arXiv research

Derives a new formula for optimal stopping problems with exploding derivatives.

Researchers relax the CVF's smoothness requirement to create more flexible flow models.

Develops analysis of Hölder continuous mappings on Heisenberg groups.

We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point model and we give the conditions for the existence of f-divergence minimal equival…

Study uses remotely sensed data to infer economic outcomes in experiments and quasi-experiments.

Notes on quasiregular maps between Riemannian manifolds, preserving Sobolev forms.

Paper detects hierarchical changes in latent variable models from data streams.

A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-factor changes. A generalization of the formula is derived under the more…

Derives functional Itô formula for non-anticipative maps of rough paths.

The paper provides gradient estimates for Neumann semigroups on manifolds with boundary under unbounded curvature conditions.

We refine prior bounds on how the multivariable signature and the nullity of a link change under link cobordisms. The formula generalizes a series of results about the 4-genus having their origins in the Murasugi-Tristram inequality, and at the same time extends previously known results about concordance invariance of …

Bayesian MS-VAR process improves option pricing models.

Improved Lasso estimator speeds up variable selection.

The paper develops a new formula for financial pricing under multiple interest rates and collateralization.

Bayesian MS-VAR model for pricing equity-linked life insurance products.

New solutions to 3D integrability equations using quantum cluster algebras.

Formulas previously presented for the Casson-Walker invariant are generalized to Lescop's extension. These formulas in terms of linking numbers and surgery coefficients compute the change in Lescop's invariant under crossing changes in a framed link presenting a 3-manifold. This leads us to revisit an old formula for a…

Formula connects knot complements' invariants.

The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent identically distributed random variables. Because of its tractability, the formula is now widely used in practical financial engineering as …

We show that the link cobordism maps defined by the author are graded and satisfy a grading change formula. Using the grading change formula, we prove a new bound for $Υ_K(t)$ for knot cobordisms in negative definite 4-manifolds. As another application, we show that the link cobordism maps associated to a connected, cl…

Jones polynomial coincidences explored for rational knots.

We investigate the relative information content of six measures of dependence between two random variables $X$ and $Y$ for large or extreme events for several models of interest for financial time series. The six measures of dependence are respectively the linear correlation $ρ^+_v$ and Spearman's rho $ρ_s(v)$ conditio…

The aim of this article is to generalize in several variables some formulae for Eisenstein series in one variable. For example the formula $2ζ(2k) = (2π)^{2k} \frac{B_{2k}}{(2k)!} = Res_{z=0}(\frac{1}{z^{2k}(1-e^z)})$ for the values of zeta functions at even integers in functions of Bernoulli numbers. A. Szenes proved …

New method combines domain changes and sparse mixing for better latent variable learning.

The dichotomous coordinate descent (DCD) algorithm has been successfully used for significant reduction in the complexity of recursive least squares (RLS) algorithms. In this work, we generalize the application of the DCD algorithm to RLS adaptive filtering in impulsive noise scenarios and derive a unified update formu…

Trading strategy uses Hoeffding's Inequality to predict financial regime change.

Study nondegenerate singularities in mean curvature flow.

We compute renormalized curvature integrals on Poincaré-Einstein manifolds.

Hierarchical organization is a cornerstone of complexity and multifractality constitutes its central quantifying concept. For model uniform cascades the corresponding singularity spectra are symmetric while those extracted from empirical data are often asymmetric. Using the selected time series representing such divers…

Improves change-point detection for high-dimensional time-series.

A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a …

The potential function of the optimistic limit of the colored Jones polynomial and the construction of the solution of the hyperbolicity equations were defined in the authors' previous articles. In this article, we define the Reidemeister transformations of the potential function and the solution by the changes of them…

We derive precise transformation formulas for synthetic lower Ricci bounds under time change. More precisely, for local Dirichlet forms we study how the curvature-dimension condition in the sense of Bakry-Emery will transform under time change. Similarly, for metric measure spaces we study how the curvature-dimension c…

Formula for option pricing in a stochastic volatility model with jumps.

In a 2006 article (\cite{A1}), Allouba gave his quadratic covariation differentiation theory for Itô's integral calculus. He defined the derivative of a semimartingale with respect to a Brownian motion as the time derivative of their quadratic covariation and a generalization thereof. He then obtained a systematic diff…

Formula for integrating random variables on hyperbolic surfaces.

We derive a new renormalized volume formula for conformally compact asymptotically hyperbolic manifolds in dimension four. The formula generalizes the ones given by Anderson, Albin, and Chang-Qing-Yang for the case of Poincare-Einstein manifolds. We also derive variational formulas for the renormalized seen as a functi…

We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.

We give an explicit local formula for any formal deformation quantization, with separation of variables, on a Kähler manifold. The formula is given in terms of differential operators, parametrized by acyclic combinatorial graphs.

In this paper, we consider Randers change of some special $(α, β)-$ metrics. First we find the fundamental metric tensor and Cartan tensor of these Randers changed $(α, β)-$metrics. Next, we establish a general formula for inverse of fundamental metric tensors of these metrics. Finally, we find the necessary and su…

Formula connects surface and curve invariants via slice transitions.

We find a simple expression for the probability density of $\int \exp (B_s - s/2) ds$ in terms of its distribution function and the distribution function for the time integral of $\exp (B_s + s/2)$. The relation is obtained with a change of measure argument where expectations over events determined by the time integral…

Framework LiLY recovers latent causal variables from time-series data under distribution shifts.

Tree-based regularization improves latent variable inference from related datasets.

Proposes a model to detect changes in multivariate time series data.

Analyzes how quadratic differential trajectories change with variation, proving a wall-crossing formula.

We propose to meta-learn causal structures based on how fast a learner adapts to new distributions arising from sparse distributional changes, e.g. due to interventions, actions of agents and other sources of non-stationarities. We show that under this assumption, the correct causal structural choices lead to faster ad…

Kearton observed that mutation can change the concordance class of a knot. A close examination of his example reveals that it is of 4-genus 1 and has a mutant of 4-genus 0. The first goal of this paper is to construct examples to show that for any pair of nonnegative integers m and n there is a knot of 4-genus m with a…