arXiv research

New findings allow infinite mean intensity Hawkes processes to be stable.

Study optimal growth strategies in a continuous-time asset market.

Bayesian neural networks learn efficiently at infinite width, matching polynomial-width performance.

The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process $(X,D)$ of a diffusion state variable $X$ driving default intensity and a default indicator process $D$ and time change it wi…

Method uses deep learning to estimate traffic intensity.

For a congruence of straight lines defined by a hypersurface in $R^{n+1}, n \geq 1,$ and a field of reflected directions created by a point source we define the notion of intensity in a tangent direction and introduce elementary symmetric functions $S_m, m=1, 2,...,n,$ of {\it principal intensities}. The problem of exi…

Study explains mortgage burnout using Cox hazard models.

This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in the form of noisy signals about the current state of the drift arriving at the jump times of a homogeneous Poisson process. Dr…

It is well-known from the work of Schönbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one proposed by Arnsdorf and Halperin…

The paper discusses the importance of infinite-mean models in finance and risk management.

We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but lies between an upper and lower bound. By means of the Girsanov theorem, we start from the reference measure where the intensity is equal to…

Study reduces emissions in portfolios with error-prone emissions data.

One of the goals of this article is to define a an unified setting adapted to the description of means (normalized integrals or invariant means) on an infinite product of measured spaces with infinite measure. We first remark that some known examples coming from the theory of metric measured spaces and also from oscill…

Paper introduces statistical learning for point processes.

The logistic regression model is known to converge to a Poisson point process model if the binary response tends to infinitely imbalanced. In this paper, it is shown that this phenomenon is universal in a wide class of link functions on binomial regression. The proof relies on the extreme value theory. For the logit, p…

Pixel intensity is a widely used feature for clustering and segmentation algorithms, the resulting segmentation using only intensity values might suffer from noises and lack of spatial context information. Wavelet transform is often used for image denoising and classification. We proposed a novel method to incorporate …

Insurance benefits risk sharing for finite mean risks but not for infinite mean risks.

The paper constructs infinitely many surfaces with specific mean curvature.

We study a moduli space of ASD connections over $S^3\times \mathbb{R}$. We consider not only finite energy ASD connections but also infinite energy ones. So the moduli space is infinite dimensional in general. We study the (local) mean dimension of this infinite dimensional moduli space. We show the upper bound on the …

Solves financial and non-financial problems using heat potentials.

A tutorial on various methods for clustering longitudinal data.

Study examines infinite limits of transformer dynamics, identifying key parameterizations.

In this paper, a nonparametric maximum likelihood (ML) estimator for band-limited (BL) probability density functions (pdfs) is proposed. The BLML estimator is consistent and computationally efficient. To compute the BLML estimator, three approximate algorithms are presented: a binary quadratic programming (BQP) algorit…

The paper constructs solutions with infinite-time singularities in Lagrangian mean curvature flow.

In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump component exhibiting state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability …

Paper establishes sufficient condition for comparing linear combinations of infinite-mean risks.

Despite the fundamental nature of the inhomogeneous Poisson process in the theory and application of stochastic processes, and its attractive generalizations (e.g. Cox process), few tractable nonparametric modeling approaches of intensity functions exist, especially when observed points lie in a high-dimensional space.…

New method estimates tempered stable Lévy models with high accuracy.

We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on linear self and mutually exciting stochastic intensities as introduced by Hawkes. We associ…

The study finds either many or few constant mean curvature hypersurfaces on a manifold.

This paper studies the Yang--Mills ASD equation over the cylinder as a non-linear evolution equation. We consider a dynamical system consisting of bounded orbits of this evolution equation. This system contains many chaotic orbits, and moreover it becomes an infinite dimensional and infinite entropy system. We study th…

Climate extreme events are constantly increasing. What is the effect of these potentially catastrophic events on insurance demand in Italy, with particular reference to the economic activities? Extreme precipitation events over most of the midlatitude land masses and over wet tropical regions will very likely become mo…

We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential Lévy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time through common driving factors -- one fast-varying and one slow-varying. Using Four…

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and non-renewal. We give t…

Unified asymptotic theory and tests for ACD models reveal infinite-mean durations in cryptocurrency trading.

The paper constructs singularities for Lagrangian flow in Gibbons-Hawking spaces with vanishing mean curvature.

Study of LQ MFGs in infinite-dimensional Hilbert spaces.

New calibration energy measures deviation from calibrated geometry, enabling mean curvature flow in infinite volumes.

Unified framework for growth models with environmental risk and pollution-dependent disasters.

Paper controls shape stability in infinite Riemannian manifolds.

We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornadoes …

Paper solves a complex stopping problem using regularization and HJB equations.

We study an infinite dimensional ASD moduli space over the cylinder. Our main result is the formula of its local mean dimension. A key ingredient of the argument is the notion of non-degenerate ASD connections. We develop its deformation theory and show that there exist sufficiently many non-degenerate ASD connections …

Derive new Euler-Ramanujan-type identities and infinite decompositions for zero mean curvature graphs in various spaces.

Exact asymptotic solutions found for nonlinear Hawkes processes.

Study finds infinitely many non-radial solutions for negative scalar curvature in higher dimensions.

In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator. With our choice of scaling the dynamics converges to a coupled SDE-ODE s…

Developed LQ MFG theory with common noise, proving existence and uniqueness.