In this survey, we describe the developments of the recent decades in this area. In particular, we discuss axiomatic ch…
We give here a self contained and elementary introduction to the Conley-Zehnder index for a path of symplectic matrices. We start from the definition of the index as the degree of a map into the circle for a path starting at the identity and ending at a matrix for which 1 is not an eigenvalue. We prove some properties …
In our previous paper (Axiomatic Differential Geometry II-3) we have discussed the general Jacobi identity, from which the Jacobi identity of vector fields follows readily. In this paper we derive Jacobi-like identities of tangent-vector-valued forms from the general Jacobi identity.
The split version of the Freudenthal-Tits magic square stems from Lie theory and constructs a Lie algebra starting from two split composition algebras [3, 17, 18]. The geometries appearing in the second row are Severi-Brauer varieties [20]. We provide an easy uniform axiomatization of these geometries and related ones,…
Given a complete and (locally) cartesian closed category U, it is shown that the category of functors from the category of Weil algebras to the category U is (locally, resp.) cartesian closed. The corresponding axiomatization for differential geometry based upon Weil functors is then given.
Characterizes pseudo-Anosov mapping classes on general marked surfaces.
problem Stability of mapping classes on marked surfaces.
method Cluster algebraic description and reduction procedure of mapping classes.
result Characterizes pseudo-Anosov mapping classes in terms of uniform sign stability.
As the fourth paper of our series of papers concerned with axiomatic differential geometry, this paper is devoted to the general Jacobi identity supporting the Jacobi identity of vector fields. The general Jacobi identity can be regarded as one of the few fundamental results belonging properly to smootheology.
Unified framework for risk evaluation under uncertainty.
problem Risk assessment under multiple economic scenarios.
method Axiomatic framework for generalized risk measures.
result Characterization of worst-case, coherent, and robust risk measures.
Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Financeq-fin.MF
The paper establishes axioms for AMMs to ensure fair pricing and fee structures.
problem Ensuring fair and efficient pricing in decentralized finance (DeFi) AMMs.
method Formulating axioms on utility functions to characterize swap sizes and pricing oracles.
result Most existing AMMs satisfy the proposed axioms, and a new AMM is proposed with desirable properties.
The main goal of this paper is presentation a modern axiomatic approach to financial arithmetic. At the first, the axiomatic financial arithmetic theory was proposed by Peccati who has introduced the axiomatic definition of the future value. This theory has been extensively developed in past years. Proposed approach to…
In this paper is proposed a kind of model theory for our axiomatic differential geometry. It is claimed that smooth manifolds, which have occupied the center stage in differential geometry, should be replaced by functors on the category of Weil algebras. Our model theory is geometrically natural and conceptually motiva…
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A new family of multi-distribution divergences is characterized for fairness and other problems.
problem Comparing more than two probability distributions in a consistent way.
method Characterized a new family of multi-way coincidence divergences.
result The new family of multi-distribution Rényi divergences is necessary and arises from several independent routes.
Paper proves impossibility of three desirable properties in node embedding.
problem Understanding limitations of node embedding methods.
method Axiomatic approach to node embedding, proving impossibility of three properties.
result No node embedding method can satisfy all three desirable properties simultaneously.
We study the problem of interpreting trained classification models in the setting of linguistic data sets. Leveraging a parse tree, we propose to assign least-squares based importance scores to each word of an instance by exploiting syntactic constituency structure. We establish an axiomatic characterization of these i…
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We prop…
In an incomplete financial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any financial asset a dynamic limit order book, taking into account both the dynamics of basic assets and the limit order books for options. Kreps-Yan fundamental theorem is extended t…
New framework explains neural network behavior through geometric postulates.
problem Understanding neural network mechanisms and making them more transparent.
method Introducing the Pursuit of Subspaces (PoS) hypothesis as an axiomatic framework.
result Unified geometric perspective on neural network representation, computation, and generalization.
New axioms justify ES without NRC, linking it to mean-ES portfolio selection.
problem Economic axioms for portfolio risk assessment and mean-ES portfolio selection.
method Introducing concentration aversion as an alternative to NRC, establishing axiomatic foundations.
result Concentration aversion uniquely characterizes the family of ES and provides new formulas.
Paper introduces variance-based measures for second-order uncertainty quantification in classification problems.
problem Uncertainty in machine learning predictions and decision-making.
method Second-order uncertainty quantification using variance-based measures.
result Variance-based measures effectively quantify uncertainty on a class-based level and are competitive with entropy-based measures.
More than thirty years ago, Charnes, Cooper and Schinnar (1976) established an enlightening contact between economic production functions (EPFs) -- a cornerstone of neoclassical economics -- and information theory, showing how a generalization of the Cobb-Douglas production function encodes homogeneous functions. As ex…
We introduce length dilatation structures on metric spaces, tempered dilatation structures and coherent projections and explore the relations between these objects and the Radon-Nikodym property and Gamma-convergence of length functionals. Then we show that the main properties of sub-riemannian spaces can be obtained f…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von-Neumann-Morgenster…
Scenario-based Risk Evaluationq-fin.MF
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment and management of risks, including tractability, scenario relevance and robustness, we consider theoretical properties of…