arXiv research

Proves finite step termination of Kähler-Einstein metric singularity formation.

The paper examines special Q-nets that terminate after a finite number of Laplace steps.

Proves finitely generated graded rings for klt singularities.

The paper finds optimal threshold strategies for insurance companies with a positive terminal value at creeping ruin.

New test for SGD in binary classification reduces computation time.

Study on singularities of Chern-Ricci flow on complex manifolds.

We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can be described by a three-dimensional system of backward stochastic differential eq…

The paper analyzes portfolio selection with non-concave utility and transaction costs.

Conditional diffusion models can approximate target distributions well with Gaussian-mixture reverse kernels.

We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.

The paper optimizes insurance dividend payments and reinsurance strategies under specific distribution constraints.

We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder's job termination risk and incorporate its impact on the payoffs of both vested and unvested ESOs. Numerical methods based on Fourier transform and finite di…

T-Rex selector selects variables fast and controls FDR in high-dimensional data.

A framework solves parametric families of MFGs efficiently.

We show that the Gromov boundary of the free product of two infinite hyperbolic groups is uniquely determined up to homeomorphism by the homeomorphism types of the boundaries of its factors. We generalize this result to graphs of hyperbolic groups over finite subgroups. Finally, we give a necessary and sufficient condi…

We introduce and study a class of probabilistic generative models, where the latent object is a finite-dimensional diffusion process on a finite time interval and the observed variable is drawn conditionally on the terminal point of the diffusion. We make the following contributions: We provide a unified viewpoint on b…

To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying terminal time. Using the embedding technique from stochastic optimal control in conti…

We treat utility maximization from terminal wealth for an agent with utility function $U:\mathbb{R}\to\mathbb{R}$ who dynamically invests in a continuous-time financial market and receives a possibly unbounded random endowment. We prove the existence of an optimal investment without introducing the associated dual prob…

Optimal reinsurance strategy found to minimize financial risk.

This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an opt…

Unified theory for optimal execution through signal-adaptive quotes in limit order books.

Consider a financial market in which an agent trades with utility-induced restrictions on wealth. By introducing a general convex-analytic framework which includes the class of umbrella wedges in certain Riesz spaces and faces of convex sets (consisting of probability measures), together with a duality theory for polar…

In this work, we consider the problem of autonomously discovering behavioral abstractions, or options, for reinforcement learning agents. We propose an algorithm that focuses on the termination condition, as opposed to -- as is common -- the policy. The termination condition is usually trained to optimize a control obj…

aLTT selects hyperparameters efficiently with statistical guarantees.

Given a presentation for a rack $\mathcal R$, we define a process which systematically enumerates the elements of $\mathcal R$. The process is modeled on the systematic enumeration of cosets first given by Todd and Coxeter. This generalizes and improves the diagramming method for $n$-quandles introduced by Winker. We p…

We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem of maximizing expected utility from terminal liquidation wealth at a finite plan…

Study resolves duality gap in optimal consumption with random income termination.

Study bounds for prices of European and American options with optional termination.

New method preserves distances in time series data.

Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid. Under minimal assumptions we prove convergence of the optimal discrete-time strate…

The study proves a key inequality for specific types of three-dimensional spaces.

In this paper, we propose a general model for plane-based clustering. The general model contains many existing plane-based clustering methods, e.g., k-plane clustering (kPC), proximal plane clustering (PPC), twin support vector clustering (TWSVC) and its extensions. Under this general model, one may obtain an appropria…

Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general Lévy stock price dynamics, we show that a higher job termination ri…

We propose two rational expectation models of transient financial bubbles with heterogeneous arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic faster-than-exponential price dynamics. As a result of the nonlinear feedbacks, the termination of a bubble is found to be characterized by a …

We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is…

Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a quasiconcave utility functional. We extend to the present setting certain existen…

We prove that the sum of the $α$-invariants of two different Kollár components of a Kawamata log terminal singularity is less than $1$.

New method for computing terminal embeddings in sublinear time.

Locally adaptive clustering for tree delineation.

We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability space and finite-horizon discrete time steps. This framework allows us to compare v…

The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows. The price of the asset is the sum of the discounted conditional expectations of…

Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…

In reinforcement learning, a decision needs to be made at some point as to whether it is worthwhile to carry on with the learning process or to terminate it. In many such situations, stochastic elements are often present which govern the occurrence of rewards, with the sequential occurrences of positive rewards randoml…

Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.

We suggest a new algorithm for finding a canonical representative of a given braid, and also for the harder problem of finding a $σ_1$-consistent representative. We conjecture that the algorithm is quadratic-time. We present numerical evidence for this conjecture, and prove two results: (1) The algorithm terminates in …

We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to a finite sequence of state-constrained optimal control problems with additional…

This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for…

A pairs trading model with time-varying volatility using stochastic control.