arXiv research

Study equilibrium measures on manifolds without conjugate points with visibility covering.

Defines new extremal potentials and measures for Kähler forms.

DDEQs extend DEQs to discrete measure inputs using Wasserstein gradient flows.

We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by agents who assess risk using convex dynamic risk measures expressed by Backward Stoc…

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

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 [$…

Let L be an ample holomorphic line bundle over a compact complex Hermitian manifold X. Any fixed smooth Hermitian metric on L induces a Hilbert space structure on the space of global holomorphic sections with values in the k:th tensor power of L. In this paper various convergence results are obtained for the correspond…

We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric approach that allows us to get rid of any assumption on the distribution of returns.…

Extends inf-convolution to countable risk measures for risk sharing.

We argue that the existing regret matchings for Nash equilibrium approximation conduct "jumpy" strategy updating when the probabilities of future plays are set to be proportional to positive regret measures. We propose a geometrical regret matching which features "smooth" strategy updating. Our approach is simple, intu…

Study shows how to calculate the volume of pseudoeffective line bundles on Kähler manifolds.

Study on equilibrium points of dynamical systems with multiple integrals.

Common perpendiculars equidistribute in negatively curved spaces.

This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered. Furthermore, the results obtained are applied to the optimality pricing. Again three …

Optimizes asset allocation for risk measures in a Lévy market.

An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $α$-maxmin nonlinear expectation, renders the stopping problem time-inconsistent. We look for subgame perfect…

The paper addresses dynamic capital structure models with defaultable debt, proving existence and uniqueness.

Study of $2 imes 2$ zero-sum games with noisy observations and commitments.

Study of random sections on complex spaces converging to equilibrium metrics.

Paper studies zero-sum games with noisy observations and identifies equilibrium conditions.

New systemic risk models for banks choosing their group memberships.

We consider a simple stochastic model of a urban rental housing market, in which the interaction of tenants and landlords induces rent fluctuations. We simulate the model numerically and measure the equilibrium rent distribution, which is found to be close to a lognormal law. We also study the influence of the density …

Let L be a holomorphic line bundle over a compact complex projective Hermitian manifold X. Any fixed smooth hermitian metric h on L induces a Hilbert space structure on the space of global holomorphic sections with values in the k th tensor power of L. In this paper various convergence results are obtained for the corr…

Agents prefer non-diversification in markets with extreme losses.

Study reveals dynamics of neural networks with normalization, weight decay, and SGD.

In an earlier work we identified the types and numbers of static equilibrium points of solids arising from fine, equidistant $n$-discretrizations of smooth, convex surfaces. We showed that such discretizations carry equilibrium points on two scales: the local scale corresponds to the discretization, the global scale to…

On curved spaces, viscous fluids reach equilibrium quickly.

We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance, which means that the dynamics of the economy should not depend on the units used…

Study on stock price formation on trees with multi-population and non-rational agents.

We seek to infer the parameters of an ergodic Markov process from samples taken independently from the steady state. Our focus is on non-equilibrium processes, where the steady state is not described by the Boltzmann measure, but is generally unknown and hard to compute, which prevents the application of established eq…

By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused by model uncertainty is regarded as a result of the interaction between financi…

We propose a new equilibrium enforcing method paired with a loss derived from the Wasserstein distance for training auto-encoder based Generative Adversarial Networks. This method balances the generator and discriminator during training. Additionally, it provides a new approximate convergence measure, fast and stable t…

Investors' strategies in a market influenced by price impact are analyzed, showing aggressive behavior when impact exceeds a critical point.

Let $\{T^t\}$ be a smooth flow with positive speed and positive topological entropy on a compact smooth three dimensional manifold, and let $μ$ be an ergodic measure of maximal entropy. We show that either $\{T^t\}$ is Bernoulli, or $\{T^t\}$ is isomorphic to the product of a Bernoulli flow and a rotational flow. Appli…

We study the statistical meaning of the minimization of distortion measure and the relation between the equilibrium points of the SOM algorithm and the minima of distortion measure. If we assume that the observations and the map lie in an compact Euclidean space, we prove the strong consistency of the map which almost …

Models analyze strategic risk-taking in continuous action games.

New method reconstructs non-equilibrium stochastic systems from data.

Develops variational framework for LQG risk-sensitive MFGs with major-minor interactions.

Derives equilibrium law for Plateau borders in wet soap films and foams.

Sector specific multifactor CES elasticity of substitution and the corresponding productivity growths are jointly measured by regressing the growths of factor-wise cost shares against the growths of factor prices. We use linked input-output tables for Japan and the Republic of Korea as the data source for factor price …

New algorithms sample from complex path measures using neural networks.

Let X be a strictly pseudoconcave domain in a closed polarized complex manifold (Y,L) where L is a (semi-)positive line bundle over Y. Any given Hermitian metric on L, together with a volume form, induces by restriction to X a Hilbert space structure on the space of global holomorphic sections on Y with values in the k…

Algorithm learns from changing zero-sum games with no regret.

Proves simplicity of Lyapunov exponents for specific Anosov flows.

We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to different agents. The technique is closely connected with the convolution of coh…

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…

This work finds mixed equilibria in zero-sum games using interacting particle dynamics.

The paper models insurance market dynamics under uncertainty and financial frictions.