Comonotonic allocations are restored under certain constraints, improving risk-sharing.
problem Feasibility constraints can distort optimal risk-sharing allocations.
method Identified componentwise convex-order solidity as a sufficient condition to restore comonotonic allocations.
result Componentwise convex-order solidity ensures comonotonic improvements under feasible constraints.
Sharp comparison for sub-Gaussian random variables in convex order.
problem Comparing sub-Gaussian random variables in convex order.
method Proving dominance using moment generating functions and convex functions.
result Sharp comparison established between specific sub-Gaussian random variables.
Optimal transport theory characterizes convex order between probability measures.
problem Characterizing convex order between probability measures using optimal transport.
method Quantitative bounds on optimal transport, infimum of functionals over 1-Lipschitz functions.
result Two measures are in convex order if and only if a specific cost functional inequality holds.
Paper finds optimal transport measures for arbitrage strategies.
problem Link between convex order and arbitrage strategies.
method Develops algorithms and models for finding optimal transport measures.
result Constructs a model-independent arbitrage strategy.
The paper extends Strassen's theorem to include biased martingales for American options.
problem Existence of martingales for arbitrage-free prices of American options.
method Derives an extension of Strassen's theorem linking biased martingales to strengthened convex order.
result Characterizes the strengthened convex order through integrals with respect to compensated Poisson processes.
Paper optimizes portfolio selection with ICX order constraints.
problem Minimizing portfolio variance with ICX order constraints.
method Optimal and efficient portfolios are derived in closed form.
result Closed-form solutions for optimal and efficient portfolios.
We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally independent increments and symmetric jump measure, then its discrete realized variance…
Study on convex ordering in stochastic control for swing contracts, proving value function convexity.
problem Pricing of swing contracts under stochastic dynamics.
method Discrete-time stochastic optimal control problem, convexity propagation, Brownian diffusion model, Stein's formula.
result Value function is convex in underlying asset price, relaxation of convexity assumption for semi-convexity.
New characterization of second-order stochastic dominance with applications in risk management.
problem Characterizing second-order stochastic dominance.
method Properties of Expected Shortfall risk measures.
result New interpretation and proof techniques for second-order stochastic dominance.
It has often been stated that, within the class of continuous stochastic volatility models calibrated to vanillas, the price of a VIX future is maximized by the Dupire local volatility model. In this article we prove that this statement is incorrect: we build a continuous stochastic volatility model in which a VIX futu…
In this paper, for μ and ν two probability measures on Rd with finite moments of order ρ≥1, we define the respective projections for the Wρ-Wasserstein distance of μ and ν on the sets of probability measures dominated by ν and of probability measures larger than μ in the convex order. Th…
We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their interpretations. We focus on the convex…
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class (D) as a conditional expectation of some running supremum process. As an application, we show how the Max-Plus supermartingale decomposition allows…
In this note we establish some appropriate conditions for stochastic equality of two random variables/vectors which are ordered with respect to convex ordering or with respect to supermodular ordering. Multivariate extensions of this result are also considered.
Characterizes symmetric Bernoulli distributions with minimal convex sums.
problem Understanding minimal dependence among Bernoulli random vectors.
method Geometric and algebraic representations of multivariate symmetric Bernoulli distributions.
result Characterizes extremal negative dependence and builds minimal dependence copulas.
Identifies Heegaard Floer homology solid tori via Dehn fillings.
problem Characterizing Heegaard Floer homology solid tori.
method Using Dehn fillings to identify solid tori.
result Characterized Seifert fibered Heegaard Floer solid tori.
Paper compares credit portfolio risks using robust Bernoulli mixture models.
problem Tackles risk bounds and comparison of credit portfolio losses.
method Uses Bernoulli mixture models with conditional independence and stochastic increasing defaults.
result Provides conditions for comparing conditional default probabilities and portfolio losses.
A new relaxed framework for pricing illiquid derivatives using bid-ask spreads.
problem Pricing illiquid derivatives with realistic bounds and hedging prices.
method Introducing Bid--Ask Martingale Optimal Transport (BAMOT) that relaxes the exact calibration of model marginals to mid-prices of vanilla options.
result BAMOT yields realistic price bounds and superhedging prices for illiquid derivatives.
Numerical observations on martingale couplings are confirmed under certain conditions.
problem Understanding the validity of numerical observations on maximizers and minimizers of martingale couplings.
method Investigation of sufficient conditions and counterexamples for the property to hold.
result The non-decreasing property of martingale couplings is preserved for maximizers under specific conditions.
Introduces GG-convex risk measures and derives their dual representations.
problem Defining and studying GG-convex risk measures.
method Introduces GG-convex conjugate, derives dual representations, and studies Orlicz risk measures.
result Derives a general dual representation for GG-convex risk measures.
Proves NP and co-NP status for knot core recognition in solid torus.
problem Determining if a knot is the core of a solid torus.
method Alternate proof and corollary of Hopf link recognition problem.
result Proves NP and co-NP status for solid torus core recognition problem.
Expands learning paradigm to stochastic orders using Choquet-Toland distance and Variational Dominance Criterion.
problem Learning high-dimensional distributions with stochastic orders.
method Introduces Choquet-Toland distance and Variational Dominance Criterion, uses input convex maxout networks (ICMNs).
result Proposes surrogates for Choquet-Toland distance and Variational Dominance Criterion with parametric rates.
New theorem for 4D links simplifies characterisation problem.
problem Long-standing open problem in link characterisation.
method Reidemeister Theorem for solid ribbon torus links.
result Complete characterisation of a related class of links.
We consider the solid angle that a planar compact subset subtends at a point in a level set of height h and study two extremal problems for the solid angle. One of the variables is a point in such a plane, that is, we study the properties of the solid angle maximizer. The other is the pair of a planar compact subset an…
A new method for averaging probability distributions based on optimal weak mass transport.
problem Averaging probability distributions in a geometric way.
method Weak barycenters based on optimal weak mass transport.
result Extracts common geometric information shared by all input distributions.
Classifies small links in an unmarked solid torus.
problem Classifying knots and links in an unmarked solid torus.
method Invariants and Dehn twists to detect and transform links.
result Classification of all non-split links up to 6 crossings.
New method constructs Seifert solids from bridge trisections.
problem Constructing Seifert solids from bridge trisections.
method Adapting Seifert's algorithm to tri-plane diagrams.
result Classification results on surface decomposability and unknottedness.
We show that in any triangulation of a solid torus, there is a pre-core curve that lies in the 2-skeleton and that intersects the interior of each face in at most 10 straight arcs. By definition, a pre-core curve is a simple closed curve that becomes a core curve when a collar is attached to the boundary of the solid t…
The paper classifies all tight contact structures on a solid torus.
problem Classifying tight contact structures on a solid torus with specified dividing sets.
method Writing down a closed formula for the number of non-isotopic tight contact structures with any given dividing set.
result The complete classification of tight contact structures on a solid torus.
Study Murasugi sum in 4D for knotted surfaces, defining arborescent surfaces.
problem Defining and understanding Murasugi sum in 4D for knotted surfaces.
method Introduced a 4D Murasugi sum to define arborescent knotted surfaces.
result Defined and studied arborescent knotted surfaces using 4D Murasugi sum.
Geometrically reformulates Cosserat solid mechanics using differential geometry.
problem Formalizing Cosserat solid mechanics in modern differential geometry.
method Formulation as a principal fibre bundle, using Cartan's magic formula, and integrating infinitesimal strains.
result Reveals strain as a Lie algebra-valued one-form and finite strain through integration.
The paper introduces surfaces with constant solid angle for designing shell structures.
problem Designing shell structures with balanced structural, spatial, aesthetic, and construction requirements.
method Proposes surfaces defined by constant solid angle at all points, using Gauss-Bonnet theorem and Newton's method.
result Constant solid angle surfaces enable control over boundary slope and span-to-height ratio, making them structurally viable.
Improves risk and variability measures continuity and consistency.
problem Improving the continuity and consistency of risk and variability measures.
method Analyzes convex and order bounded above functionals on Frechet lattices and Orlicz spaces.
result Order-continuous, law-invariant functionals on Orlicz spaces are strongly consistent everywhere.
We describe the deformation space of a solid torus with boundary modelled on convex ideal hyperbolic polyhedra. This deformation space is given by natural Gauss--Bonnet type inequalities on the dihedral angles. The result extends to solid tori with an arbitrary conical singularity along the core. Our method is to decom…
This note generalizes the visual angle to convex sets in 3D space.
problem Analyzing geometric properties of convex sets in 3D space.
method Generalizing the visual angle to convex sets in Euclidean space and expressing geometric quantities in terms of integrals of functions related to the solid angle.
result Invariant quantities of the original convex set can be expressed by integrals of functions related to the solid angle.
We interpret Coxeter's truncated braid groups in terms of Platonic solids.
problem Understanding the structure of truncated braid groups.
method Topological interpretation using orbifolds.
result Connection between truncated braid groups and Platonic solids.
Normalizing flows model atomic solids without needing ground-truth samples.
problem Modeling atomic solids without ground-truth samples.
method Normalizing flows to transform a base distribution into the target solid.
result Excellent agreement between model estimates and literature values for Helmholtz free energy.
The paper evaluates homology for links in a solid torus with special boundary conditions.
problem Evaluating homology for links in a solid torus with specific boundary conditions.
method Using foam evaluation, the paper describes equivariant SL(2) and SL(3) homology for links in the solid torus with a distinguished line.
result Generators of state spaces for annular webs are represented by foams with boundary intersecting a distinguished line, contributing additional terms to the foam evaluation.
Researchers describe how special conic bundles deform into double solids.
problem Understanding the versal deformation of conic bundles over 3CP2. method Explicit description of deformation in a general context.
result Explicit description of the deformation of conic bundles into double solids.
We introduce the notion of rational links in the solid torus. We show that rational links in the solid torus are fully characterized by rational tangles, and hence by the continued fraction of the rational tangle. Furthermore, we generalize this by giving an infinite family of ambient isotopy invariants of colored diag…
We use the topological invariant of spatial graphs introduced by S. Yamada to find necessary conditions for a spatial graph to be periodic with a prime period. The proof of the main result is based on computing the Yamada skein algebra of the solid torus then proving that this algebra injects into the Kauffman bracket …
Formula connects knot invariant to Lefschetz number, proving special case for Seifert solids.
problem Establishing a formula relating Miyazawa's knot invariant to Lefschetz number.
method Using monopole Floer homology with Pin(2)-equivariant perturbations and integer coefficients.
result Proves ∣deg∣=1 for certain 2-knots in S4 with specific Seifert solid properties. Extends Frohman and Rannard's result to Seifert fiber spaces with singular surfaces.
problem Characterize essential surfaces in Seifert fiber spaces with singular surfaces.
method Extends Frohman and Rannard's approach to handle surfaces with singular fibers.
result Characterizes essential surfaces in Seifert fiber spaces with singular surfaces.
Maps from rational homology solid tori yield rank inequalities in Heegaard Floer homology.
problem Rank inequalities in Heegaard Floer homology.
method Using Hanselman-Rasmussen-Watson's bordered Floer homology, we extend their proof to rational homology solid tori.
result We provide rank inequalities for Heegaard Floer homology.
We construct new embedded self-shrinkers of genus 3, 5, 7, 11 and 19 using variational methods. Our self-shrinkers resemble doublings of the Platonic solids and were discovered numerically by D. Chopp in 1994.
This paper explores historical and philosophical aspects of angles and solid angles, inspired by Euler's work.
problem Understanding the historical context and philosophical implications of angles and solid angles.
method Historical review and analysis of mathematical and philosophical works.
result Questions raised by Euler about angles and solid angles are timeless and relevant to modern mathematics.
Study on knots in contact manifolds, focusing on their width and thickness.
problem Understanding the width and thickness of knots in contact manifolds.
method Analyzing solid tori, defining width, and comparing it to Thurston-Bennequin invariant.
result Existence of non-thickenable tori in various knot types.
Skeleta of Platonic solids are factored into spheres.
problem Factor Platonic polytope skeletons into canonical spheres.
method Explicit construction and application of Keevash's design theorem.
result Existence and construction of sphere factorizations for Platonic polytope skeletons.