arXiv research

Modified condition proves no positive scalar curvature for enlargeable manifolds.

Examines insurance market development and similarity post-2004 EU enlargement.

The paper establishes new band width inequalities for Riemannian bands.

Study shows scalar curvature bounds for noncompact foliations.

We consider an enlarged dimension reduction space in functional inverse regression. Our operator and functional analysis based approach facilitates a compact and rigorous formulation of the functional inverse regression problem. It also enables us to expand the possible space where the dimension reduction functions bel…

The study shows that certain manifolds cannot have metrics with positive scalar curvature.

New method detects foliation enlargeability.

The paper confirms a conjecture about optimal expected utility in markets with insider information.

The paper surveys mathematical results on filtration enlargement with financial examples.

We generalize the famous result of Gromov and Lawson on the nonexistence of metric of positive scalar curvature on enlargeable manifolds to the case of foliations, without using index theorems on noncompact manifolds.

Paper proves nonzero foliated Rosenberg index for noncompactly enlargeable foliations.

Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by R. Norberg. In the enlargened fi…

We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as the classical density hypothesis of Jacod (1985) holds. This generalizes the ex…

In this paper, we enlarge the space of uniformly supported pseudo-differential operators on some groupoids by considering kernels satisfying certain asymptotic estimates. We show that such enlarged space contains the compact parametrix, and the generalized inverse of uniformly supported operators with Fredholm vector r…

We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point model and we give the conditions for the existence of f-divergence minimal equival…

Dynamic risk measures are defined using BSDEs in a filtration enlargement setting.

Using methods from coarse topology we show that fundamental classes of closed enlargeable manifolds map non-trivially both to the rational homology of their fundamental groups and to the K-theory of the corresponding reduced C*-algebras. Our proofs do not depend on the Baum--Connes conjecture and provide independent co…

Course on market microstructure models for students.

In a previous paper, we showed nonvaninishing of the universal index elements in the K-theory of the maximal C*-algebras of the fundamental groups of enlargeable spin manifolds. The underlying notion of enlargeability was the one from the first relevant paper of Gromov and Lawson, involving contracting maps defined on …

We present a geometrical framework which incorporates higher derivative corrections to the action of N = 2 vector multiplets in terms of an enlarged scalar manifold which includes a complex deformation parameter. This enlarged space carries a deformed version of special Kahler geometry which we characterise. The holomo…

In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to…

This paper explores how enforcing equivariance constraints limits neural network expressivity and proposes compensatory model size increases.

For several instances of metric largeness like enlargeability or having hyperspherical universal covers, we construct non-large vector subspaces in the rational homology of finitely generated groups. The functorial properties of this construction imply that the corresponding largeness properties of closed manifolds dep…

Given compact Lie groups H\subset G, we study the space of G-invariant metrics on G/H with nonnegative sectional curvature. For an intermediate subgroup K between H and G, we derive conditions under which enlarging the Lie algebra of K maintains nonnegative curvature on G/H. Such an enlarging is possible if (K,H) is a …

Closed-form solutions derived for perpetual options under insider models.

In a previous paper [Homology cylinders: an enlargement of the mapping class group, Algebr. Geom. Topol. 1 (2001) 243--270, arXiv:math.GT/0010247], a group H_g of homology cylinders over the oriented surface of genus g is defined. A filtration of H_g is defined, using the Goussarov-Habiro notion of finite-type. It is e…

We consider a homological enlargement of the mapping class group, defined by homology cylinders over a closed oriented surface (up to homology cobordism). These are important model objects in the recent Goussarov-Habiro theory of finite-type invariants of 3-manifolds. We study the structure of this group from several d…

In this paper we state and prove a higher index theorem for an odd-dimensional connected spin riemannian manifold $(M,g)$ which is partitioned by an oriented closed hypersurface $N$. This index theorem generalizes a theorem due to N. Higson and J. Roe in the context of Hilbert modules. Then we apply this theorem to pro…

This article is devoted to the maximisation of HARA utilities of L{é}vy switching process on finite time interval via dual method. We give the description of all f-divergence minimal martingale measures in initially enlarged filtration, the expression of their Radon-Nikodym densities involving Hellinger and Kulback-Lei…

We extend the deep and important results of Lichnerowicz, Connes, and Gromov-Lawson which relate geometry and characteristic numbers to the existence and non-existence of metrics of positive scalar curvature (PSC). In particular, we show: that a spin foliation with Hausdorff homotopy groupoid of an enlargeable manifold…

We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference default-free filtration in the random measure framework. On each default scena…

Paper defines almost flat relative bundles and their correspondence with quasi-representations.

Developing a singular dimension descent method for positive scalar curvature obstructions

This paper uses advanced math to price special insurance bonds.

New obstruction prevents certain spacetimes with both big bang and big crunch.

Let M be a closed enlargeable spin manifold. We show non-triviality of the universal index obstruction in the K-theory of the maximal $C^*$-algebra of the fundamental group of M. Our proof is independent from the injectivity of the Baum-Connes assembly map for the fundamental group of M and relies on the construction o…

We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of asymptotic elasticity of Kramkov and Schachermayer is ext…

We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of filtration enlargements.

It is known that the only Stein filling of the standard contact structure on S^3 is B^4. In this paper, we construct simply connected exotic compact Stein 4-manifold pairs for any Betti number $b_2 \geq 1$; we do this by enlarging corks and plugs.

We use Gromov's K--area to define a generalized homology theory on compact smooth manifolds. In fact, this theory collects obstructions to the enlargeability of the manifold and its nontrivial submanifolds. Moreover, using the K--area homology we can rephrase some classic results about positive scalar curvature.

It is argued that the enlargement of the gauge group found in non-commutative gauge theory is more fundamentally thought of as a consequence of the non-locality of the construction and that it was already encountered in an earlier discussion of a non-local gauge theory.

The study explores positive scalar curvature metrics on non-orientable manifolds and their covers.

This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider locally absolutely continuous measure changes up to a random time, changes of probabil…

Nonspin manifolds can't have uniformly positive scalar curvature.

This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it has been usually the case in the previous literature of BSDE with random terminal time. The main motivation of this work is a financial or ac…

This paper makes kernels interpretable for wide feature matrices.

We decompose the twisted index obstruction $θ(M)$ against positive scalar curvature metrics for oriented manifolds with spin universal cover into a pairing of a twisted $K$-homology with a twisted $K$-theory class and prove that $θ(M)$ does not vanish if $M$ is an orientable enlargeable manifold with spin universal cov…

Since most of the traded options on individual stocks is of American type it is of interest to generalize the results obtained in semi-static trading to the case when one is allowed to statically trade American options. However, this problem has proved to be elusive so far because of the asymmetric nature of the positi…