arXiv research

Study proves uniqueness of asymptotic limits for specific manifolds.

New hyperbolic manifolds show exponential homology torsion growth.

New Thompson sampling algorithm reduces regret for exponential family bandits.

We construct examples of exponentially asymptotically cylindrical Riemannian 7-manifolds with holonomy group equal to G_2. To our knowledge, these are the first such examples. We also obtain exponentially asymptotically cylindrical coassociative calibrated submanifolds. Finally, we apply our results to show that one of…

Researchers extend asymptotic analysis to Bergman projections with Gevrey weights.

We study the asymptotic behaviour of simply connected, Riemannian manifolds $X$ of strictly negative curvature admitting a non-uniform lattice $Γ$. If the quotient manifold $\bar X= Γ\backslash X$ is asymptotically $1/4$-pinched, we prove that $Γ$ is divergent and $U\bar X$ has finite Bowen-Margulis measure (which is t…

We prove an exponential estimate for the asymptotics of Bergman kernels of a positive line bundle under hypotheses of bounded geometry. We give further Bergman kernel proofs of complex geometry results, such as separation of points, existence of local coordinates and holomorphic convexity by sections of positive line b…

This paper considers asymptotically hyperbolic manifolds with a finite boundary intersecting the usual infinite boundary -- cornered asymptotically hyperbolic manifolds -- and proves a theorem of Cartan-Hadamard type near infinity for the normal exponential map on the finite boundary. As a main application, a normal fo…

The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then …

The paper proves the stability of a flow in Schwarzschild space.

We prove that for a 7-dimensional manifold M with cylindrical ends the moduli space of exponentially asymptotically cylindrical torsion-free G_2 structures is a smooth manifold (if non-empty), and study some of its local properties. We also show that the holonomy of the induced metric of an exponentially asymptotically…

Optimal learning for parametric prophet inequalities with exponential-type distributions

We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show that our data is well ap…

Study shows how flat flow solutions in 2D converge to disks.

New bounds for score matching in polynomial exponential families.

We extend a recent synchronization analysis of exact finite-state sources to nonexact sources for which synchronization occurs only asymptotically. Although the proof methods are quite different, the primary results remain the same. We find that an observer's average uncertainty in the source state vanishes exponential…

Exponential distribution is ubiquitous in the framework of multi-agent systems. Usually, it appears as an equilibrium state in the asymptotic time evolution of statistical systems. It has been explained from very different perspectives. In statistical physics, it is obtained from the principle of maximum entropy. In th…

Study shows exponential growth of knot polynomial tied to Chern-Simons invariant.

Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentiall…

Asymptotic expansions for call prices and implied volatilities in exponential Lévy models.

Constructs foliations of lightcones using surfaces of constant spacetime mean curvature.

EM algorithm converges in KL divergence for exponential families via mirror descent.

Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate generalizations with Gaussian copulas, we offer exact formulas for the tails of the distribution $P(S)$ of returns $S$ of a port…

Efficiently learns exponential family distributions with i.i.d. samples.

We prove the dimension of any asymptotic cone over a metric space X does not exceed the asymptotic Assouad-Nagata dimension of X. This improves a result of Dranishnikov and Smith who showed that dim(Y) does not exceed asymptotic Assouad-Nagata dimension of X for all separable subsets Y of special asymptotic cones of X …

The paper proves exponential mixing for hyperbolic manifolds, with applications to geodesic holonomy.

Paper provides exponential convergence guarantees for Iterative Markovian Fitting.

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A general expansion theory is de…

Study short maturity Asian options in jump-diffusion models with local volatility.

Study the Bochner-Schrödinger operator on symplectic manifolds, proving gap existence and asymptotic kernel behavior.

In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of this statistical equilibrium for this type of gas-like models is explained in a rigorous analytical way.

New method for spectral and Bergman kernels under local spectral gap condition.

Study on Navier-Stokes equations on non-compact manifolds, proving existence and decay of solutions.

Infinite-time blow-up in high-dimensional mean curvature flow.

EFDA extends LDA to non-Gaussian models using exponential families.

Thompson Sampling has been demonstrated in many complex bandit models, however the theoretical guarantees available for the parametric multi-armed bandit are still limited to the Bernoulli case. Here we extend them by proving asymptotic optimality of the algorithm using the Jeffreys prior for 1-dimensional exponential …

Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration method for the estimators of the volatility, the drift, the jump intensity and the …

Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility surfaces have been analyzed in some d…

We propose a novel approach for density estimation with exponential families for the case when the true density may not fall within the chosen family. Our approach augments the sufficient statistics with features designed to accumulate probability mass in the neighborhood of the observed points, resulting in a non-para…

New tools for analyzing Kähler manifolds, proving operator algebra and asymptotic kernel.

Study shows diffused interface flows to single diffused balls over time.

The study provides error bounds for the generalized Lasso with sub-exponential data.

Bayesian hierarchical clustering (BHC) is an agglomerative clustering method, where a probabilistic model is defined and its marginal likelihoods are evaluated to decide which clusters to merge. While BHC provides a few advantages over traditional distance-based agglomerative clustering algorithms, successive evaluatio…

This paper studies a class of exponential family models whose canonical parameters are specified as linear functionals of an unknown infinite-dimensional slope function. The optimal minimax rates of convergence for slope function estimation are established. The estimators that achieve the optimal rates are constructed …

We consider Hitchin's hyperkähler metric $g_{L^2}$ on the $SU(n)$-Hitchin moduli space moduli space over a compact Riemann surface. We prove that the difference between the metric $g_{L^2}$ and a simpler "semiflat" hyperkähler metric $g_{\mathrm{sf}}$ is exponentially-decaying along generic rays in the Hitchin moduli s…

This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with affine processes via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode…

In this paper we continue our study of the Laplacian on manifolds with axial analytic asymptotically cylindrical ends initiated in~arXiv:1003.2538. By using the complex scaling method and the Phragmén-Lindelöf principle we prove exponential decay of the eigenfunctions corresponding to the non-threshold eigenvalues of t…

We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior turns out to depend on the correlation between the components, and the explicit s…