arXiv research

Two-cycle GEILA equilibria are OLG equilibria and vice versa, with applications to indeterminacy and bubbles.

System tackles indeterminacies in automated audio captioning.

The fuzzy ROC extends Receiver Operating Curve (ROC) visualization to the situation where some data points, falling in an indeterminacy region, are not classified. It addresses two challenges: definition of sensitivity and specificity bounds under indeterminacy; and visual summarization of the large number of possibili…

New framework identifies strongly identifiable models from flexible generators.

The paper concerns the tree invariants of string links, introduced by Kravchenko and Polyak and closely related to the classical Milnor linking numbers also known as $\barμ$--invariants. We prove that, analogously as for $\barμ$--invariants, certain residue classes of tree invariants yield link homotopy invariants of c…

The paper explores indeterminacy in latent factor projections and its implications for data representation.

Unified geometric approach to quantum indeterminacy.

The paper proves inequalities linking Wasserstein distances and eigenfunctions in RCD(K,∞) spaces.

Transformer model estimates keywords for better audio captioning.

We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and an error process. The presence of the latter, which dominates at short time sca…

We use an action, of 2l-component string links on l-component string links, defined by the first author and Xiao-Song Lin, to lift the indeterminacy of finite type link invariants. The set of links up to this new indeterminacy is in bijection with the orbit space of the restriction of this action to the stabilizer of t…

New method identifies latent causal variables from observed data, overcoming indeterminacies.

In this paper, we exploit a subtle indeterminacy in the definition of the spherical Kervaire-Milnor invariant which was discovered by R. Stong to construct non-spin 4-manifolds with even intersection form and prescribed signature.

We prove the existence of (branched) conformal immersions F: S^2 -> R^3 with mean curvature H > 0 arbitrarily prescribed up to a 3-dimensional affine indeterminacy. A similar result is proved for the space forms S^3, H^3 and partial results for surfaces of higher genus.

We present a clear-cut example of the importance of the functorial approach of gauge-natural bundles and the general theory of Lie derivatives for classical field theory, where the sole correct geometrical formulation of Einstein (-Cartan) gravity coupled with Dirac fields gives rise to an unexpected indeterminacy in t…

Proposes $σ$-PCA to learn identifiable linear transformations without whitening.

The paper shows that certain learned representations are identifiable in function space.

Enhances Hantzsche's theorem for 3-manifolds in 4D.

Study nonparametric factor analysis with arbitrary noise.

Simplifies fixing Khovanov homology functoriality.

On the framework of the Linear Farmer's Model, we approach the indeterminacy of agents' behaviour by associating with each agent an unconditional probability for her to be active at each time step. We show that Pareto tailed returns can appear even if value investors are the only strategies on the market and give a pro…

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the series are fully explicit and no numerical integration nor any …

The closure of a braid in a closed orientable surface $Σ$ is a link in $Σ\times S^1$. We classify such closed surface braids up to isotopy and homeomorphism (with a small indeterminacy for isotopy of closed sphere braids), algebraically in terms of the surface braid group. We find that in positive genus, braids close t…

Fixing two concordant links in $3$--space, we study the set of all embedded concordances between them, as knotted annuli in $4$--space. When regarded up to surface-concordance or link-homotopy, the set $\mathcal{C}(L)$ of concordances from a link $L$ to itself forms a group. In order to investigate these groups, we def…

A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181, which in this paper are called \emph{mild equilibrium} and \emph{weak equilibrium…

We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity.…

A new method relaxes molecules without needing non-equilibrium data.

Existence of Radner equilibrium proven with growing population.

Study how transaction costs impact stock returns and holdings in equilibrium.

Equilibrium found for multi-agent trading with transaction costs.

The paper examines Nash equilibrium in GANs for stationary Gaussian processes.

Khovanov homology is a recently introduced invariant of oriented links in $\mathbb{R}^3$. It categorifies the Jones polynomial in the sense that the (graded) Euler characteristic of the Khovanov homology is a version of the Jones polynomial for links. In this paper we study torsion of the Khovanov homology. Based on ou…

Study on equilibrium with non-convex preferences.

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.

The theorems we proved describe the structure of economic equilibrium in the exchange economy model. We have studied the structure of property vectors under given structure of demand vectors at which given price vector is equilibrium one. On this ground, we describe the general structure of the equilibrium state and gi…

Study equilibrium consumption habits in a large population using mean field games.

By generalizing the measurements on the game experiments of mixed strategy Nash equilibrium, we study the dynamical pattern in a representative dynamic stochastic general equilibrium (DSGE). The DSGE model describes the entanglements of the three variables (output gap [$y$], inflation [$π$] and nominal interest rate [$…

We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an a…

Study analyzes market equilibrium returns with price impact and transaction costs.

DEQs converge to optimal solutions with mild over-parameterization.

Kyle's equilibrium model stability proven for 1-2 trading times, but not for 3 or more.

Geometric programming approach for traffic equilibrium problems.

In this paper, we study dynamics of geodesic flows over closed surfaces of genus greater than or equal to 2 without focal points. Especially, we prove that there is a large class of potentials having unique equilibrium states, including scalar multiples of the geometric potential, provided the scalar is less than 1. Mo…

Quasitoric manifolds, introduced by M. Davis and T. Januskiewicz in 1991, are topological generalizations of smooth complex projective spaces. In 1992, Banchoff and Kühnel constructed a 10-vertex equilibrium triangulations of $\CP^2$. We generalize this construction for quasitoric manifolds and construct some equilibri…

A Systemic Optimal Risk Transfer Equilibrium (SORTE) was introduced in: "Systemic optimal risk transfer equilibrium", Mathematics and Financial Economics (2021), for the analysis of the equilibrium among financial institutions or in insurance-reinsurance markets. A SORTE conjugates the classical Bühlmann's notion of a …

Existence of incomplete Radner equilibrium with endogenous noise tracker.

Study proves existence of equilibrium in incomplete economies with discontinuous volatility.

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism used in stock markets. Both buyers and sellers are elastic in the price-quantity …