A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study on mean field games with singular controls and their applications.
Log-ergodic model improves velocity of money prediction.
The paper tackles learning to control systems with unknown parameters using Brownian noise.
We show that Masur's logarithmic law of geodesics in the moduli space of translation surfaces does not imply unique ergodicity of the translation flow, but that a similar law involving the flat systole of a Teichmüller geodesic does imply unique ergodicity. It shows that the flat geometry has a better control on ergodi…
Optimizes MCMC chains with neural control variates.
Study explores optimal strategies in games with multiple players and mean-field interactions.
The paper introduces a new method to create stable ergodic actions on higher-dimensional manifolds.
In this paper we look at ergodic BSDEs in the case where the forward dynamics are given by the solution to a non-autonomous (time-periodic coefficients) Ornstein-Uhlenbeck SDE with Lévy noise, taking values in a separable Hilbert space. We establish the existence of a unique bounded solution to an infinite horizon disc…
Study nonparametric estimator for Markov chain transition matrices in offline setting.
Optimizes liquidations in decentralized finance to manage credit risk.
New sampling methods improve statistical efficiency for intractable targets.
We define generalized currents associated with immersions of abstract solenoids with a transversal measure. We realize geometrically the full real homology of a compact manifold with these generalized currents, and more precisely with immersions of minimal uniquely ergodic solenoids. This makes precise and geometric De…
Optimal dynamic fees for AMMs: A stochastic control approach
EGFs use ergodicity to simplify generative flows for easier training and imitation learning.
Unified approach for data-driven control of stochastic processes.
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by `controlled' Markov noise. In particular, both the faster and slower recursions have non-additive controlled Markov noise components in addition to martingale difference noise. We analyze the asymptotic…
The paper introduces reservoir computing models for complex systems.
The paper provides concentration inequalities for Markov chain variance estimators.
Study counts ergodic measures in surface lamination strata.
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic case by adapting the weight norm approach. In particular, it is shown how to com…
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loos…
New progress on frame flow ergodicity for nearly pinched manifolds.
Recent results on ergodic theory for Riemann surface laminations and foliations.
Formula connects foliated simplicial volume with group cost.
In this note we show that the Riemann moduli spaces equipped with the Weil--Petersson metric are quantum ergodic for . We also provide other examples of singular spaces with ergodic geodesic flow for which quantum ergodicity holds.
We extend to orbifolds classical results on quantum ergodicity due to Shnirelman, Colin de Verdière and Zelditch, proving that, for any positive, first-order self-adjoint elliptic pseudodifferential operator P on a compact orbifold X with positive principal symbol p, ergodicity of the Hamiltonian flow of p implies quan…
Strong stability of ergodic iterations proven without ergodic driving sequence.
The paper studies the ergodicity of frame flow on even-dimensional manifolds.
Non-ergodic measures found in horocycle flow on Abelian differentials.
'Ergodicity economics' is criticized as pseudoscience.
We construct an example of a uniquely ergodic measured foliation on a surface such that the associated translation flow on the orientation double cover is minimal but not uniquely ergodic. We then prove a geometric criterion for the horizontal foliation of a quadratic differential to be uniquely ergodic. The second the…
New method stabilizes quantum ergodicity for mixed quantization and partial hyperbolicity.
We introduce a data-based approach to estimating key quantities which arise in the study of nonlinear control systems and random nonlinear dynamical systems. Our approach hinges on the observation that much of the existing linear theory may be readily extended to nonlinear systems - with a reasonable expectation of suc…
The study shows that ergodic measures are not generic on non-positively curved manifolds.
In the context of the multi-dimensional infinite horizon optimal consumption-investment problem with proportional transaction costs, we provide the first order expansion in small transact costs. Similar to the one-dimensional derivation in our accompanying paper [42], the asymptotic expansion is expressed in terms of a…
We relate ergodic-theoretic properties of a very small tree or lamination to the behavior of folding and unfolding paths in Outer space that approximate it, and we obtain a criterion for unique ergodicity in both cases. Our main result is that non-unique ergodicity gives rise to a transverse decomposition of the foldin…
The paper studies ergodicity of flows on subspaces, generalizing earlier work.
This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as l…
A smooth diffeomorphism is said to be distributionally uniquely ergodic (DUE for short) when it is uniquely ergodic and its unique invariant probability measure is the only invariant distribution (up to multiplication by a constant). Ergodic translations on tori are classical examples of DUE diffeomorphisms. In this ar…
A measured solenoid is a laminated space endowed with a tranversal measure invariant by holonomy, as defined in arXiv:0910.2836. A measured solenoid immersed in a smooth manifold produces a closed current (known as generalized Ruelle-Sullivan current). Uniquely ergodic solenoids are those for which there is a unique (u…
For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter . Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control problem. Our results characterize the optimal growth rate, an optimal long-term trading s…
The paper connects function theory, dynamics, and ergodic theory via Thurston's theory.
This work investigates a mixture of LMC and RMHMC with MMALA for geometric ergodicity.
Study shows non-wandering, partially hyperbolic systems are ergodic.
We introduce the concept of solenoid as an abstract laminated space. We do a thorough study of solenoids, leading to the notion of ergodic and uniquely ergodic solenoids. We define generalized currents associated with immersions of oriented solenoids with a transversal measure into smooth manifolds, generalizing Ruelle…
Study shows mapping class group action is ergodic on specific representations.
We study how resetting affects geometric Brownian motion, showing it becomes stationary but remains non-ergodic.
Optimizes data power control in cell-free networks for better spectral efficiency.