Sharp L∞ estimates proved for complex Monge-Ampère equations.
problem Proving sharp L∞ estimates for complex Monge-Ampère equations. method PDE proof covering fixed and degenerating background metrics, extends to general fully non-linear equations.
result Sharp L∞ estimates proved for complex Monge-Ampère equations. Paper studies solutions to a specific equation in conformal geometry with singular sets.
problem Singular solutions to a fully non-linear equation in conformal geometry.
method Uses a classical gluing method adapted to the fully non-linear setting.
result Shows the classical gluing method can be applied to the σ2--Yamabe equation. Sharp L∞ estimates for non-Kähler manifolds' PDEs are derived.
problem Sharp L∞ estimates for fully nonlinear PDEs on non-Kähler manifolds. method Comparison with an auxiliary Monge-Ampère equation on a ball with Dirichlet boundary conditions.
result The method yields unique solutions and improves on existing methods.
Study bi-Hermitian metrics on complex surfaces and solve geometric PDEs.
problem Construct canonical metrics on complex surfaces with split tangent bundle.
method Introduced new fully non-linear geometric PDEs and established smooth solutions.
result Solved the prescribed Bismut Ricci problem on complex surfaces.
Uniform bounds for complex equations using Monge-Ampère method.
problem Bounding solutions to complex equations.
method Auxiliary Monge-Ampère equation method.
result Uniform bounds remain valid even as background metrics degenerate.
Paper proves uniform continuity bounds for complex Monge-Ampère solutions.
problem Estimating the continuity of solutions to complex Monge-Ampère equations.
method PDE-based approach from fully non-linear equations in Kähler geometry.
result Uniform and sharp estimate for the modulus of continuity.
Solves a PDE for Landsberg surfaces using new Finsler surface insights.
problem Solving the Landsberg's PDE for Finsler surfaces.
method Reduces the system of non-linear PDEs to a single PDE, the Landsberg's PDE, and solves it.
result Obtains a class of solutions for the Landsberg's PDE.
New proof of L∞ estimates for Monge-Ampère and Hessian equations on nef classes.
problem Estimating solutions to Monge-Ampère and Hessian equations on nef classes.
method Applying PDE approach to Kähler manifolds to nef classes.
result New proofs of estimates for Monge-Ampère and Hessian equations.
Develops a new approach to study nonlinear PDEs and their singularities.
problem Understanding the propagation domains of solutions to nonlinear PDEs.
method Derived geometric machinery and sheaf theory to study nonlinear PDEs and their singular supports.
result Estimates the domains of propagation for solutions of non-linear systems.
Develops deep learning methods for non-linear PDEs in credit risk.
problem Solving option XVA pricing problems with non-linear PDE models.
method Boundary-safe PINNs approach, using automatic differentiation.
result Eliminates heuristic boundary condition weights, improves accuracy.
In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown that it is possible to carry out a recursive approximation to an arbitrarily highe…
Study of nonlinear PDEs using derived geometry and BV formalism.
problem Understanding non-linear PDEs via derived geometric methods.
method Derived enhancement of de Rham complex, algebro-geometric techniques, BV formalism.
result Natural derived enhancement of de Rham complex for nonlinear PDEs.
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the standing volume densities on both sides of the LOB we derive a weak law of …
Uniform bounds derived for fully non-linear equations.
problem Bounding fully non-linear equations uniformly in background metrics.
method Auxiliary Monge-Ampère equations and entropy-like quantities.
result Uniform L∞ bounds for systems coupling fully non-linear equations to their linearizations. The paper examines solutions to a specific type of nonlinear equation in a disk, proving existence and uniqueness.
problem Existence and uniqueness of radial solutions to a Weingarten equation in a disk.
method Analyzes the linear Weingarten equation in a disk of small radius, considering elliptic, hyperbolic, and parabolic cases.
result Proves existence and uniqueness of radial solutions in the elliptic case, and no solutions in the hyperbolic case.
Paper develops techniques to solve complex PDEs involving higher cohomology forms.
problem Develop PDE techniques to study real (p, p) forms on Hermitian manifolds.
method Parabolic approach to establish existence of classical solutions.
result Existence of classical solutions for a large class of fully nonlinear equations.
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial and final time, we optimise our cost function given the prices of a finite number…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in such applications are high-dimensional as the dimension corresponds to the number …
New machine learning methods solve complex PDEs with improved accuracy.
problem Solving fully nonlinear PDEs with convex Hamiltonian.
method Rewriting PDE in dual stochastic control form, estimating optimal feedback control with neural network, approximating value function with neural networks.
result Improved estimation of PDE solution and its derivatives, especially the second derivative.
We provide new exact Taylor's series with fixed coefficients and without the remainder. We demonstrate the usefulness of this contribution by using it to obtain very simple solutions to (non-linear) PDEs. We also apply the method to the portfolio model.
In the neighborhood of a regular point, generalized Kahler geometry admits a description in terms of a single real function, the generalized Kahler potential. We study the local conditions for a generalized Kahler manifold to be a generalized Calabi-Yau manifold and we derive a non-linear PDE that the generalized Kahle…
PDE-based G-CNNs add geometric symmetries to CNNs without augmentation.
problem Designing CNNs with built-in symmetries like rotation.
method Formulate CNN layers as PDE solvers on homogeneous spaces.
result PDE-G-CNNs achieve better performance with fewer parameters.
We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs). Our algorithm estimates simultaneously by backward time induction the solution and its gradient by multi-layer neural networks, while the Hessian is approximated by automatic differentiation of the gradient…
We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.
Study shows long-term solutions for complex equations on curved spaces.
problem Long-term behavior of solutions to fully non-linear parabolic equations on Hermitian manifolds.
method Used general assumptions and derived a Harnack inequality for the linearized equation.
result Proved the long-time existence and convergence of solutions.
Introduces a new PDE involving differential forms for Kähler geometry.
problem Solving a unified PDE for various important equations in Kähler geometry.
method Introduces a fully nonlinear PDE with differential form Λ and proves solvability conditions.
result Generalizes previous works and proves a conjecture for the dHYM equation.
Paper solves complex equations on noncompact manifolds.
problem Establishing estimates and existence for fully non-linear equations.
method General class of fully non-linear equations on Kähler and Hermitian manifolds.
result Constructs complete Kähler metrics with prescribed volume forms.
We use Vessiot theory and exterior calculus to solve partial differential equations(PDEs) of the type uyy = F(x, y,u,ux,uy,uxx,uxy) and associated evolution equations. These equations are represented by the Vessiot distribution of vector fields. We develop and apply an algorithm to find the largest integrable sub-distr…
The paper establishes boundary estimates for solutions to elliptic equations on Hermitian manifolds.
problem Boundary estimates for solutions to fully non-linear elliptic equations on Hermitian manifolds.
method Unified approach using quantitative boundary estimates, gradient estimates, and existence results.
result Established gradient estimates and unified approach to Dirichlet problem solutions.
Solves Dirichlet problem for elliptic equations on Hermitian manifolds.
problem Solving Dirichlet problem for fully non-linear elliptic equations on Hermitian manifolds.
method Establishing a quantitative boundary estimate under a subsolution assumption.
result Derives solvability and regularity of the Dirichlet problem.
We succeed in writing 2-dimensional conformally invariant non-linear elliptic PDE (harmonic map equation, prescribed mean curvature equations...etc) in divergence form. This divergence free quantities generalize to target manifolds without symmetries the well known conservation laws for harmonic maps into homogeneous s…
Study numerical methods for singular FBSDEs with degenerate forward component.
problem Numerical approximation of singular fully coupled FBSDEs with degenerate forward component and non-smooth terminal condition.
method Splitting approach to treat diffusion and transport parts separately.
result The splitting method converges with rate 1/2 under structural condition.
Paper generalizes sub-slope definition and solves complex equations on compact manifolds.
problem Solving complex equations on compact almost Hermitian manifolds.
method Generalized sub-slope definition and proved existence of solutions for a class of equations.
result Solved complex Hessian quotient and deformed Hermitian-Yang-Mills equations.
Anisotropic minimal graphs over half-spaces are flat.
problem Characterizing minimal graphs over half-spaces.
method Maximum principle and fully nonlinear PDE theory.
result Anisotropic minimal graphs over half-spaces are flat.
The physics informed neural network (PINN) is evolving as a viable method to solve partial differential equations. In the recent past PINNs have been successfully tested and validated to find solutions to both linear and non-linear partial differential equations (PDEs). However, the literature lacks detailed investigat…
Geodesics in positive Lagrangian spaces map to special Lagrangian cylinders.
problem Understanding geodesics in spaces of positive Lagrangian submanifolds.
method Cylindrical transform of geodesics, solving elliptic PDEs.
result Geodesics in positive Lagrangian spaces correspond to one-parameter families of special Lagrangian cylinders.
Paper establishes estimates for solutions on compact manifolds.
problem Solving fully non-linear equations on compact almost Hermitian manifolds.
method Establishes a priori estimates for solutions.
result Solves complex Hessian and Monge-Ampère equations.
Sharp L∞ estimates for fully non-linear elliptic equations on compact complex manifolds.
problem Sharp L∞ estimates for fully non-linear elliptic equations on compact complex manifolds.
method Comparison with auxiliary complex Monge-Ampère equations, Hölder-Young inequality, and De Giorgi iteration lemma.
result Improved L∞ estimates for fully non-linear elliptic equations on Kähler and Hermitian manifolds.
We show that a properly convex projective structure p on a closed oriented surface of negative Euler characteristic arises from a Weyl connection if and only if p is hyperbolic. We phrase the problem as a non-linear PDE for a Beltrami differential by using that p admits a compatib…
Extends parabolic study to flat hyperkähler manifolds.
problem Study problems in hyperhermitian geometry.
method Extends elliptic approach to parabolic setting.
result Solves problems in hyperhermitian geometry.
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small price impact, we determine the asymptotic expansion of the value function around …
FiniteNet uses a neural network to improve PDE solving methods.
problem Improving accuracy in solving time-dependent PDEs.
method Fully convolutional LSTM network trained on simulation data.
result Reduces error by a factor of 2 to 3 compared to baseline methods.
Calibration of stochastic local volatility (SLV) models to their underlying local volatility model is often performed by numerically solving a two-dimensional non-linear forward Kolmogorov equation. We propose a novel finite volume (FV) discretization in the numerical solution of general 1D and 2D forward Kolmogorov eq…
D2SRM solves complex PDEs using deep learning.
problem High-dimensional, Hessian-dependent fully nonlinear parabolic PDEs.
method Single scalar space-time network generating derivative-consistent approximations trained through residuals and penalties.
result Well-posedness and convergence theory established for globally Lipschitz equations.
We present a deep recurrent neural network architecture to solve a class of stochastic optimal control problems described by fully nonlinear Hamilton Jacobi Bellmanpartial differential equations. Such PDEs arise when one considers stochastic dynamics characterized by uncertainties that are additive and control multipli…
In this note we discuss some formal properties of universal linearization operator, relate this to brackets of non-linear differential operators and discuss application to the calculus of auxiliary integrals, used in compatibility reductions of PDEs.
New complex-valued maps found on complex geometries.
problem Finding new maps on complex geometries.
method Solving non-linear PDEs based on manifold geometry.
result Constructed new proper biharmonic and (2,1)-harmonic maps.
The paper solves curvature measure problem in hyperbolic space.
problem Prescribed curvature measure problem in hyperbolic space.
method Establishing C^2 regularity estimates for solutions to fully nonlinear PDE.
result Existence of star-shaped k-convex bodies with prescribed curvature measures.