arXiv research

This work studies the contraction coefficients of Schrödinger bridge problems in linear systems.

This paper simplifies complex game dynamics by using a recursive representation.

We use symplectic cobordism, and the localization result of Ginzburg, Guillemin, and Karshon, to find a wall-crossing formula for the signature of regular symplectic quotients of Hamiltonian torus actions. The formula is recursive, depending ultimately on fixed point data. In the case of a circle action, we obtain a fo…

This research extends topological recursion to hyperbolic surfaces with tight boundaries and conical defects.

Solves steering problem with continuous time, Hilbert-Schmidt cost, and matrix ODEs.

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show that the problem is well posed, in the sense that the value is indeed the unique …

Study eigenvalue distributions of neural kernels for linear-width networks.

Harer and Zagier proved a recursion to enumerate gluings of a $2d$-gon that result in an orientable genus $g$ surface, in their work on Euler characteristics of moduli spaces of curves. Analogous results have been discovered for other enumerative problems, so it is natural to pose the following question: how large is t…

Online (also called "recursive" or "adaptive") estimation of fixed model parameters in hidden Markov models is a topic of much interest in times series modelling. In this work, we propose an online parameter estimation algorithm that combines two key ideas. The first one, which is deeply rooted in the Expectation-Maxim…

We prove that the general fibre of the $i$-th Gauss map has dimension $m$ if and only if at the general point the $(i+1)$-th fundamental form consists of cones with vertex a fixed $\mathbb P^{m-1}$, extending a known theorem for the usual Gauss map. We prove this via a recursive formula for expressing higher fundamenta…

Implicit deep learning prediction rules generalize the recursive rules of feedforward neural networks. Such rules are based on the solution of a fixed-point equation involving a single vector of hidden features, which is thus only implicitly defined. The implicit framework greatly simplifies the notation of deep learni…

FORE evaluates occupancy ratios without requiring Bellman completeness.

Formula counts rational curves with a specific singular point in projective space.

The paper proposes a new probability distribution for rooted trees.

This paper concerns the recursive utility maximization problem under partial information. We first transform our problem under partial information into the one under full information. When the generator of the recursive utility is concave, we adopt the variational formulation of the recursive utility which leads to a s…

In this paper we consider an elementary, and largely unexplored, combinatorial problem in low-dimensional topology. Consider a real 2-dimensional compact surface $S$, and fix a number of points $F$ on its boundary. We ask: how many configurations of disjoint arcs are there on $S$ whose boundary is $F$? We find that thi…

Deep neural network solves portfolio optimization with MGARCH and small transaction costs.

Recursion formula derived for moduli spaces of hyperbolic surfaces with cone points.

New recursion found for hyperbolic sphere volumes.

A new algorithm for learning shallow neural networks with infinite width.

Counting lattice points in moduli space of Klein surfaces.

New estimator reduces nested expectation estimation costs.

We propose a novel approach to parameter estimation for simulator-based statistical models with intractable likelihood. Our proposed method involves recursive application of kernel ABC and kernel herding to the same observed data. We provide a theoretical explanation regarding why the approach works, showing (for the p…

VR-GHAL method solves stochastic fixed-point equations with high probability.

The second author and Norbury initiated the enumeration of lattice points in the Deligne-Mumford compactifications of moduli spaces of curves. They showed that the enumeration may be expressed in terms of polynomials, whose top and bottom degree coefficients store psi-class intersection numbers and orbifold Euler chara…

We study topological recursion on the irregular spectral curve $xy^2-xy+1=0$, which produces a weighted count of dessins d'enfant. This analysis is then applied to topological recursion on the spectral curve $xy^2=1$, which takes the place of the Airy curve $x=y^2$ to describe asymptotic behaviour of enumerative proble…

Topological recursion recovers a specific partition function for colored knots.

Study volumes of Klein surfaces, extending Mirzakhani's recursion.

New TD algorithms stabilize RL tasks by reformulating updates into fixed point equations.

We propose a general theory for constructing functorial assignments $Σ\longmapsto Ω_Σ \in E(Σ)$ for a large class of functors $E$ from a certain category of bordered surfaces to a suitable target category of topological vector spaces. The construction proceeds by successive excisions of homotopy classes of embedded pai…

In this paper, we study and analyze the mini-batch version of StochAstic Recursive grAdient algoritHm (SARAH), a method employing the stochastic recursive gradient, for solving empirical loss minimization for the case of nonconvex losses. We provide a sublinear convergence rate (to stationary points) for general noncon…

We extend topological recursion to twisted Higgs bundles with singularities.

We study and completely describe pairs of compatible Poisson structures near singular points of the recursion operator satisfying natural non-degeneracy condition.

The objective is to study an on-line Hidden Markov model (HMM) estimation-based Q-learning algorithm for partially observable Markov decision process (POMDP) on finite state and action sets. When the full state observation is available, Q-learning finds the optimal action-value function given the current action (Q func…

Benchmarking recursive collapse claims with a new framework under false-positive control.

In this paper, we give a new genus-3 topological recursion relation for Gromov-Witten invariants of compact symplectic manifolds. This formula also applies to intersection numbers on moduli spaces of spin curves. A by-product of the proof of this formula is a new relation in the tautological ring of the moduli space of…

We investigate the special Kähler geometry of the base of the Hitchin integrable system in terms of spectral curves and topological recursion. The Taylor expansion of the special Kähler metric about any point in the base may be computed by integrating the $g = 0$ Eynard-Orantin invariants of the corresponding spectral …

In a recurrent setting, conventional approaches to neural architecture search find and fix a general model for all data samples and time steps. We propose a novel algorithm that can dynamically search for the structure of cells in a recurrent neural network model. Based on a combination of recurrent and recursive neura…

New algorithm reduces rank constrained optimization problems.

This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth coefficients satisfy our assumption. After given an equivalent backward formulation of our …

We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction of a discrete multinomial tree. The crucial feature of our approach is that -- …

We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its type based on the current empirical distribution of the types and the equilibri…

Study Nash equilibrium in non-zero-sum game with Bermudan strategies.

In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the probability density function, the hedging error, the Asian option, and statistical hypothesis testing. We propose a method to c…

In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold $d=0$ and $d>0$ under the assumption that the constant discount rate $ν\in (0,1)$. More specifical…

Using methods of math.DG/0304245 and [I.S.Krasil'shchik and P.H.M.Kersten, Symmetries and recursion operators for classical and supersymmetric differential equations, Kluwer, 2000], we accomplish an extensive study of the N=1 supersymmetric Korteweg-de Vries equation. The results include: a description of local and non…

The paper classifies circle actions on 6D manifolds with isolated fixed points.

The paper analyzes and proposes a new stopping criterion for recursive Bayesian classification.