arXiv research

In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash equilibrium for a large, but finite, number of players. The method, also explained in…

Unified approach to time-inconsistent problems with distribution-dependent rewards.

Study uses Mean Field Game to analyze Bitcoin mining hashpower dynamics.

Study improves $L^{\infty}$ estimates and extreme value behavior in stochastic differential games.

Generalizes Hodge correlators using quantum master equation concepts.

We analyze a monetary system of random money transfer on the basis of double entry bookkeeping. Without boundary conditions, we do not reach a price equilibrium and violate text-book formulas of economists quantity theory (MV=PQ). To match the resulting quantity of money with the model assumption of a constant price, w…

Two neural network methods solve the master equation for MFGs.

A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black--Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option price variable. The dynamics of the latter is constructed and formulated in term…

We extend the Chern-Simons perturbative invariant of Axelrod and Singer to non-acyclic connections. We construct a solution of the quantum master equation on the space of functions on the cohomology of the connection. We prove that this solution is well defined up to master homotopy. We discuss also invariants of links…

The paper explores geometric calculations on probability manifolds derived from master equations.

We construct a solution of the master equation by means of standard tools from homological perturbation theory under just the hypothesis that the ground field be of characteristic zero, thereby avoiding the formality assumption of the relevant Lie algebra. To this end we endow the homology H(g) of any differential grad…

Markov state models (MSMs) and Master equation models are popular approaches to approximate molecular kinetics, equilibria, metastable states, and reaction coordinates in terms of a state space discretization usually obtained by clustering. Recently, a powerful generalization of MSMs has been introduced, the variationa…

Unified analytical tool for non-Markovian jump processes.

The quantum master equation is usually formulated in terms of functionals of the components of mappings from a space-time manifold M into a finite-dimensional vector space. The master equation is the sum of two terms one of which is the anti-bracket (odd Poisson bracket) of functionals and the other is the Laplacian of…

We analyze an ideal gas like model of a trading market with quenched random saving factors for its agents and show that the steady state income ($m$) distribution $P(m)$ in the model has a power law tail with Pareto index $ν$ exactly equal to unity, confirming the earlier numerical studies on this model. The analysis s…

Equations of dispersionless Hirota type have been thoroughly investigated in the mathematical physics and differential geometry literature. It is known that the parameter space of integrable Hirota type equations in 3D is 21-dimensional and the action of the natural equivalence group Sp(6, R) on the parameter space has…

Hierarchical pretraining with slow-fast ODEs

We revisit our earlier work on the AKSZ formulation of topological sigma model on generalized complex manifolds, or Hitchin model. We show that the target space geometry geometry implied by the BV master equations is Poisson--quasi--Nijenhuis geometry recently introduced and studied by Stiénon and Xu (in the untwisted …

In this paper, we study the theory of linearized gravity and prove the linear stability of Schwarzschild black holes as solutions of the vacuum Einstein equations. In particular, we prove that solutions to the linearized vacuum Einstein equations centered at a Schwarzschild metric, with suitably regular initial data, r…

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

Novel approach to Nash equilibrium in mean-field stochastic games with operator resolvents.

New method for studying $t$-dependent Hamilton equations on cosymplectic manifolds.

Study BSΔE on lattices for asset price analysis.

We formalize the construction by Batalin and Vilkovisky of a solution of the classical master equation associated with a regular function on a nonsingular affine variety (the classical action). We introduce the notion of stable equivalence of solutions and prove that a solution exists and is unique up to stable equival…

This paper studies the transition from disequilibrium to equilibrium in financial markets.

The paper explores how investors make decisions under disappointment aversion, finding that they prefer not to invest.

We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of Itô's lemma for the calculation of a differential of a Paretian stochastic variable and use it to derive a Stochastic Differenti…

Exact solution found for two-body financial dealer model using kinetic theory.

We present a construction of cellular BF theory (in both abelian and non-abelian variants) on cobordisms equipped with cellular decompositions. Partition functions of this theory are invariant under subdivisions, satisfy a version of the quantum master equation, and satisfy Atiyah-Segal-type gluing formula with respect…

Study shows finite agent equilibrium converges to mean-field limit in asset pricing.

General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system. Since Arrow's Impossibility Theorem and Rawls' principle of social fairness will p…

The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return relative to a passive (buy-and-hold) benchmark portfolio serving as the numérai…

Study solves HJB equations for time-inconsistent control problems.

In this paper, we study solutions to the linearized vacuum Einstein equations centered at higher-dimensional Schwarzschild met- rics. We employ Hodge decomposition to split solutions into scalar, co-vector, and two-tensor pieces; the first two portions respectively cor- respond to the closed and co-closed, or polar and…

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

Insider trading is reduced when penalized, affecting expected penalties in a non-monotone way.

In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships …

Paper solves a complex stopping problem using regularization and HJB equations.

In the theory of riskfree hedges in continuous time finance, one can start with the delta-hedge and derive the option pricing equation, or one can start with the replicating, self-financing hedging strategy and derive both the delta-hedge and the option pricing partial differential equation. Approximately reversible tr…

Proposes a robust equilibrium strategy for mean-variance portfolio selection.

Study on liquidation games with market drop-out, proving unique equilibria.

We prove an explicit characterization of the points in Thurston's Master Teapot. This description can be implemented algorithmically to test whether a point in $\mathbb{C} \times \mathbb{R}$ belongs to the complement of the Master Teapot. As an application, we show that the intersection of the Master Teapot with the un…

Investigates time-inconsistent portfolio selection under MMV preferences.

This study quantifies systemic importance in global banks using a continuous framework that amplifies localized shocks.

Study shows rate of convergence for particle approximation of PDEs in Wasserstein space.

Master algorithm fails to detect non-stationarity in practical settings.

Using technique of wheeled props we establish a correspondence between the homotopy theory of unimodular Lie 1-bialgebras and the famous Batalin-Vilkovisky formalism. Solutions of the so called quantum master equation satisfying certain boundary conditions are proven to be in 1-1 correspondence with representations of …

This primer explains diffusion models in general state spaces.