arXiv research

Quantum channels' contraction under privacy constraints studied.

This work studies the contraction coefficients of Schrödinger bridge problems in linear systems.

Develops a contraction framework for MCMC mixing rates.

LDP is equivalent to contraction of E_γ-divergence, impacting privacy and utility.

We investigate the framework of privacy amplification by iteration, recently proposed by Feldman et al., from an information-theoretic lens. We demonstrate that differential privacy guarantees of iterative mappings can be determined by a direct application of contraction coefficients derived from strong data processing…

We study $E_γ$-divergence contraction and its privacy implications.

Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the hypothesis of range bound market is used in conjunction to Black-Scholes equation to find…

The analysis of classical consensus algorithms relies on contraction properties of adjoints of Markov operators, with respect to Hilbert's projective metric or to a related family of seminorms (Hopf's oscillation or Hilbert's seminorm). We generalize these properties to abstract consensus operators over normal cones, w…

Defines Floer homology with DG coefficients for symplectic manifolds.

We address the problem of estimating the mixing time of a Markov chain from a single trajectory of observations. Unlike most previous works which employed Hilbert space methods to estimate spectral gaps, we opt for an approach based on contraction with respect to total variation. Specifically, we estimate the contracti…

New methods improve stability of Sinkhorn algorithm in machine learning.

This paper optimizes brokerage contracts for multiple clients trading a single asset.

Bayesian posterior contraction rates improve with decreasing tails

Paper proposes a new descriptor for early trajectory characterization in matrix iterations.

The paper explores optimal insurance contracts using various deviation measures.

The paper solves a complex control problem with stochastic elements and switching conditions.

New MKABSDEs help calculate initial margins in financial contracts.

New stability theory for Sinkhorn semigroups with explicit decay rates.

Extends six operations to sheaves in any symmetric monoidal category.

This study reveals statistical patterns in ERC20 token transactions on Ethereum blockchain.

The paper proves conditions for the existence of small Urysohn width hypersurfaces in manifolds with positive scalar curvature.

We prove comparison theorems for the sub-Riemannian distortion coefficients appearing in interpolation inequalities. These results, which are equivalent to a sub-Laplacian comparison theorem for the sub-Riemannian distance, are obtained by introducing a suitable notion of sub-Riemannian Bakry-Émery curvature. The model…

The compact curves of an intermediate Kato surface $S$ form a basis of $H^2(S,\mathbb Q)$. We present a way to compute the associated rational coefficients of the first Chern class $c_1(S)$. We get in particular a simple geometric obstruction for $c_1(S)$ to be an integral class, or equivalently index$(S)=1$. We also f…

Defines natural tensors for submanifolds of pseudo-Riemannian manifolds.

We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futures contracts, we add expiry-dependent exponential damping factors to their volatility coefficients. The pricing of single underlying Europea…

We characterize the price of an Asian option, a financial contract, as a fixed-point of a non-linear operator. In recent years, there has been interest in incorporating changes of regime into the parameters describing the evolution of the underlying asset price, namely the interest rate and the volatility, to model sud…

The paper proves inequalities for optimal transport on sub-Finslerian manifolds.

We study the behaviour of differential forms in a manifold having at least one of their maximal isotropic local distributions endowed with the special algebraic property of being decomposable. We show that they can be represented as the sum of a form with constant coefficients and one that vanishes whenever contracted …

The main result of this paper is that any $3$-dimensional manifold with a finite group action is equivariantly, invertibly homology cobordant to a hyperbolic manifold; this result holds with suitable twisted coefficients as well. The following two consequences motivated this work. First, there are hyperbolic equivarian…

We propose a framework for the linear prediction of a multi-way array (i.e., a tensor) from another multi-way array of arbitrary dimension, using the contracted tensor product. This framework generalizes several existing approaches, including methods to predict a scalar outcome from a tensor, a matrix from a matrix, or…

Valuing FF contracts in time-dependent models

The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk characterized by a stochastic diffusion coefficient and constrained to a given value o…

Groups $Π_k(X;σ)$ of "flagged homotopies" are introduced of which the usual (abelian for $k>1$) homotopy groups $π_k(X;p)$ is the limit case for flags $σ$ contracted to a point $p$. Calculus of exterior forms with values in algebra $A$ is developped of which the limit cases are differential forms calculus (for $A=\bb R…

We define lines of minima in the thick part of Outer space for the free group Fn with n>2 generators. We show that these lines of minima are contracting for the Lipschitz metric. Every fully irreducible outer automorphism of Fn defines such a line a minima. Now let G be a subgroup of the outer automorphism group of Fn …

A new model for forward curves captures behavior through a single equation.

The sum-product or belief propagation (BP) algorithm is a widely used message-passing technique for computing approximate marginals in graphical models. We introduce a new technique, called stochastic orthogonal series message-passing (SOSMP), for computing the BP fixed point in models with continuous random variables.…

Develops a new multivariate regression model for complex outcomes.

We give convergence guarantees for estimating the coefficients of a symmetric mixture of two linear regressions by expectation maximization (EM). In particular, we show that the empirical EM iterates converge to the target parameter vector at the parametric rate, provided the algorithm is initialized in an unbounded co…

We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the exploitation to a private consortium, or the firm supports the debt and the investment but outsources the exploitation. We prove the existence…

The paper explores coalescent contractions in contractible spaces, providing criteria and examples.

Computable contracts simplify financial transactions and reduce legal costs.

In an online contract selection problem there is a seller which offers a set of contracts to sequentially arriving buyers whose types are drawn from an unknown distribution. If there exists a profitable contract for the buyer in the offered set, i.e., a contract with payoff higher than the payoff of not accepting any c…

Many systems of different nature exhibit scale free behaviors. Economic systems with power law distribution in the wealth is one of the examples. To better understand the working behind the complexity, we undertook an empirical study measuring the interactions between market participants. A Web server was setup to admi…

Optimal execution strategy for merger & acquisition contracts with price impact.

This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk measures are conditioned on …

We survey the recent results and current issues on the topological rigidity problem for closed aspherical manifolds, i.e., connected closed manifolds whose universal coverings are contractible. A number of open problems and conjectures are presented during the course of the discussion. We also review the status and app…

In this paper we prove the knight move theorem for the chromatic graph cohomologies with rational coefficients introduced by L. Helme-Guizon and Y. Rong. Namely, for a connected graph G with n vertices the only non-trivial cohomology groups $H^{i,n-i}(G)$, $H^{i,n-i-1}(G)$ come in isomorphic pairs: $H^{i,n-i}(G)\cong H…

This paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.