arXiv research

The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric Brownian motion sampled on uniformly spaced times in the limit of a very large number of averaging time steps.…

Derives pricing formulae for power binary and normal distribution standard options.

The Ricci tensor (Ric) is fundamental to Einstein's geometric theory of gravitation. The 3-dimensional Ric of a spacelike surface vanishes at the moment of time symmetry for vacuum spacetimes. The 4-dimensional Ric is the Einstein tensor for such spacetimes. More recently the Ric was used by Hamilton to define a non-li…

Novel bistable structures made from four-bar linkages, proving existence and construction.

In this paper, we propose a geometric integrator for nonholonomic mechanical systems. It can be applied to discrete Lagrangian systems specified through a discrete Lagrangian defined on QxQ, where Q is the configuration manifold, and a (generally nonintegrable) distribution in TQ. In the proposed method, a discretizati…

In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the minimising pricing model for certain types of Asian options in discrete and continuous…

Discrete exterior calculus shows natural properties of wedge product and averaging.

Proposes IIKL for preserving geometric properties of non-Euclidean data.

GCNs converge and remain stable on large random graphs, revealing geometric insights.

New geometric SDEs and discretizations on Riemannian manifolds with error bounds.

Discrete differential geometry aims to develop discrete equivalents of the geometric notions and methods of classical differential geometry. In this survey we discuss the following two fundamental Discretization Principles: the transformation group principle (smooth geometric objects and their discretizations are invar…

In this paper, we generalize Bonahon's characterization of geometrically infinite torsion-free discrete subgroups of PSL(2, $\mathbb{C}$) to geometrically infinite discrete subgroups $Γ$ of isometries of negatively pinched Hadamard manifolds $X$. We then generalize a theorem of Bishop to prove that every discrete geome…

We develop a geometric version of the inverse problem of the calculus of variations for discrete mechanics and constrained discrete mechanics. The geometric approach consists of using suitable Lagrangian and isotropic submanifolds. We also provide a transition between the discrete and the continuous problems and propos…

This work revisits, from a geometric perspective, the notion of discrete connection on a principal bundle, introduced by M. Leok, J. Marsden and A. Weinstein. It provides precise definitions of discrete connection, discrete connection form and discrete horizontal lift and studies some of their basic properties and rela…

This paper explores geometric insights into discrete R-congruences and their envelopes.

We propose a discretization of classical confocal coordinates. It is based on a novel characterization thereof as factorizable orthogonal coordinate systems. Our geometric discretization leads to factorizable discrete nets with a novel discrete analog of the orthogonality property. A discrete confocal coordinate system…

The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical finance. In this paper, we study the probability distributions of the infinite sum of geometric Brownian motions, the sum of …

Manifold Markov chain Monte Carlo algorithms have been introduced to sample more effectively from challenging target densities exhibiting multiple modes or strong correlations. Such algorithms exploit the local geometry of the parameter space, thus enabling chains to achieve a faster convergence rate when measured in n…

The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.

New geometric transformations link discrete and continuous curve motions.

We present sufficient conditions for topological stability of continuous functions $f:\mathbb{R}\to\mathbb{R}$ having finitely many local extrema with respect to averagings by discrete measures with finite supports.

Geometric approach uses Bäcklund transformations to create integrable discrete analogs of surface nets.

Geometric Brownian motion (GBM) is a model for systems as varied as financial instruments and populations. The statistical properties of GBM are complicated by non-ergodicity, which can lead to ensemble averages exhibiting exponential growth while any individual trajectory collapses according to its time-average. A com…

Study of Ricci flow on discrete surfaces of revolution with constant Gaussian curvature.

This paper reviews discrete curvature models for geometric data analysis.

The existence of nonconstant harmonic Dirichlet functions on a Cayley graph of a discrete group is equivalent to the nonvanishing of the first L2-cohomology of the given group. It was first proven by Cheeger and Gromov that such functions do not exists on the Cayley-graph of an amenable group. The result was extended u…

Average signature measures geodesics in Lie groups.

Discrete normal surfaces are normal surfaces whose intersection with each tetrahedron of a triangulation has at most one component. They are also natural Poincaré duals to 1-cocycles with $\ZZ/2\ZZ$-coefficients. For a fixed cohomology class in a simplicial poset the average Euler characteristic of the associated discr…

A new method for generative modeling of discrete data using geometric latent subspaces.

We describe recent links between two topics: geometric structures on manifolds in the sense of Ehresmann and Thurston, and dynamics "at infinity" for representations of discrete groups into Lie groups.

We present a geometric proof of the averaging theorem for perturbed dynamical systems on a Riemannian manifold, in the case where the flow of the unperturbed vector field is periodic and the $\mathbb{S}^{1}$-action associated to this vector field is not necessarily trivial. We generalize the averaging procedure \cite{A…

Estimates returns for dollar cost averaging using geometric Brownian motion.

We propose a natural discretisation scheme for classical projective minimal surfaces. We follow the classical geometric characterisation and classification of projective minimal surfaces and introduce at each step canonical discrete models of the associated geometric notions and objects. Thus, we introduce discrete ana…

We generalize Bonahon's characterization of geometrically infinite torsion-free discrete subgroups of PSL(2, $\mathbb{C}$) to geometrically infinite discrete isometry subgroups in the case of rank 1 symmetric spaces, and, under the assumption of bounded torsion, to the case of negatively pinched Hadamard manifolds. Eve…

Taking advantage of the recent litterature on exact simulation algorithms (Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the expectation of certain fonctional integrals (Wagner, Beskos et al. and Fearnhead et al.), we apply an exact simulation based technique for pricing continuous arithmetic average…

Based on the classical Plücker correspondence, we present algebraic and geometric properties of discrete integrable line complexes in $CP^3$. Algebraically, these are encoded in a discrete integrable system which appears in various guises in the theory of continuous and discrete integrable systems. Geometrically, the e…

We discuss discretization of Koenigs nets (conjugate nets with equal Laplace invariants) and of isothermic surfaces. Our discretization is based on the notion of dual quadrilaterals: two planar quadrilaterals are called dual, if their corresponding sides are parallel, and their non-corresponding diagonals are parallel.…

Study irregular behavior of ball averages for non-amenable group actions on foliations.

Neural networks' feature geometry evolves like discrete Ricci flow.

The study examines how average scalar curvature influences geometric properties of Riemannian manifolds.

The purpose of this paper is to describe geometrically discrete Lagrangian and Hamiltonian Mechanics on Lie groupoids. From a variational principle we derive the discrete Euler-Lagrange equations and we introduce a symplectic 2-section, which is preserved by the Lagrange evolution operator. In terms of the discrete Leg…

New discrete curves defined in space forms with geometric properties.

Given a Finsler space (M,F) on a manifold M, the averaging method associates to Finslerian geometric objects affine geometric objects} living on $M$. In particular, a Riemannian metric is associated to the fundamental tensor $g$ and an affine, torsion free connection is associated to the Chern-Rund connection. As an il…

Paper proposes a new generative model for discrete distributions using flows on submanifolds.

Optimizes AIS hyperparameters for efficient marginal likelihood estimation.

The algebraic and geometric properties of a novel generalization of Clifford's classical C4 point-circle configuration are analysed. A connection with the integrable quaternionic discrete Schwarzian Kadomtsev-Petviashvili equation is revealed.

Proves critical exponent for $Θ-$positive representations in discrete subgroups.

Study on averaging geometric structures in Finsler spaces with Lorentzian signature.