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.
Optimal binning method for numeric targets using mathematical programming.
Lecture notes on crystallography and discrete surfaces.
We describe a mathematical link between aspects of information theory, called pairwise comparisons, and discretized gauge theories. The link is made by the notion of holonomy along the edges of a simplex. This correspondance leads to open questions in both field.
Discretization of curves is an ancient topic. Even discretization of curves with an eye toward differential geometry is over a century old. However there is no general theory or methodology in the literature, despite the ubiquitous use of discrete curves in mathematics and science. There are conflicting definitions of …
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Krühner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily formulated and implemented from the chosen discrete point of view. In mathematical t…
Perceptrons have been known for a long time as a promising tool within the neural networks theory. The analytical treatment for a special class of perceptrons started in seminal work of Gardner \cite{Gar88}. Techniques initially employed to characterize perceptrons relied on a statistical mechanics approach. Many of su…
Survey on Coxeter groups for Lie group examples.
This survey article is about discrete constant mean curvature surfaces defined by an approach related to integrable systems techniques. We introduce the notion of discrete constant mean curvature surfaces by first introducing properties of smooth constant mean curvature surfaces. We describe the mathematical structure …
This paper solves PDEs for embedding discrete lattices into smooth manifolds.
Paper generalizes discrete uniformization for genus-zero surfaces.
Paper proves discrete uniformizations converge to continuous for surfaces of genus ≥1.
Spin networks are at the core of quantum gravity. Our aim is to plug the mathematical community at large into the procedures turn to create a finite quantum theory of general relativity. For this, because of the different cultural backgraund, we would like to change the tack: to relate discrete (combinatorial) objects …
Paper solves POMDPs in continuous time and discrete spaces.
The abstract reviews financial concepts using physics.
First steps towards a mathematical theory of deep convolutional neural networks for feature extraction were made---for the continuous-time case---in Mallat, 2012, and Wiatowski and Bölcskei, 2015. This paper considers the discrete case, introduces new convolutional neural network architectures, and proposes a mathemati…
Let be a subgroup of generated by three parabolic transformations. The main goal of this paper is to present an algorithm to determine whether or not is discrete. Historically discreteness algorithms have been considered within several broader mathematical paradigms: the discreteness problem, the con…
Study proves existence and convergence of discrete-time Kyle models with multiple insiders.
The paper defines symmetries in no-arbitrage markets.
Paper studies gradient fields from discrete Morse functions for watershed-cut computation.
This is the writeup of a lecture given at the May Wisconsin workshop on mathematical aspects of orbifold string theory. In the first part of this lecture, we review recent work on discrete torsion, and outline how it is currently understood in terms of the B field. In the second part of this lecture, we discuss the rel…
Data visualization and interaction with large data sets is known to be essential and critical in many businesses today, and the same applies to research and teaching, in this case, when exploring large and complex mathematical objects. GAP is a computer algebra system for computational discrete algebra with an emphasis…
A new field of discrete differential geometry is presently emerging on the border between differential and discrete geometry. Whereas classical differential geometry investigates smooth geometric shapes (such as surfaces), and discrete geometry studies geometric shapes with finite number of elements (such as polyhedra)…
This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semi-discrete systems with non-normal matrices A. By employing the logarithmic sp…
New method calculates discrete curvature using effective resistances.
The mathematical model proposed by George Soros for his theory of reflexivity is analyzed under the framework of discrete dynamical systems. We show the importance of the notion of fixed points for explaining the behavior of a reflexive system governed by its cognitive and manipulative functions. The interrelationship …
Solves utility maximization for delayed informed investors.
Unified discrete diffusion for categorical data simplifies training and sampling.
Deep convolutional neural networks have led to breakthrough results in practical feature extraction applications. The mathematical analysis of these networks was pioneered by Mallat, 2012. Specifically, Mallat considered so-called scattering networks based on identical semi-discrete wavelet frames in each network layer…
Determinantal point processes (DPPs) are probabilistic models for repulsion. When used to represent the occurrence of random subsets of a finite base set, DPPs allow to model global negative associations in a mathematically elegant and direct way. Discrete DPPs have become popular and computationally tractable models f…
Semistatic trading strategies can be taken to limits in discrete time.
Paper proves a discrete Schwarz-Pick lemma for generalized circle packings.
In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and …
A closed linkage mechanism in three-dimensional space is an object comprising rigid bodies connected with hinges in a circular form like a rosary. Such linkages include Bricard6R and Bennett4R. To design such a closed linkage, it is necessary to solve a high-degree algebraic equation, which is generally difficult. In t…
We develop the mathematical foundations of the stochastic modified equations (SME) framework for analyzing the dynamics of stochastic gradient algorithms, where the latter is approximated by a class of stochastic differential equations with small noise parameters. We prove that this approximation can be understood math…
This work analyzes discrete diffusion models using stochastic integrals, providing error bounds and insights.
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.…
Study reconstructs Faber-Schauder coefficients from antiderivative observations.
Proposes DAM for optimizing discrete generative models.
Study approximates BSDEs with constraints using machine learning.
New metrics on curve spaces improve shape analysis.
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 …
SDE automatically recovers interpretable discrete distributions.
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic part increasing with execution volume and a positive stochastic noise pa…
The paper proves a new discrete Laplacian for 3D meshes and shows its superiority over primal construction.
Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motivation comes from two important actuarial tasks, namely a) construction …
A new model explains protein interactions via electron delocalization.
Study examines pricing strategies in competitive supply chains with discrete prices.
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem, which encompass the formulations of [Bouchard, B., & Nutz, M. (2015). Arbitrage and …