arXiv research

We prove that a local Hamiltonian operator of hydrodynamic type K_1 is compatible with a nondegenerate local Hamiltonian operator of hydrodynamic type K_2 if and only if the operator K_1 is locally the Lie derivative of the operator K_2 along a vector field in the corresponding domain of local coordinates. This result …

Generalizes Riemann-Hilbert correspondence for curved local systems.

We derive a blow-up formula for the de Rham cohomology of a local system of complex vector spaces on a compact complex manifold. As an application, we obtain the blow-up invariance of $E_{1}$-degeneracy of the Hodge-de Rham spectral sequence associated to a local system of complex vector spaces.

New method constructs axial vector fields and defines quasi-local spin-angular momentum.

Physical systems are modelled and investigated within simulation software in an increasing range of applications. In reality an investigation of the system is often performed by empirical test scenarios which are related to typical situations. Our aim is to derive a method which generates diverse test scenarios each re…

Analog forecasting uses local dynamics to predict chaotic systems.

Develops Morse homology with DG coefficients for manifolds and spaces.

This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. In a semi-Markov modulated GBM model the locally risk minimizing price function satisfies a…

We formulate and analyze a multi-agent model for the evolution of individual and systemic risk in which the local agents interact with each other through a central agent who, in turn, is influenced by the mean field of the local agents. The central agent is stabilized by a bistable potential, the only stabilizing force…

Derives PDEs from data using manifold learning and neural networks.

Given a Poisson structure (or, equivalently, a Hamiltonian operator) $P$, we show that its Lie derivative $L_τ(P)$ along a vector field $τ$ defines another Poisson structure, which is automatically compatible with $P$, if and only if $[L_τ^2(P),P]=0$, where $[\cdot,\cdot]$ is the Schouten bracket. We further prove that…

Article provides Bernstein gradient estimates for heat equations with potential terms.

We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices …

Extends curve theory to non-smooth data with finite curvature and torsion.

Consider the following coupled elliptic system of equations \begin{equation*} \label{} (-Δ)^s u_i = (u^2_1+\cdots+u^2_m)^{\frac{p-1}{2}} u_i \quad \text{in} \ \ \mathbb{R}^n , \end{equation*} where $0<s\le 2$, $p>1$, $m\ge1$, $u=(u_i)_{i=1}^m$ and $u_i:\mathbb R^n\to \mathbb R$. The qualitative behavior of solutions of…

We first discuss the problems in the theory of ordinary differential equations that gave rise to the concept of a flag system and illustrate these with the Cartan criterion for Monge equations (1st order) as well as the Cartan statement concerning the local equivalence of Monge-Ampère type equations (2nd order). Next, …

Novel method for shape optimization of non-smooth PDEs.

The paper discusses $q$-deformations of the Aomoto complex.

We describe an $A_\infty$-quasi-equivalence of dg-categories between the first authors' $\mathcal{P}_{\mathcal{A}}$ ---the category of category of prefect $A^0$-modules with flat $\Z$-connection, corresponding to the de Rham dga $\mathcal{A}$ of a compact manifold $M$--- and the dg-category of \emph{infinity-local syst…

Study derived Lie ∞-groupoids and algebroids in higher differential geometry.

In this work we show that the systems of balance equations (balance systems) of continuum thermodynamics occupy a natural place in the variational bicomplex formalism. We apply the vertical homotopy decomposition to get a local splitting (in a convenient domain) of a general balance system as the sum of a Lagrangian pa…

A general class of Newton algorithms on Graßmann and Lagrange-Graßmann manifolds is introduced, that depends on an arbitrary pair of local coordinates. Local quadratic convergence of the algorithm is shown under a suitable condition on the choice of coordinate systems. Our result extends and unifies previous convergenc…

The paper explores the geometry of holomorphic flows and orbits.

In this paper, we introduce local expressions for discrete Mechanics. To apply our results simultaneously to several interesting cases, we derive these local expressions in the framework of Lie groupoids, following the program proposed by Alan Weinstein in [19]. To do this, we will need some results on the geometry of …

Study the averaging principle for non-autonomous slow-fast systems and apply it to financial local stochastic volatility models.

Geometric mechanics approach to constrained and floating multibody systems using Hamel's equations.

We study the question of well-posedness of the Cauchy problem for Schrödinger maps from $\rone \times \rtwo$ to the sphere $\stwo$ or to ${\mathbb H^2}$, the hyperbolic space. The idea is to choose an appropriate gauge change so that the derivatives of the map will satisfy a certain nonlinear Schrödinger system of equa…

LOL-GP model improves surrogate modeling of expensive simulators.

Multiple sclerosis (MS) is an inflammatory demyelinating disease of the central nervous system (CNS) that results in focal injury to the grey and white matter. The presence of white matter lesions biases morphometric analyses such as registration, individual longitudinal measurements and tissue segmentation for brain v…

The classical Sturm-Hurwitz-Kellogg theorem asserts that a function, orthogonal to an n-dimensional Chebyshev system on a circle, has at least n+1 sign changes. We prove the converse: given an n-dimensional Chebyshev system on a circle and a function with at least n+1 sign changes, there exists an orientation preservin…

The paper introduces a new concept of infinitesimal homogeneity for connections on bundles and applies it to prove known theorems and derive new results.

Modeling financial systemic risk with optimal control theory for stability.

The action principle by Low [Proc. R. Soc. Lond. A 248, 282--287] for the classic Vlasov-Maxwell system contains a mix of Eulerian and Lagrangian variables. This renders the Noether analysis of reparametrization symmetries inconvenient, especially since the well-known energy- and momentum-conservation laws for the syst…

New quantum kernels avoid overfitting by combining local and global components.

Breaks down complex nonlinear dynamics into simpler components.

New superintegrable systems derived from Frobenius structures.

Paper proves a Cohen-Dimca-Orlik type theorem for Z-local systems of hyperplane arrangements.

We study which geometric structure can be constructed from the vierbein (frame/coframe) variables and which field models can be related to this geometry. The coframe field models, alternative to GR, are known as viable models for gravity, since they have the Schwarzschild solution. Since the local Lorentz invariance is…

We introduce Embed to Control (E2C), a method for model learning and control of non-linear dynamical systems from raw pixel images. E2C consists of a deep generative model, belonging to the family of variational autoencoders, that learns to generate image trajectories from a latent space in which the dynamics is constr…

We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random markets using techniques borrowed from statistical mechanics of disordered systems. …

First BGG operators are a large class of overdetermined linear differential operators intrinsically associated to a parabolic geometry on a manifold. The corresponding equations include those controlling infinitesimal automorphisms, higher symmetries, and many other widely studied PDE of geometric origin. The machinery…

Let $L$ be a closed, orientable, monotone Lagrangian 3-manifold of a symplectic manifold $(M, ω)$, for which there exists a local system such that the corresponding Lagrangian quantum homology vanishes. We show that its cohomology ring satisfies a certain dichotomy, which depends only on the parity of the first Betti n…

The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process. Still in this new model it is possible to derive an ordinary differential equation for the option price which plays a role of Dupire's equation for the standard local volat…

We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the linearity-generating unspanned volatility term structure model by Carr et al. (2011) by a…

On a Möbius surface, as defined by D. Calderbank, we study a variant of the Einstein-Weyl (EW) equation which we call scalar-flat Möbius EW (sf-MEW). This is a conformally invariant, finite type, overdetermined system of semi-linear partial differential equations. We derive local algebraic constraints for this equation…

New techniques improve the accuracy of identifying nonlinear systems from noisy data.

Enhances CEV model pricing with high-order scheme and adaptive time stepping.

We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure and then consider the price of the quanto option. In order to take the skew/smile effect observed in …