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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,051 papers · 148 categories

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25.0%50.0%75.0%100.0% · Jun 199319922001200920182026
48 results for geometric stochastics

GeoAdaLer enhances geometric understanding of Adam for stochastic optimization.

problem Understanding geometric principles behind Adam's success in stochastic optimization.
method Introduces GeoAdaLer, an adaptive learning method based on geometric properties.
result Extends interpretability and effectiveness in complex optimization scenarios.

Geometric step decay schedules improve stochastic algorithms' convergence on sharp nonconvex problems.

problem Convergence of stochastic algorithms on sharp nonconvex problems.
method Geometric step decay schedule applied to stochastic algorithms.
result Geometric step decay schedules lead to local linear convergence rates for sharp nonconvex problems.

New method learns dynamics from sparse data using geometric constraints.

problem Learning dynamics from sparse, undersampled data.
method Reformulates inference as a stochastic control problem, using geometry-driven path augmentation.
result Accurately recovers stochastic dynamics from extremely undersampled data.

Paper prices geometric Asian options using a multifactor stochastic volatility model.

problem Pricing continuous geometric Asian options under multifactor stochastic volatility.
method Asymptotic expansion and perturbation techniques for both floating and fixed strike GAOs.
result Simplified pricing formulae for GAOs derived in a multifactor stochastic volatility framework.

SGD and stochastic gradient descent converge at optimal rates for certain non-convex functions.

problem Optimal convergence rates for non-convex functions under gradient noise.
method Geometric interpretation of the PL-condition to analyze convergence rates.
result Convergence rates of SGD and stochastic gradient descent match those of strongly convex quadratics.

Paper formalizes multi-dimensional FSD using geometric methods.

problem Complex measure theory and calculus barriers to formalization in proof assistants.
method Geometric framework for first-order stochastic dominance in N dimensions.
result Geometric approach bypasses complex integration theory for direct comparison of survival probabilities.

Geometric arbitrage theory uses quantum mechanics to model market dynamics and arbitrage opportunities.

problem Modeling and managing arbitrage opportunities in financial markets.
method Quantum mechanical approach to geometric arbitrage theory, solving the Schroedinger equation.
result Results from quantum mechanics align with classical stochastic models, providing consistency.

Researchers interpret SGD using diffusion metrics for clearer geometric understanding.

problem Elusiveness of geometrical significance in stochastic gradient descent.
method Study a deterministic model with geodesics of diffusion metrics.
result Establishes parallel with General Relativity models.

Paper uses second-order differential geometry to study stochastic mechanics.

problem Stochastic differential equations and their symmetries.
method Develops second-order differential geometry to study symmetries of SDEs and constructs stochastic mechanics.
result Establishes stochastic Lagrangian and Hamiltonian mechanics and their relations with HJB equations.

This paper introduces online algorithms to estimate robust geometric median in large data streams.

problem Detecting outliers in large data sets using robust statistical measures.
method Online stochastic Newton methods for estimating the geometric median.
result Rates of convergence for online estimation of the geometric median.

New geometric SDEs and discretizations on Riemannian manifolds with error bounds.

problem Modeling diffusion processes on Riemannian manifolds with geometric SDEs.
method Introduced a new construction of geometric SDEs and provided non-asymptotic error bounds.
result First non-asymptotic error bound for geometric Euler-Murayama discretization.

Study explains Zipf's law using geometric mechanisms from a finite alphabet.

problem Explains Zipf's law in language without relying on linguistic elements.
method Uses the Full Combinatorial Word Model (FCWM) to generate geometric distributions of word lengths.
result Supports predictions of power-law rank-frequency curves, matching various languages.

GMMNs model cross-sectional dependence for better option pricing and simulation.

problem Modeling cross-sectional dependence between stochastic processes.
method Generative moment matching networks (GMMNs) for geometric Brownian motions and ARMA-GARCH models.
result GMMNs produce dependent quasi-random samples with variance reduction.

The paper derives formulas for pricing geometric Asian options in the Volterra-Heston model.

problem Pricing geometric Asian options in the Volterra-Heston model.
method Derives semi-closed formulas using Fourier transforms and Riccati-Volterra equations.
result Derives formulas for pricing geometric Asian options with fixed and floating strikes.

Geometric Occam's Razor shapes deep learning solutions.

problem Understanding the regularization in over-parameterized neural networks.
method Analyzing the geometric model complexity and Dirichlet energy in neural networks.
result Over-parameterized neural networks are implicitly regularized by geometric model complexity.

The study extends stochastic block models to geometric settings, focusing on community detection and information flow.

problem Generalizing community detection and information flow models to geometric settings.
method Considered a geometric random graph over a homogeneous metric space, defined a geometric counterpart of flow of information on trees.
result Sufficient conditions for recovering locations and for percolation of information in geometric settings.

We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the Fundamental Theorem of Asset …

2009-10-09abs ↗pdf ↗

We study how resetting affects geometric Brownian motion, showing it becomes stationary but remains non-ergodic.

problem Effects of stochastic resetting on geometric Brownian motion.
method Analysis of geometric Brownian motion under stochastic resetting.
result Resetting makes geometric Brownian motion stationary but non-ergodic.

Unified geometric framework for Brownian motion on various manifolds.

problem Modeling Brownian motion on complex Riemannian manifolds.
method Constructing stochastic differential equations with noise and drift terms aligned with Laplace-Beltrami operators.
result Geometrically transparent and mathematically consistent foundation for diffusion processes.

Optimal algorithms for Riemannian optimization with reduced complexity.

problem Stochastic optimization on Riemannian manifolds with limited data.
method Zeroth-order Riemannian Averaging Stochastic Approximation algorithms using Riemannian moving-average estimators and novel geometric conditions.
result Achieves optimal sample complexities for generating approximate first-order stationary solutions.

Byrd-SAGA reduces variance to robustify SGD against Byzantine attacks.

problem Learning over networks with malicious Byzantine attacks.
method Byrd-SAGA uses geometric median for robust aggregation of corrected stochastic gradients.
result Byrd-SAGA achieves provably linear convergence to optimal solution in the presence of Byzantine workers.

The paper proves signatures of non-geometric rough paths can approximate functionals uniformly.

problem Approximating functionals of non-geometric rough paths.
method Extending rough paths with time and quadratic variation terms, proving uniform approximation.
result Linear functionals of extended signatures uniformly approximate continuous functionals.

SCSG method optimizes stochastic gradient-based optimization for large-scale problems.

problem Lack of adaptability between theoretical optimality and practical applicability in stochastic gradient-based optimization.
method SCSG method with batch variance reduction and geometrization technique.
result SCSG achieves strictly better theoretical complexity and is adaptive to both strong convexity and target accuracy.

Paper shows how to use geometric median for robust SGD in high dimensions.

problem Robustifying SGD for high-dimensional optimization problems with gross corruption.
method Applying geometric median to only chosen blocks of coordinates at a time.
result Retains optimal breakdown point of 0.5 for smooth non-convex problems.

Using a deep criteria due to Pigola, Rigoli and Setti, we prove that a geodesically complete, properly immersed submanifold M of a stochastically complete Riemannian manifold N is stochastically complete. This implies that the weak Omori-Yau maximum principle holds on M. As geometric application, we prove sectional cur…

2010-12-20abs ↗pdf ↗

Study shows how noise can ensure solutions to fluid dynamics equations.

problem Ensuring unique solutions to stochastic fluid dynamics equations.
method Extended existing results to linear advection of k-forms, proving existence and uniqueness of weak L^p-solutions.
result Proved existence and uniqueness of weak L^p-solutions to stochastic linear advection equation of k-forms.

To capture the inherent geometric features of many community detection problems, we propose to use a new random graph model of communities that we call a Geometric Block Model. The geometric block model generalizes the random geometric graphs in the same way that the well-studied stochastic block model generalizes the …

2017-09-16abs ↗pdf ↗

Study on stochastic mean curvature flow on networks using Ito calculus.

problem Understanding the dynamics of network structures under random influences.
method Application of Ito calculus to derive a stochastic differential equation (SDE) for network edges.
result New insights into the stability, long-term behavior, and pattern formation of complex networks under stochastic influences.

Developed a diffusion model on spherical data, addressing geometric and stochastic challenges.

problem Diffusion models on spherical data face unique geometric and stochastic issues.
method Extended spectral diffusion to spherical harmonics, introducing modified stochastic differential equations.
result Introduced a geometry-dependent inductive bias in spectral diffusion models.

Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by hidden Markov Chain with switching.

2012-09-07abs ↗pdf ↗

An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian Motion Model with optimal weighting factors selected by goodness of fit tests, sub…

2015-07-08abs ↗pdf ↗

New approach to control diffusion processes with soft constraints.

problem Finding an optimal diffusion process with a target terminal distribution.
method Generalized Schrödinger bridge problem with soft constraints, solving for a geometric mixture of target and other distributions.
result The terminal distribution of the optimally controlled process is a geometric mixture of the target and another distribution.

Solves optimal liquidation problem for stock price following geometric Brownian motion.

problem Optimal liquidation problem for stock price process following geometric Brownian motion.
method Functional analysis tools; working in terms of cash.
result Explicit solution to the problem, extending to stochastic drift.