arXiv research

Two neural network methods solve the master equation for MFGs.

The paper explores geometric calculations on probability manifolds derived from master equations.

In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash equilibrium for a large, but finite, number of players. The method, also explained in…

This primer explains diffusion models in general state spaces.

Study improves $L^{\infty}$ estimates and extreme value behavior in stochastic differential games.

Generalizes Hodge correlators using quantum master equation concepts.

The quantum master equation is usually formulated in terms of functionals of the components of mappings from a space-time manifold M into a finite-dimensional vector space. The master equation is the sum of two terms one of which is the anti-bracket (odd Poisson bracket) of functionals and the other is the Laplacian of…

We analyze an ideal gas like model of a trading market with quenched random saving factors for its agents and show that the steady state income ($m$) distribution $P(m)$ in the model has a power law tail with Pareto index $ν$ exactly equal to unity, confirming the earlier numerical studies on this model. The analysis s…

A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black--Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option price variable. The dynamics of the latter is constructed and formulated in term…

We extend the Chern-Simons perturbative invariant of Axelrod and Singer to non-acyclic connections. We construct a solution of the quantum master equation on the space of functions on the cohomology of the connection. We prove that this solution is well defined up to master homotopy. We discuss also invariants of links…

Unified approach to time-inconsistent problems with distribution-dependent rewards.

We construct a solution of the master equation by means of standard tools from homological perturbation theory under just the hypothesis that the ground field be of characteristic zero, thereby avoiding the formality assumption of the relevant Lie algebra. To this end we endow the homology H(g) of any differential grad…

Study uses Mean Field Game to analyze Bitcoin mining hashpower dynamics.

We establish basic geometric and topological properties of Thurston's Master Teapot and the Thurston set for superattracting unimodal self-maps of intervals. In particular, the Master Teapot is connected, contains the unit cylinder, and its intersection with a set $\mathbb{D} \times \{c\}$ grows monotonically with $c$.…

The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return relative to a passive (buy-and-hold) benchmark portfolio serving as the numérai…

Investigates proving geometric theorems over complex and real numbers using tilings.

We use pathwise Itô calculus to prove two strictly pathwise versions of the master formula in Fernholz' stochastic portfolio theory. Our first version is set within the framework of Föllmer's pathwise Itô calculus and works for portfolios generated from functions that may depend on the current states of the market port…

Master algorithm fails to detect non-stationarity in practical settings.

The perturbative Chern-Simons theory is studied in a finite-dimensional version or assuming that the propagator satisfies certain properties (as is the case, e.g., with the propagator defined by Axelrod and Singer). It turns out that the effective BV action is a function on cohomology (with shifted degrees) that solves…

Unified analytical tool for non-Markovian jump processes.

We study a formulation of the standard Poisson sigma model in which the target space Poisson manifold carries the Hamilton action of some finite dimensional Lie algebra. We show that the structure of the action and the properties of the gauge invariant observables can be understood in terms of the associated target spa…

Equations of dispersionless Hirota type have been thoroughly investigated in the mathematical physics and differential geometry literature. It is known that the parameter space of integrable Hirota type equations in 3D is 21-dimensional and the action of the natural equivalence group Sp(6, R) on the parameter space has…

This paper analyzes in details the Batalin-Vilkovisky quantization procedure for BF theories on n-dimensional manifolds and describes a suitable superformalism to deal with the master equation and the search of observables. In particular, generalized Wilson loops for BF theories with additional polynomial B-interaction…

Using technique of wheeled props we establish a correspondence between the homotopy theory of unimodular Lie 1-bialgebras and the famous Batalin-Vilkovisky formalism. Solutions of the so called quantum master equation satisfying certain boundary conditions are proven to be in 1-1 correspondence with representations of …

We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penal…

Master-slave architecture tackles combinatorial multi-armed bandits with diversity constraints.

Following the statistical mechanics methodology, firstly introduced in macroeconomics by Aoki [1996,2002], we provide some insights to the well known works of Greenwald and Stiglitz [1990, 1993]. Specifically, we reach analytically a closed form solution of their models overcoming the aggregation problem. The key idea …

We revisit our earlier work on the AKSZ formulation of topological sigma model on generalized complex manifolds, or Hitchin model. We show that the target space geometry geometry implied by the BV master equations is Poisson--quasi--Nijenhuis geometry recently introduced and studied by Stiénon and Xu (in the untwisted …

In this paper, we study the theory of linearized gravity and prove the linear stability of Schwarzschild black holes as solutions of the vacuum Einstein equations. In particular, we prove that solutions to the linearized vacuum Einstein equations centered at a Schwarzschild metric, with suitably regular initial data, r…

Stochastic fluctuations of molecule numbers are ubiquitous in biological systems. Important examples include gene expression and enzymatic processes in living cells. Such systems are typically modelled as chemical reaction networks whose dynamics are governed by the Chemical Master Equation. Despite its simple structur…

We formalize the construction by Batalin and Vilkovisky of a solution of the classical master equation associated with a regular function on a nonsingular affine variety (the classical action). We introduce the notion of stable equivalence of solutions and prove that a solution exists and is unique up to stable equival…

We analyze an ideal gas like models of a trading market. We propose a new fit for the money distribution in the fixed or uniform saving market. For the marketwith quenched random saving factors for its agents we show that the steady state income ($m$) distribution $P(m)$ in the model has a power law tail with Pareto in…

We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of Itô's lemma for the calculation of a differential of a Paretian stochastic variable and use it to derive a Stochastic Differenti…

We discuss the ideal gas like models of a trading market. The effect of savings on the distribution have been thoroughly reviewed. The market with fixed saving factors leads to a Gamma-like distribution. In a market with quenched random saving factors for its agents we show that the steady state income ($m$) distributi…

Exact solution found for two-body financial dealer model using kinetic theory.

LocalNewton reduces communication in distributed learning.

We present a construction of cellular BF theory (in both abelian and non-abelian variants) on cobordisms equipped with cellular decompositions. Partition functions of this theory are invariant under subdivisions, satisfy a version of the quantum master equation, and satisfy Atiyah-Segal-type gluing formula with respect…

Exact asymptotic solutions found for nonlinear Hawkes processes.

In this paper, we study solutions to the linearized vacuum Einstein equations centered at higher-dimensional Schwarzschild met- rics. We employ Hodge decomposition to split solutions into scalar, co-vector, and two-tensor pieces; the first two portions respectively cor- respond to the closed and co-closed, or polar and…

We prove an explicit characterization of the points in Thurston's Master Teapot. This description can be implemented algorithmically to test whether a point in $\mathbb{C} \times \mathbb{R}$ belongs to the complement of the Master Teapot. As an application, we show that the intersection of the Master Teapot with the un…

Study shows rate of convergence for particle approximation of PDEs in Wasserstein space.

Hierarchical pretraining with slow-fast ODEs

In this article we present pictorially the foundation of differential geometry which is a crucial tool for multiple areas of physics, notably general and special relativity, but also mechanics, thermodynamics and solving differential equations. As all the concepts are presented as pictures, there are no equations in th…

We simplify supergravity in 10D using geometric insights.

The equations governing anti-self-dual and Einstein-Weyl conformal geometries can be regarded as `master dispersionless systems' in four and three dimensions respectively. Their integrability by twistor methods has been established by Penrose and Hitchin. In this note we present, in specially adapted coordinate systems…

We construct master spaces for oriented torsion free sheaves coupled with morphisms into a fixed reference sheaf. These spaces are projective varieties endowed with a natural $\C^*$-action. The fixed point set of this action contains the moduli space of semistable oriented torsion free sheaves and the quot scheme assoc…

We consider the problem of computing first-passage time distributions for reaction processes modelled by master equations. We show that this generally intractable class of problems is equivalent to a sequential Bayesian inference problem for an auxiliary observation process. The solution can be approximated efficiently…

We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, solving it analytically and numerically for the steady-state distribution, and exploring the solutions for various values o…