arXiv research

We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of futures price curve models wh…

We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a fin…

This manuscript studies statistical properties of linear classifiers obtained through minimization of an unregularized convex risk over a finite sample. Although the results are explicitly finite-dimensional, inputs may be passed through feature maps; in this way, in addition to treating the consistency of logistic reg…

We show in this note that the Sobolev Discrepancy introduced in Mroueh et al in the context of generative adversarial networks, is actually the weighted negative Sobolev norm $||.||_{\dot{H}^{-1}(ν_q)}$, that is known to linearize the Wasserstein $W_2$ distance and plays a fundamental role in the dynamic formulation of…

The paper extends LDDMM framework to include Lie group actions in large deformation shape registration.

Study bounds financial path expectations using martingale distributions.

We prove existence and uniqueness of optimal maps on $RCD^*(K,N)$ spaces under the assumption that the starting measure is absolutely continuous. We also discuss how this result naturally leads to the notion of exponentiation.

In this paper, we develop several related finite dimensional variational principles for discrete optimal transport (DOT), Minkowski type problems for convex polytopes and discrete Monge-Ampere equation (DMAE). A link between the discrete optimal transport, discrete Monge-Ampere equation and the power diagram in computa…

This paper solves nonparametric estimation of continuous DPPs using kernel methods.

The paper connects moment maps to the stability of holomorphic fibrations.

The purpose of this paper is to show that in a finite dimensional metric space with Alexandrov's curvature bounded below, Monge's transport problem for the quadratic cost admits a unique solution.

Optimal risk sharing without convex preferences using aggregate convexity.

Survey of recent results on homogeneous finite-dimensional spaces.

We propose a finite dimensional variational principle on triangulated 3-manifolds so that its critical points are related to solutions to Thurston's gluing equation and Haken's normal surface equation. The action functional is the volume. This is a generalization of an earlier program by Casson and Rivin for compact 3-…

This paper refines the Gaussian Sinkhorn algorithm for general multivariate models.

Develops a finite construction for self-duality and related moduli spaces over Riemann surfaces.

New result on finite gerbes simplifies classification of certain bundles.

This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it to a finite dimensional one which corresponds to optimizing a neural network wi…

We prove that there is no faithful finite-dimensional representation by skew-hermitian matrices of a ``basic algebra of observables'' B on a noncompact symplectic manifold M. Consequently there exists no finite-dimensional quantization of any Lie subalgebra of the Poisson algebra C^\infty(M) containing B.

Finite-dimensional spaces of biharmonic functions on manifolds are explored.

We propose a new technique that boosts the convergence of training generative adversarial networks. Generally, the rate of training deep models reduces severely after multiple iterations. A key reason for this phenomenon is that a deep network is expressed using a highly non-convex finite-dimensional model, and thus th…

The paper studies multi-curve interest rate models and their consistency and finite-dimensional realizations.

Quantizes Kähler-Ricci flow for Fano manifolds.

Paper develops a finite dimensional approximation scheme for Riemannian manifolds.

Finite spaces can be or not coproducts of subspaces.

We propose a novel supervised learning method to optimize the kernel in the maximum mean discrepancy generative adversarial networks (MMD GANs), and the kernel support vector machines (SVMs). Specifically, we characterize a distributionally robust optimization problem to compute a good distribution for the random featu…

Solves classical problem with Kähler-Einstein metrics in complex projective spaces.

This paper generalizes the Maurer--Pontil framework of finite-dimensional lossy coding schemes to the setting where a high-dimensional random vector is mapped to an element of a compact set of latent representations in a lower-dimensional Euclidean space, and the reconstruction map belongs to a given class of nonlinear…

Abstract: Geometrically reformulates estimation theory for finite-dimensional C*-algebras.

We show that a continuous local semiflow of $C^k$-maps on a finite-dimensional $C^k$-manifold M can be embedded into a local $C^k$-flow on M under some weak (necessary) assumptions. This result is applied to an open problem in [fil/tei:01]. We prove that finite-dimensional realizations for interest rate models are high…

Study optimizes growth rate for investors with long-only constraints.

In this paper, we present a simple analysis of {\bf fast rates} with {\it high probability} of {\bf empirical minimization} for {\it stochastic composite optimization} over a finite-dimensional bounded convex set with exponential concave loss functions and an arbitrary convex regularization. To the best of our knowledg…

A homological selection theorem for C-spaces, as well as, a finite-dimensional homological selection theorem is established. We apply the finite-dimensional homological selection theorem to obtain fixed-point theorems for usco homologically UV^n set-valued maps.

We prove a version of the countable union theorem for asymptotic dimension and we apply it to groups acting on asymptotically finite dimensional metric spaces. As a consequence we obtain the following finite dimensionality theorems. A) An amalgamated product of asymptotically finite dimensional groups has finite asympt…

In this paper, we refine the notion of Z-boundaries of groups introduced by Bestvina and further developed by Dranishnikov. We then show that the standard assumption of finite-dimensionality can be omitted as the result follows from the other assumptions.

The exploration-exploitation trade-off is among the central challenges of reinforcement learning. The optimal Bayesian solution is intractable in general. This paper studies to what extent analytic statements about optimal learning are possible if all beliefs are Gaussian processes. A first order approximation of learn…

In this paper we prove that the holonomy group of a simply connected locally projectively flat Finsler manifold of constant curvature is a finite dimensional Lie group if and only if it is flat or it is Riemannian.

We show that groups satisfying Kazhdan's property (T) have no unbounded actions on finite dimensional CAT(0) cube complexes, and deduce that there is a locally CAT(-1) Riemannian manifold which is not homotopy equivalent to any finite dimensional, locally CAT(0) cube complex.

Using the categorical description of supergeometry we give an explicit construction of the diffeomorphism supergroup of a compact finite-dimensional supermanifold. The construction provides the diffeomorphism supergroup with the structure of a Frechet supermanifold. In addition, we derive results about the structure of…

New bounds for adaptive control in high dimensions without fixed state space.

The paper surveys open problems and questions related to different aspects of integrable systems with finitely many degrees of freedom. Many of the open problems were suggested by the participants of the conference "Finite-dimensional Integrable Systems, FDIS 2017" held at CRM, Barcelona in July 2017.

We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forward interest rates. First we show regularity properties of the price function by probabilistic methods. Then we find an infinite dimensional…

The paper explores mapping class groups and their quantum field theory representations.

We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann.…

The Kuperberg invariant is shown to be gauge invariant for certain framed 3-manifolds.

Separates estimation and control in risk-sensitive investment problems with partial observation.

The study connects Kato bounds to finite-dimensional RCD spaces.

In this paper we consider the complex vector spaces of holomorphic cross-sections of homogeneous holomorphic vector bundles over elliptic adjoint orbits, and provide a sufficient condition for the vector spaces to be finite dimensional in view of root systems.