A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New path-gradient estimator for continuous normalizing flows.
Following the work of Cano and Diaz, we consider a continuous analog of lattice path enumeration. This allows us to define a continuous version of any discrete object that counts certain types of lattice paths. We define continuous versions of binomials and multinomials, and describe some identities and partial differe…
Solves complex Monge-Ampère equation for Kähler-Ricci solitons.
A new method for portfolio allocation in continuous-time markets.
Solves complex equation for specific geometric solitons.
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths of Brownian motion. We do not make any stochastic assumptions and only assume t…
Paper explores rough path theory for frictionless markets, linking NCFL to unbiased rough integrators.
This paper deals with the question of analytic continuation of holonomy germs of holomorphic foliations. We prove that for a quasi-minimal Riccati foliation of the complex projective plane, any holonomy germ of the foliation between complex projective lines can be analytically continued along a generic Brownian path.
Study continuous paths in discrete subgroups of hyperbolic space, proving combination and decomposition theorems.
This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other probabilistic notions. Our purely analytic framework allows for the derivation of a path…
Universal approximation for rough paths and Lévy processes.
The paper proves signatures of non-geometric rough paths can approximate functionals uniformly.
New proof shows path-connectedness of actions on intervals and circles.
This article introduces proximal cell complexes in a hyperconnected space. Hyperconnectedness encodes how collections of path-connected sub-complexes in a Alexandroff-Hopf-Whitehead CW space are near to or far from each other. Several main results are given, namely, a hyper-connectedness form of CW (Closure Finite Weak…
Representations based on random walks can exploit discrete data distributions for clustering and classification. We extend such representations from discrete to continuous distributions. Transition probabilities are now calculated using a diffusion equation with a diffusion coefficient that inversely depends on the dat…
It is increasingly common to encounter data from dynamic processes captured by static cross-sectional measurements over time, particularly in biomedical settings. Recent attempts to model individual trajectories from this data use optimal transport to create pairwise matchings between time points. However, these method…
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A path-integral-type expression for option prices is obtained using a Brownian bridge representa…
The paper examines ellipticity of specific equations on vector bundles.
Kernel for Lévy rough paths derived from PDE system.
Flow Matching enables robust training of CNFs with various probability paths.
We consider a continuous path of bounded symmetric Fredholm bilinear forms with arbitrary endpoints on a real Hilbert space, and we prove a formula that gives the spectral flow of the path in terms of the spectral flow of the restriction to a finite codimensional closed subspace. We also discuss the case of restriction…
The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a tube/band, the center of which is stipulated by a given path, is analytically eval…
We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G-expectation, and an optional sampling theorem that…
A bounded curvature path is a continuously differentiable piecewise path with a bounded absolute curvature that connects two points in the tangent bundle of a surface. In this work, we analyze the homotopy classes of bounded curvature paths for points in the tangent bundle of the Euclidean plane. We show the exis…
We establish a new partial -estimate along a continuity path mixed with conic singularities along a simple normal crossing divisor and a positive twisted -form on Fano manifolds. As an application, this estimate enables us to show the reductivity of the automorphism group of the limit space, which leads t…
Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary variable Gibbs sampler. Our approach is based on the idea of uniformization, and sets…
New framework for fairness in continuous protected attributes.
The symmetries of paths in a manifold are classified with respect to a given pointwise proper action of a Lie group on . Here, paths are embeddings of a compact interval into . There are at least two types of symmetries: Firstly, paths that are parts of an integral curve of a fundamental vector field on $…
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized financial security with continuous price path, without making any stochastic assumptions. It is shown that typical price …
Generative model for TPPs using signatures and distributional discrepancies.
In this paper, we report a "new" continuity path which links the constant scalar curvature equation to a second order elliptic equation. This is largely an expository article where we describes various aspects of geometry and analysis associated with path.
We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result that is exploited to quickly price arbitrary continuous payoffs. This approach …
Study on Kähler metrics on ruled surfaces, proving existence and non-existence.
Characterizes paths minimizing anisotropic lengths in Euclidean space.
Paper introduces a new outer measure for continuous price paths with instant enforcement.
Study Fourier estimator for spot volatility with unbounded coefficients and jumps.
Extends Itô's formula for path-dependent functions in finance.
Quantum computing speeds up analysis of financial stochastic processes.
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 …
This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain a simple expression for the equity premium and derive a version of the capital a…
The notion of a locally continuously perfect group is introduced and studied. This notion generalizes locally smoothly perfect groups introduced by Haller and Teichmann. Next, we prove that the path connected identity component of the group of all homeomorphisms of a manifold is locally continuously perfect. The case o…
We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. …
Using techniques from the theories of convex polytopes, lattice paths, and indirect influences on directed manifolds, we construct continuous analogues for the binomial coefficients and the Catalan numbers. Our approach for constructing these analogues can be applied to a wide variety of combinatorial sequences. As an …
We use Karhunen-Loève expansion for efficient pricing of exotic derivatives.
Recently proposed budding tree is a decision tree algorithm in which every node is part internal node and part leaf. This allows representing every decision tree in a continuous parameter space, and therefore a budding tree can be jointly trained with backpropagation, like a neural network. Even though this continuity …
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European options. The continuity properties of rough-paths allow us to generali…
Path-dependent PDEs model VIX and Realised Variance options.
In this paper, we recover sparse signals from their noisy linear measurements by solving nonlinear differential inclusions, which is based on the notion of inverse scale space (ISS) developed in applied mathematics. Our goal here is to bring this idea to address a challenging problem in statistics, \emph{i.e.} finding …