arXiv research

Develops a new filtration for asset pricing models.

Study weightings from singular Lie filtrations.

In sequential anytime-valid inference, any admissible procedure must be based on e-processes: generalizations of test martingales that quantify the accumulated evidence against a composite null hypothesis at any stopping time. This paper proposes a method for combining e-processes constructed in different filtrations b…

We study knots of order 2 in the grope filtration $\{\G_h\}$ and the solvable filtration $\{\F_h\}$ of the knot concordance group. We show that, for any integer $n\ge4$, there are knots generating a $\Z_2^\infty$ subgroup of $\G_n/\G_{n.5}$. Considering the solvable filtration, our knots generate a $\Z_2^\infty$ subgro…

Smooth maps show Gromoll filtration for spheres.

The abstract extends deformation and tangent groupoid constructions to infinite-dimensional manifolds.

The paper confirms a conjecture about optimal expected utility in markets with insider information.

The Johnson filtration of the mapping class group of a compact, oriented surface is the descending series consisting of the kernels of the actions on the nilpotent quotients of the fundamental group of the surface. Each term of the Johnson filtration admits a Johnson homomorphism, whose kernel is the next term in the f…

We define a filtration of the smooth concordance group based on the genus of representative knots. We use the Heegaard Floer epsilon and Upsilon invariants to prove the quotient groups with respect to this filtration are infinitely generated. Results are applied to three infinite families of topologically slice knots.

We show that the Artin representation on concordance classes of string links induces a well-defined epimorphism modulo order n twisted Whitney tower concordance, and that the kernel of this map is generated by band sums of iterated Bing-doubles of any string knot with nonzero Arf invariant. We also continue J. Levine's…

A new method for optimal filtration learning in time-series data analysis.

The paper develops a new theory of double Johnson filtrations for mapping class groups.

We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe Stricker \cite{KS:06} to continuous time and to a large financial market setting,…

For any group G, we define a new characteristic series related to the derived series, that we call the torsion-free derived series of G. Using this series and the Cheeger-Gromov rho-invariant, we obtain new real-valued homology cobordism invariants rho_n for closed (4k-1)-dimensional manifolds. For 3-dimensional manifo…

We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference default-free filtration in the random measure framework. On each default scena…

We consider controller-stopper problems in which the controlled processes can have jumps. The global filtration is represented by the Brownian filtration, enlarged by the filtration generated by the jump process. We assume that there exists a conditional probability density function for the jump times and marks given t…

We introduce several families of filtrations on the space of vector bundles over a smooth projective variety. These filtrations are defined using the large k asymptotics of the kernel of the Dolbeault Dirac operator on a bundle twisted by the kth power of an ample line bundle. The filtrations measure the failure of the…

In a recent paper we defined a new filtration of the mapping class group--the "Lagrangian" filtration. We here determine the successive quotients of this filtration, up to finite index. As an application we show that, for any additive invariant of finite-type (e.g. the Casson invariant), and any level of the Lagrangian…

We prove that every term of the lower central series and Johnson filtrations of the Torelli subgroups of the mapping class group and the automorphism group of a free group are finitely generated in a stable range. This was originally proved for the commutator subgroup by Ershov-He.

Defines volume and Monge-Ampère energy on polarized affine varieties.

The paper introduces new KMEs to capture stochastic process filtrations.

Toeplitz operators linked to submultiplicative filtrations and weighted Bergman kernels.

We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).

In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables measurable with respect to those filtrations. We assume that the terminal values of the m…

Generalizes Rips' result on hyperbolic spaces to metric spaces, showing collapses for tree metrics.

We consider two mod-p central series of the free group given by Stallings and Zassenhaus. Applying these series to definitions of Dennis Johnson's filtration of the mapping class group we obtain two mod-p Johnson filtrations. Further, we adapt the definition of the Johnson homomorphisms to obtain mod-p Johnson homomorp…

This paper computes Whitney tower filtrations of classical links. Whitney towers consist of iterated stages of Whitney disks and allow a tree-valued intersection theory, showing that the associated graded quotients of the filtration are finitely generated abelian groups. Twisted Whitney towers are studied and a new qua…

For k >= 1, let Torelli_g^1(k) be the k-th term in the Johnson filtration of the mapping class group of a genus g surface with one boundary component. We prove that for all k, there exists some G_k >= 0 such that Torelli_g^1(k) is generated by elements which are supported on subsurfaces whose genus is at most G_k. We a…

Lagrangian traces help understand Johnson filtration in handlebody groups.

We prove that every term of the lower central series and Johnson filtrations of the Torelli subgroups of the mapping class group and the automorphism group of a free group is finitely generated in a linear stable range. This was originally proved for the second terms by Ershov and He.

We examine the Johnson filtration of the (outer) automorphism group of a finitely generated group. In the case of a free group, we find a surprising result: the first Betti number of the second subgroup in the Johnson filtration is finite. Moreover, the corresponding Alexander invariant is a non-trivial module over the…

It is known that the automorphism group of a K-polystable Fano manifold is reductive. Codogni and Dervan construct a canonical filtration of the section ring, called Loewy filtration, and conjecture that the Loewy filtration destabilizes any Fano variety with non-reductive automorphism group. In this note, we give a co…

Let $Σ$ be a compact connected oriented surface with one boundary component and let $\mathcal{M}$ denote the mapping class group of $Σ$. By considering the action of $\mathcal{M}$ on the fundamental group of $Σ$ it is possible to define different filtrations of $\mathcal{M}$ together with some homomorphisms on each ter…

We consider the Grope filtration of the classical knot concordance group that was introduced in a paper of Cochran, Orr and Teichner. Our main result is that successive quotients at each stage in this filtration have infinite rank. We also establish the analogous result for the Grope filtration of the concordance group…

Ricci-Filtration enhances retrieval-augmented generation rerankers for query-answer tasks by using discrete Ricci flow on graphs.

The paper simplifies complex jump-diffusion markets to complete models.

A knot in the 3-sphere is called doubly slice if it is a slice of an unknotted 2-sphere in the 4-sphere. We give a bi-sequence of new obstructions for a knot being doubly slice. We construct it following the idea of Cochran-Orr-Teichner's filtration of the classical knot concordance group. This yields a bi-filtration o…

The homology cobordism group of homology cylinders is a generalization of the mapping class group and the string link concordance group. We study this group and its filtrations by subgroups by developing new homomorphisms. First, we define extended Milnor invariants by combining the ideas of Milnor's link invariants an…

Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by R. Norberg. In the enlargened fi…

The knot Floer complex and the concordance invariant $\varepsilon$ can be used to define a filtration on the smooth concordance group. We exhibit an ordered subset of this filtration that is isomorphic to $\mathbb{N} \times \mathbb{N}$ and consists of topologically slice knots.

The knot Floer complex together with the associated concordance invariant epsilon can be used to define a filtration on the smooth concordance group. We show that the indexing set of this filtration contains the natural numbers cross the integers as an ordered subset.

Let M denote the mapping class group of S, a compact connected oriented surface with one boundary component. The action of M on the nilpotent quotients of the fundamental group of S allows to define the so-called Johnson filtration and the Johnson homomorphisms. J. Levine introduced a new filtration of M, called the La…

We define a filtration on the vector space spanned by Seifert matrices of knots related to Vassiliev's filtration on the space of knots. Further we show that the invariants of knots derived from the filtration can be expressed by coefficients of the Alexander polynomial.

Given a Markovian Brownian martingale $Z$, we build a process $X$ which is a martingale in its own filtration and satisfies $X_1 = Z_1$. We call $X$ a dynamic bridge, because its terminal value $Z_1$ is not known in advance. We compute explicitly its semimartingale decomposition under both its own filtration $\cF^X$ an…

We propose and analyze a structure with which to organize the difference between a knot in the 3-sphere bounding a topologically embedded 2-disk in the 4-ball and it bounding a smoothly embedded disk. The n-solvable filtration of the topological knot concordance group, due to Cochran-Orr-Teichner, may be complete in th…

We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as the classical density hypothesis of Jacod (1985) holds. This generalizes the ex…

The article explores the mapping class group using unicellular maps and provides filtrations.

Given an irreducible well-generated complex reflection group, we construct an explicit basis for the module of vector fields with logarithmic poles along its reflection arrangement. This construction yields in particular a Hodge filtration of that module. Our approach is based on a detailed analysis of a flat connectio…