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.
Constructs explicit solutions to Spin(7)-structures gradient flow.
Paper proposes an efficient method to optimize neural networks without backpropagation.
Researchers found explicit solutions to a complex equation in advanced geometry.
In this letter, two explicit self-similar solutions to a graph representation of time-like extremal hypersurfaces in Minkowski spacetime are given. Meanwhile, there is an untable eigenvalue in the linearized time-like extremal hypersurfaces equation around two explicit self-similar solutions.
Some special solutions to the multidimensional Lamé and Bourlet type equations are constructed in an explicit form.
Researchers find explicit solutions to complex Monge-Ampère equation.
Families of explicit solutions are found to a nonlinear Black-Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which approximates a strangle. These solutions were used to test numerical schemes for solving …
Explicit solutions to the Riemann-Hilbert problem will be found realising some irreducible non-rigid local systems. The relation to isomonodromy and the sixth Painleve equation will be described. Keywords: Riemann-Hilbert problem, Painleve equations, algebraic solutions, Heun equations, tetrahedral/octahedral group, tr…
We construct a family of instanton metric obtained from new exact singular solutions for minimal surfaces by noticing the correspondence between minimal surfaces in the three dimesional Euclidean space and gravitational instantons possessing two killing vectors. By Calabi's correspondence, we derive a family of explici…
This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in [6] does not work. We invoke the HJB equation of this problem and give an explicit viscosity solution of…
Developed a simulation method for 3/2 stochastic volatility model.
Develops methods to solve complex and real Hessian equations.
An explicit representation formula for all positive ancient solutions of the heat equation in the Euclidean case is found. In the Riemannian case with nonnegative Ricci curvature, a similar but less explicit formula is also found. Here it is proven that any positive ancient solution is the standard Laplace transform of…
New simulation approaches to evaluating path-dependent options without matrix inversion issues nor Euler bias are evaluated. They employ three main contributions: Stochastic approximation replaces regression in the LSM algorithm; Explicit weak solutions to stochastic differential equations are developed and applied to …
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are discussed. Explicit solutions for one of the models are obtained and studied.
Let be a complex hyperelliptic curve of genus two equipped with the canonical metric . We study mean field equations on complex hyperelliptic curves and show that the Gaussian curvature function of determines an explicit solution to a mean field equation.
We obtain explicit solutions of the mean curvature flow in some submanifolds of the Euclidean space. We give particularly an explicit solution of the flow of a hypersurface in the Lagrangian self-expander which is constructed in the article of Joyce, Lee and Tsui and show that it converge to a minimal one.
We construct explicit solutions to continuous motion of discrete plane curves described by a semi-discrete potential modified KdV equation. Explicit formulas in terms the function are presented. Bäcklund transformations of the discrete curves are also discussed. We finally consider the continuous limit of discrete …
Develops a new framework to analyze gradient flow regimes and derive explicit solutions.
Solves Christoffel-Minkowski problem and Hessian equations with radial symmetry.
Efficient neural network optimization reduces costs and improves model performance.
The problem of maximizing (or minimizing) the agreement between clusterings, subject to given marginals, can be formally posed under a common framework for several agreement measures. Until now, it was possible to find its solution only through numerical algorithms. Here, an explicit solution is shown for the case wher…
Solvable structures are exploited in order to find families of explicit solutions to evolution PDEs admitting suitable differential constraints. The effectiveness of the method is verified on several explicit examples.
We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to simila…
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under some assumptions on the underlying process and the utility function. The resultin…
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This path-dependency is the novelty of the model, and leads to an infinite dimensional stochastic optimal control problem. We solve the …
Develops methods for constructing exact, non-stationary solutions to Euler equations.
In this paper we present explicit formulas for the fundamental solution to the Klein-Gordon operator on some higher dimensional generalizations of the Möbius strip and the Klein bottle with values in distinct pinor bundles. The fundamental solution is described in terms of generalizations of the Weierstraß -functi…
Solves optimal control for trading multiple mean-reverting assets.
An explicit construction of surfaces with flat normal bundle in the Euclidean space (unit hypersphere) in terms of solutions of certain linear system is proposed. In the case of 3-space our formulae can be viewed as the direct Lie sphere analog of the generalized Weierstrass representation of surfaces in conformal geom…
Solves geodesic equations on specific metrics types.
Study consumption-investment problem in markets with rank-based returns.
We construct some explicit quasihomogeneous algebraic solutions to the associativity (WDVV) equations by using analytical methods of the finite gap integration theory. These solutions are expanded in the uniform way to non-semisimple Frobenius manifolds.
We construct explicit solutions to the discrete motion of discrete plane curves that has been introduced by one of the authors recently. Explicit formulas in terms the function are presented. Transformation theory of the motions of both smooth and discrete curves is developed simultaneously.
Necessary and sufficient conditions are provided for a class of warped product manifolds with non-vanishing flux to be supersymmetric solutions of 11D supergravity. Many noncompact, but complete solutions can be obtained in this manner, including the multi-membrane solution initially found by Duff and Stelle. In a diff…
In this paper we construct explicit smooth solutions to the Strominger system on generalized Calabi-Gray manifolds, which are compact non-Kähler Calabi-Yau 3-folds with infinitely many distinct topological types and sets of Hodge numbers.
We present an explicit example of a fast decaying solution to the modified Novikov--Veselov equation with a one-point singularity in the space-time. It is constructed by using the geometrical interpretation of the Moutard transformation of solutions to this equation and the Enneper minimal surface.
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered mean-variance subject at any point in time. We get explicit trading strategies in the bas…
This paper solves the dynamic portfolio choice problem. Using an explicit solution with a power utility, we construct a bridge between a continuous and discrete VAR model to assess portfolio sensitivities. We find, from a well analyzed example that the optimal allocation to stocks is particularly sensitive to Sharpe ra…
The paper solves Seiberg-Witten equations in dimensions 5, 6, and 8.
We study the capillarity equation from the global point of view of behavior of its solutions without explicit regard to boundary conditions. We show its solutions to be constrained in ways, that have till now not been characterized in literature known to us.
We deal with quadratic metric-affine gravity (QMAG), which is an alternative theory of gravity and present a new explicit representation of the field equations of this theory. In our previous work we found new explicit vacuum solutions of QMAG, namely generalised pp-waves of parallel Ricci curvature with purely tensor …
We provide an explicit description of all rigid hypersurfaces that are equivalent to a Heisenberg sphere. These hypersurfaces are determined by 4 real parameters. The defining equations of the rigid spheres can also be viewed as the complete solution of a non-linear PDE that expresses the vanishing Cartan curvature con…
This study explores magnetic trajectories on the Heisenberg group, finding symmetries and solutions.
We describe a method to reduce partial differential equations of Monge-Ampère type in 4 variables to complex partial differential equations in 2 variables. To illustrate this method, we construct explicit holomorphic solutions of the special lagrangian equation, the real Monge-Ampère equations and the Plebanski equatio…
Paper proves existence of knot solutions for specific equations.
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the decision over when to sell, the agent has to choose a control strategy which corr…
In this paper we study the difference between algebraic and geometric solutions of the hyperbolic Dehn filling equations for ideally triangulated 3-manifolds. We show that any geometric solution is an algebraic one, and we prove the uniqueness of the geometric solutions. Then we do explicit calculations for three inter…