arXiv research

Establishes relationships between prudence and stability properties of risk functionals.

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grou…

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to preserve the original difference between the numeraire of the current reserve amo…

This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal ways to construct risk measures are given and extensions to more general situations…

Study cash-subadditive risk measures without quasi-convexity.

Unified framework for robust risk measures beyond convexity.

We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general eligible assets, including defaultable bonds. Since the payoff of these assets is not…

We present a nonstandard hull construction for locally uniform groups in a spirit similar to Luxembourg's construction of the nonstandard hull of a uniform space. Our nonstandard hull is a local group rather than a global group. We investigate how this construction varies as one changes the family of pseudometrics used…

The paper characterizes sets with infinite hyperbolic convex hull volume.

The n-th hull of a union of curves in R^3 is the set of points with the property: Any plane passing through the point intersects the curves at least 2n times. The hull number u(L) of a link L is defined as the minimum number of non-empty hulls a representative of L can have. We show that the hull numbers of torus links…

The main result of this paper is a characterization of the minimal surface hull of a compact set $K$ in $\mathbb R^3$ by sequences of conformal minimal discs whose boundaries converge to $K$ in the measure theoretic sense, and also by $2$-dimensional minimal currents which are limits of Green currents supported by conf…

Designing and modifying complex hull forms for optimal vessel performances have been a major challenge for naval architects. In the present study, Principal Component Analysis (PCA) is introduced to compress the geometric representation of a group of existing vessels, and the resulting principal scores are manipulated …

Develops harmonic metrics for Hull-Strominger system stability.

Study analyzes correlation structure in two-factor Hull-White model for XVA calculations.

Study shows non-compact convex hulls in certain metric spaces.

Deep learning models generalize by extending decision boundaries outside the convex hull of training data.

The paper transforms a convex hull into a concave surface around a point cloud.

The integer hull of a polyhedron is the convex hull of the integer points contained in it. We show that the vertices of the integer hulls of a rational family of polyhedra of size O(n) have quasipolynomial coordinates. As a corollary, we show that the stable commutator length of elements in a surgery family is a ratio …

Study characterizes hulls and capacities on Riemannian manifolds, proving isoperimetric inequalities.

The convex hull of a set K in space consists of points which are, in a certain sense, "surrounded" by K. When K is a closed curve, we define its higher hulls, consisting of points which are "multiply surrounded" by the curve. Our main theorem shows that if a curve is knotted then it has a nonempty second hull. This pro…

New proofs given for space curves with totally positive torsion.

We introduce the notion of a ``projective hull'' for subsets of complex projective varieties, parallel to the idea of the polynomial hull in affine varieties. With this concept, a generalization of J. Wermer's classical theorem on the hull of a curve in $C^n$ is established in the projective setting. The projective hul…

Researchers link vertex algebras to non-Kähler solutions of the Hull-Strominger system.

Estimates convex hulls of smooth function images with error bounds.

Study finds knots with ideal length need not have smallest volume.

Study Hull-Strominger system and Anomaly flow on specific solvmanifolds.

New solutions found for complex structures on specific manifolds.

Study convex hulls of orbits for compact groups, defining new invariants related to polynomial degrees.

For a convex curve in an even-dimensional affine space we introduce a series of convex domains (called Young hulls), describe their structure and give a formulas fo the volume of the biggest of these domains. This paper is an attempt to generalize the classical isoperimetric inequality for the volume of the convex hull…

We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme to be used for Monte Carlo evaluations. Numerical results show the rel…

Optimal algorithm finds if point is in convex hull of distributions.

The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.

We obtain an upper bound for the volume of the convex hull of a simple closed Frenet curve with exactly four vertices, i.e., four points of vanishing torsion, and lying on the boundary of its convex hull. Moreover, we show that the upper bound is attained when the curve intersects every plane in at most four points, a …

New flow defined to solve Hull-Strominger system, with estimates and convergence results.

Optimum in Convex Hulls (OCH) generalizes clinical trial results to broader populations.

We compute the algebraic hull of the Kontsevich-Zorich cocycle over any GL^+_2(R) invariant subvariety of the Hodge bundle, and derive from this finiteness results on such subvarieties.

We show how to construct the nonstandard hull of certain infinite-dimensional Lie algebras in order to generalize a theorem of Pestov on the enlargeability of Banach-Lie algebras. In the process, we consider a nonstandard smoothness condition on functions between locally convex spaces to ensure that the induced functio…

A wide range of fundamental machine learning tasks that are addressed by the maximum a posteriori estimation can be reduced to a general minimum conical hull problem. The best-known solution to tackle general minimum conical hull problems is the divide-and-conquer anchoring learning scheme (DCA), whose runtime complexi…

Estimate collapsibility of causal effects in CPDAGs via strong d-convex hulls.

Automorphisms and subdivisions of Helly graphs are studied, leading to explicit models and rational translation lengths.

We use twistor theory to identify the harmonic hull of an arbitrary connected open subset U of R^{2m} for m at least 2. It is the natural domain of analytic continuation in C^{2m} for harmonic functions on U.

New obstruction found for Hull-Strominger system solutions.

Sketching algorithm finds closest point on convex hull efficiently.

GraphHull models networks with clear multi-scale explanations of community structure.

The main result is a direct proof of the implication $(LVKF_{k,3})\Rightarrow( LT_{3k-1,3})$ below. Consider the following statements: ($LVKF_{1,3}$) From any 11 points in $\mathbb{R}^{3}$ one can choose 3 pairwise disjoint triples whose convex hulls have a common point. ($LVKF_{k,3}$) From any $6k + 5$ points in $ \m…

We construct new smooth solutions to the Hull-Strominger system, showing that the Fu-Yau solution on torus bundles over K3 surfaces can be generalized to torus bundles over K3 orbifolds. In particular, we prove that, for $13 \leq k \leq 22$ and $14\leq r\leq 22$, the smooth manifolds $S^1\times \sharp_k(S^2\times S^3)$…

The paper develops mixed-integer formulations for neural networks using partitioning.

A curve of minimum length to enclose a unit sphere in 3D is at least 4π.