arXiv research

The paper defines wave-front singularities using explicit analytic functions.

The Heston model is a popular stock price model with stochastic volatility that has found numerous applications in practice. In the present paper, we study the Riemannian distance function associated with the Heston model and obtain explicit formulas for this function using geometrical and analytical methods. Geometric…

Wide neural networks can learn complex functions like gravitational force law.

We study metric and analytic properties of generalized lemniscates E_t(f)={z:ln|f(z)|=t}, where f is an analytic function. Our main result states that the length function |E_t(f)| is a bilateral Laplace transform of a certain positive measure. In particular, the function ln|E_t(f)| is convex on any interval free of cri…

Study provides explicit pricing formula for options with volatility dependent on short rate.

For a non-compact hyperbolic 3-manifold with cusps we prove an explicit formula that relates the regularized analytic torsion associated to the even symmetric powers of the standard representation of SL_2(C) to the corresponding Reidemeister torsion. Our proof rests on an expression of the analytic torsion in terms of …

In the paper, the author studies properties of three functions relating to the exponential function and the existence of partitions of unity, including accurate and explicit computation of their derivatives, analyticity, complete monotonicity, logarithmically complete monotonicity, absolute monotonicity, and the like.

After Bershadsky-Cecotti-Ooguri-Vafa, we introduce an invariant of Calabi-Yau threefolds, which we call the BCOV invariant and which we obtain using analytic torsion. We give an explicit formula for the BCOV invariant as a function on the compactified moduli space, when it is isomorphic to a projective line. As a corol…

The autocorrelation function of volatility in financial time series is fitted well by a superposition of several exponents. Such a case admits an explicit analytical solution of the problem of constructing the best linear forecast of a stationary stochastic process. We describe and apply the proposed analytical method …

An explicit surjection from a set of (locally defined) unconstrained holomorphic functions on a certain submanifold of (Sp_1(C) \times C^{4n}) onto the set HK_{p,q} of local isometry classes of real analytic pseudo-hyperkähler metrics of signature (4p,4q) in dimension 4n is constructed. The holomorphic functions, calle…

Study on Einstein solitons with bounds and asymptotic behavior.

Gradient boosting estimates Riesz representer for causal inference.

In 1883, as an early result, Sophus Lie established an explicit necessary and sufficient condition for an analytic second order ordinary differential equation y_xx = F(x,y,y_x) to be equivalent, through a point transformation (x,y) --> (X(x,y), Y(x,y)), to the Newtonian free particle equation Y_XX = 0. This result, pre…

Researchers derive an analytic expression for Gaussian stochastic volatility models.

In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-arbitrage requirement implies that the differential (foreign minus domestic) short-rate is not deterministic. When the band is narrow, we ca…

We give series of explicit examples of Levi-nondegenerate real-analytic hypersurfaces in complex spaces that are not transversally holomorphically embeddable into hyperquadrics of any dimension. For this, we construct invariants attached to a given hypersurface that serve as obstructions to embeddability. We further st…

Starting with topological field theories we investigate the Ray-Singer analytic torsion in three dimensions. For the lens Spaces L(p;q) an explicit analytic continuation of the appropriate zeta functions is contructed and implemented. Among the results obtained are closed formulae for the individual determinants involv…

We develop Fourier methods to expand translation-invariant kernels.

We define the Simons-Sullivan differential analytic index by translating the Freed-Lott differential analytic index via explicit ring isomorphisms between Freed-Lott differential K-theory and Simons-Sullivan differential K-theory. We prove the differential Grothendieck-Riemann-Roch theorem in Simons-Sullivan differenti…

We show that the function sheaf of a $\mathbb{Z}_2^n$-manifold is a nuclear Fréchet sheaf of $\mathbb{Z}_2^n$-graded $\mathbb{Z}_2^n$-commutative associative unital algebras. Further, we prove that the components of the pullback sheaf morphism of a $\mathbb{Z}_2^n$-morphism are all continuous. These results are essenti…

Semi-implicit variational inference (SIVI) is introduced to expand the commonly used analytic variational distribution family, by mixing the variational parameter with a flexible distribution. This mixing distribution can assume any density function, explicit or not, as long as independent random samples can be generat…

Formula for analytic torsion forms in fibrations by projective curves.

Mini-batch SGD with momentum is a fundamental algorithm for learning large predictive models. In this paper we develop a new analytic framework to analyze noise-averaged properties of mini-batch SGD for linear models at constant learning rates, momenta and sizes of batches. Our key idea is to consider the dynamics of t…

The systems of complex analytic second order ordinary differential equations whose solutions close up to become rational curves (after analytic continuation) are characterized by the vanishing of an explicit differential invariant, and turn out to provide an infinite dimensional family of integrable systems.

Paper provides an explicit formula for local volatility in Cheyette models.

In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically tractable formulae for the prices of a range of first-generation exotic derivat…

Study examines implied volatility behavior in Bachelier model.

Consider a flat vector bundle F over compact Riemannian manifold M and let f be a self-indexing Morse function on M. Let g be a smooth Euclidean metric on F. Set g_t=exp(-2tf)g and let ρ(t) be the Ray-Singer analytic torsion of F associated to the metric g_t. Assuming that the vector field $grad f$ satisfies the Morse-…

Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these long-range cross correlations. However, several important issues about these methods are not well understood and most methods consider only o…

This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage times and undershoot (overshoot) are obtained. As applications, we pr…

Analytic expressions for deep neural network output under stochastic training.

We give some concrete examples of moduli spaces of connections. Precisely, we explain how to explicitly construct the moduli spaces of rank 2 fuchsian systems and logarithmic connections on the Riemann sphere with 4 poles. The former ones are affine cubic surfaces; the latter ones are analytically isomorphic to affine …

We find upper and lower bounds for the first eigenvalue and the volume entropy of a noncompact real analytic Kähler manifold, in terms of Calabi's diastasis function and diastatic entropy, which are sharp in the case of the complex hyperbolic space. As a corollary we obtain explicit lower bounds for the first eigenvalu…

Algorithm finds real-analytic Legendrian representatives for every link type.

GNIs induce a regulariser that penalizes high-frequency components in neural network activations.

This work is an analytical and numerical study of the composition of several fractals into one and of the relation between the composite dimension and the dimensions of the component fractals. In the case of composition of standard IFS with segments of equal size, the composite dimension can be expressed as a function …

We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpreta- tions for three models of demand (arithmetic Brownian, geometric Brownian…

In the case of a compact real analytic symplectic manifold M we describe an approach to the complexification of Hamiltonian flows [Se, Do1, Th1] and corresponding geodesics on the space of Kahler metrics. In this approach, motivated by recent work on quantization, the complexified Hamiltonian flows act, through the Gro…

Just as an explicit parameterisation of system dynamics by state, i.e., a choice of coordinates, can impede the identification of general structure, so it is too with an explicit parameterisation of system dynamics by control. However, such explicit and fixed parameterisation by control is commonplace in control theory…

We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from stopped Brownian motion by a simple transformation and a change of measure that o…

We give an explicit formula for the $L^2$ analytic torsion of the finite metric cone over an oriented compact connected Riemannian manifold. We provide an interpretation of the different factors appearing in this formula. We prove that the analytic torsion of the cone is the finite part of the limit obtained collapsing…

We prove the "End Curve Theorem," which states that a normal surface singularity $(X,o)$ with rational homology sphere link $Σ$ is a splice-quotient singularity if and only if it has an end curve function for each leaf of a good resolution tree. An "end-curve function" is an analytic function $(X,o)\to (\C,0)$ whose ze…

New proof shows all conformal vector fields on complex hyperbolic space are Killing.

Sphere eversions have been described so far by either pictures with minimal topological complexity, numerical evolution or complex equations. We write down relatively simple explicit formulas for the whole eversion, both analytic and topologically simpler, including also Boy surface (real projective plane), using a fam…

By using an explicit Bellman function, we prove a bilinear embedding theorem for the Laplacian associated with a weighted Riemannian manifold $(M,μ_φ)$ having the Bakry-Emery curvature bounded from below. The embedding, acting on the cartesian product of $L^p(M,μ_φ)$ and $L^q(T^*M,μ_φ)$, $1/p+1/q=1$, involves estimates…

Survival function estimation is used in many disciplines, but it is most common in medical analytics in the form of the Kaplan-Meier estimator. Sensitive data (patient records) is used in the estimation without any explicit control on the information leakage, which is a significant privacy concern. We propose a first d…

Analytic torsion expansions for symmetric and complex homogeneous spaces.

We classify all regular three-dimensional convex cones which possess an automorphism group of dimension at least two, and provide analytic expressions for the complete hyperbolic affine spheres which are asymptotic to the boundaries of these cones. The affine spheres are represented by explicit hypersurface immersions …