arXiv research

The paper explores symplectic geometry of Cartan-Hartogs domains.

In decision under risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this paper, we show that in canonical non-EU models dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute ris…

By specifying model free preferences towards simple nested classes of lottery pairs, we develop the dual story to stand on equal footing with that of (primal) risk apportionment. The dual story provides an intuitive interpretation, and full characterization, of dual counterparts of such concepts as prudence and tempera…

We argue that Horava-Lifshitz (HL) gravity provides the minimal holographic dual for Lifshitz-type field theories with anisotropic scaling and dynamical exponent z. First we show that Lifshitz spacetimes are vacuum solutions of HL gravity, without need for additional matter. Then we perform holographic renormalization …

Extends polydisk theorem to Hartogs domains over symmetric domains.

A diffeological connection on a diffeological vector pseudo-bundle is defined just the usual one on a smooth vector bundle; this is possible to do, because there is a standard diffeological counterpart of the cotangent bundle. On the other hand, there is not yet a standard theory of tangent bundles, although there are …

We define holomorphic quadratic differentials for spacelike surfaces with constant mean curvature in the Lorentzian homogeneous spaces $\mathbb{L}(κ,τ)$ with isometry group of dimension 4, which are dual to the Abresch-Rosenberg differentials in the Riemannian counterparts $\mathbb{E}(κ,τ)$, and obtain some consequence…

We study dual-based algorithms for distributed convex optimization problems over networks, where the objective is to minimize a sum $\sum_{i=1}^{m}f_i(z)$ of functions over in a network. We provide complexity bounds for four different cases, namely: each function $f_i$ is strongly convex and smooth, each function is ei…

In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial and final time, we optimise our cost function given the prices of a finite number…

Dual representation and properties of expectile-based expected shortfall studied.

The paper calibrates SPX and VIX options using optimal transport.

We develop a theory of "quasi"-Hamiltonian G-spaces for which the moment map takes values in the group G itself rather than in the dual of the Lie algebra. The theory includes counterparts of Hamiltonian reductions, the Guillemin-Sternberg symplectic cross-section theorem and of convexity properties of the moment map. …

We introduce a type of Riemannian geometry in nine dimensions, which can be viewed as the counterpart of selfduality in four dimensions. This geometry is related to a 9-dimensional irreducible representation of ${\bf SO}(3) \times {\bf SO} (3)$ and it turns out to be defined by a differential 4-form. Structures admitti…

Recent several years have witnessed the surge of asynchronous (async-) parallel computing methods due to the extremely big data involved in many modern applications and also the advancement of multi-core machines and computer clusters. In optimization, most works about async-parallel methods are on unconstrained proble…

New algorithm learns optimal resource allocation in wireless systems without models.

New method improves optimization algorithms without Lipschitz smoothness.

We study the notion of duality in the context of graded manifolds. For graded bundles, somehow like in the case of Gelfand representation and the duality: points vs. functions, we obtain natural dual objects which belongs to a different category than the initial ones, namely graded polynomial (co)algebra bundles and fr…

We propose a multi-wing harmonium model for mining multimedia data that extends and improves on earlier models based on two-layer random fields, which capture bidirectional dependencies between hidden topic aspects and observed inputs. This model can be viewed as an undirected counterpart of the two-layer directed mode…

New illumination bodies defined for ball-convex shapes, proving convexity and establishing surface area measures.

We consider a diffeological counterpart of the notion of a vector bundle (we call this counterpart a pseudo-bundle, although in the other works it is called differently; among the existing terms there are a "regular vector bundle" of Vincent and "diffeological vector space over X" of Christensen-Wu). The main differenc…

Extends mean curvature to surfaces in Riemann-Cartan geometry with torsion.

Solves non-Archimedean Calabi-Yau equation on complex log pairs.

We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be formulated as a composite pure hypothesis testing problem. We analyze the connecti…

The paper establishes general results in Lorentzian optimal transport theory.

Discrete analogues of ellipsoids with preserved circular cross sections.

Geometric Bass martingales linked to Brownian motion and geometric Brownian motion.

Variational problems that involve Wasserstein distances and more generally optimal transport (OT) theory are playing an increasingly important role in data sciences. Such problems can be used to form an examplar measure out of various probability measures, as in the Wasserstein barycenter problem, or to carry out param…

Paper proposes a dual-level approach for multi-step forecasting of dynamical systems.

Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set. Intrin…

Sum formula for relative Seiberg-Witten invariants in 4-manifolds.

New resurgent analysis reveals dual $q$-series for Chern-Simons theory crossing natural boundaries.

The amount of data available in the world is growing faster than our ability to deal with it. However, if we take advantage of the internal \emph{structure}, data may become much smaller for machine learning purposes. In this paper we focus on one of the fundamental machine learning tasks, empirical risk minimization (…

We define a new theory of discrete Riemann surfaces and present its basic results. The key idea is to consider not only a cellular decomposition of a surface, but the union with its dual. Discrete holomorphy is defined by a straightforward discretisation of the Cauchy-Riemann equation. A lot of classical results in Rie…

Paper tackles constrained learning with non-convex losses, overcoming challenges with new approach.

This work evaluates risks over time using robust measures and neural networks.

New approach to T-duality using Courant algebroids.

Paper develops efficient algorithms for robust optimization across multiple groups.

We derive the quantum Teichmüller space, previously constructed by Kashaev and by Fock and Chekhov, from tensor products of a single canonical representation of the modular double of the quantum plane. We show that the quantum dilogarithm function appears naturally in the decomposition of the tensor square, the quantum…

We consider one possible definition of a diffeological connection on a diffeological vector pseudo-bundle. It is different from the one proposed in [7] and is in fact simpler, since it is obtained by a straightforward adaption of the standard definition of a connection as an operator on the space of all smooth sections…

Extends martingale Schrödinger bridge to arbitrary dimensions and characterizes it.

New method estimates Schrödinger bridge potentials via empirical risk minimization.

Introduces Lambda Expected Shortfall as a risk measure generalizing ES.

We present a construction of a 2-Hilbert space of sections of a bundle gerbe, a suitable candidate for a prequantum 2-Hilbert space in higher geometric quantisation. We introduce a direct sum on the morphism categories in the 2-category of bundle gerbes and show that these categories are cartesian monoidal and abelian.…

Unified framework for robust risk measures beyond convexity.

Solves curvature equations using parabolic flows in various spaces.

Market impact is reduced when orders are filled with concentrated counterparts.

The main aim of this survey paper is to gather together some results concerning the Calabi type duality discovered by Hojoo Lee between certain families of (spacelike) graphs with constant mean curvature in Riemannian and Lorentzian homogeneous 3-manifolds with isometry group of dimension 4. The duality is conformal an…

The paper approximates Levi-Civita connection and curvature on 2D manifolds using finite elements.