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.
De Finetti's 1931 work laid the groundwork for modern arbitrage theory.
Optimizes dividend payouts with fixed costs and regime switching.
We prove a computable version of de Finetti's theorem on exchangeable sequences of real random variables. As a consequence, exchangeable stochastic processes expressed in probabilistic functional programming languages can be automatically rewritten as procedures that do not modify non-local state. Along the way, we pro…
LLMs encode latent topic distributions, suggesting Bayesian inference.
New method identifies causal structure in exchangeable data.
The natural habitat of most Bayesian methods is data represented by exchangeable sequences of observations, for which de Finetti's theorem provides the theoretical foundation. Dirichlet process clustering, Gaussian process regression, and many other parametric and nonparametric Bayesian models fall within the remit of …
In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spect…
Concentration of infinitely exchangeable sequences with bounded-difference constants
The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative Lévy model where the implementation of optimal strategies draws upon the computation of scale functions and their derivatives. This paper proposes a phase-type fitting approximation of the optimal strategy. We con…
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided Lévy risk models. We consider de Finetti's problem in both scenarios with and without fix transaction costs, e.g. taxes. We…
Bayesian model improves classification performance with flexible uncertainty modeling.
This thesis explores supervised classification methods using Bayesian and exchangeability theories.
New algorithms use offline data to improve online decision-making with latent states.
Framework for systemic risk modeling using jointly exchangeable arrays.
New approach to optimal dividend control with mean-variance criterion.
Optimizes dividend control in a bankruptcy process using a special Levy process.
In supervised learning, an inductive learning algorithm extracts general rules from observed training instances, then the rules are applied to test instances. We show that this splitting of training and application arises naturally, in the classical setting, from a simple independence requirement with a physical interp…
We present a nonparametric prior over reversible Markov chains. We use completely random measures, specifically gamma processes, to construct a countably infinite graph with weighted edges. By enforcing symmetry to make the edges undirected we define a prior over random walks on graphs that results in a reversible Mark…
Optimizes dividends with stability for risky businesses.
Paper uses bond pricing and convexity adjustments to explain herd immunity paradox.
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model the occurrence of claims according to a Poisson process. The ruin is achieved wh…
Sequence models quantify uncertainty over latent concepts.
Data transformation, e.g. feature transformation and selection, is an integral part of any machine learning procedure. In this paper we introduce an information-theoretic model and tools to assess the quality of data transformations in machine learning tasks. In an unsupervised fashion, we analyze the transfer of infor…
Study mini-batch SGD noise and its limits, proving complexity guarantees.
Bayesian classifiers converge under certain exchangeability conditions with more data.
Solves Dirichlet problem for prescribed scalar curvature in Anti-de Sitter space
In this note, we propose Bernstein's problem and De Giorgi's conjecture for spatially inhomogeneous equations, as well as De Giorgi's conjecture for system of reaction-diffusion equations.
Study domination between non-Fuchsian surface group representations and anti-de Sitter geometry.
Estimates for spacelike hypersurfaces in de Sitter space.
Characterizes curves for minimal surfaces in de Sitter space.
Paper compares Bayesian and de-biased estimators for low-rank matrix completion.
X-TFC solves parametric DEs with neural networks and physics constraints.
Study of 2D Lorentzian anti-de Sitter plane using geometric control theory.
Classical 10d string backgrounds with a 4d de Sitter space-time, D-brane and orientifold sources, are commonly believed to satisfy the following: 1. There is no classical de Sitter solution with parallel sources. 2. Classical de Sitter solutions with intersecting sources are unstable. 3. Classical de Sitter solutions c…
Two problems concerning asymptotically hyperbolic manifolds with an inner boundary are studied. First, we study scalar curvature presciption with either Dirichlet or mean curvature prescription interior boundary condition. Then we apply those results to the Lichnerowicz equation with (future or past) apparent horizon i…
Despite being very effective in several classification tasks, Dynamic Ensemble Selection (DES) techniques can select classifiers that classify all samples in the region of competence as being from the same class. The Frienemy Indecision REgion DES (FIRE-DES) tackles this problem by pre-selecting classifiers that correc…
Proves uniqueness of certain spacetime solutions with extremal horizons.
Researchers compute de Rham cohomology of geodesic flow foliations on hyperbolic surfaces.
Study Lorentz harmonic maps and spacelike surfaces in anti-de Sitter space.
The key issue in Dynamic Ensemble Selection (DES) is defining a suitable criterion for calculating the classifiers' competence. There are several criteria available to measure the level of competence of base classifiers, such as local accuracy estimates and ranking. However, using only one criterion may lead to a poor …
Dans les années 1940-1970, Alexandrov et l'"École de Leningrad" ont développé une théorie très riche des surfaces singulières. Il s'agit de surfaces topologiques, munie d'une métrique intrinsèque pour laquelle on peut définir une notion de courbure, qui est une mesure de Radon. Cette classe de surfaces a de bonnes prop…
For certain real hypersurfaces in the projective space, of signature (1,n), we study the filling problem for small deformations of the CR structure (the other signatures being well understood). We characterize the deformations which are fillable, and prove that they have infinite codimension in the set of all CR struct…
This paper addresses pure gauge questions in the study of (asymptotically) de Sitter spacetimes. We construct global solutions to the eikonal equation on de Sitter, whose level sets give rise to double null foliations, and give detailed estimates for the structure coefficients in this gauge. We show two results which a…
We consider an impulse control problem in infinite horizon applied with switching technology. We suppose that the firm decides at certain moments (impulse moments) to switch technology, leading to a jump of the firm value. We show that the value function for such problems satisfies a dynamic programming principle versi…
We show that contact homology distinguishes infinitely many tight contact structures on any orientable, toroidal, irreducible 3-manifold. As a consequence of the contact homology computations, on a very large class of toroidal manifolds, all known examples of universally tight contact structures with nonvanishing torsi…
We describe the space of isometric immersions from the Lorentz plane into the 3-dimensional anti-de Sitter space, and solve several open problems of this context raised by M. Dajczer and K. Nomizu in 1981. We also obtain from the above result a description of the space of Lorentzian flat tori isometrically immers…
Locally-verifiable conditions ensure exactness of spline discrete de Rham complex.
On décrit ici des relations entre la géométrie globale des variétés de contact closes et celle de certaines variétés symplectiques, à savoir les variétés de Stein compactes. L'origine de ces relations est l'existence de livres ouverts adaptés aux structures de contact. We discuss relations between the global geometry o…