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.
Study optimal investment under uncertain conditions.
The paper analyzes strategic irreversible investments with novel dynamic strategies.
Investment decision triggered by a convex curve in a two-factor uncertainty model.
Investment decisions shift earlier as patience decreases, with implications for pasting conditions.
Paper applies theorem to find optimal investment boundary in stochastic capacity expansion.
Model predicts stationary equilibrium in investment decisions of firms in fluctuating markets.
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on semiconvexity arguments, we prove that the value function is a classical solution to …
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions, and we consider a general…
We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic control problem. In line with the results recently obtained in a diffusive setting,…
Optimal healthcare investment timing in a dynamic model with mortality risk.
In stochastic control problems delicate issues arise when the controlled system can jump due to both exogenous shocks and endogenous controls. Here one has to specify what the controller knows when about the exogenous shocks and how and when she can act on this information. We propose to use Meyer--fields as a flexi…
In this paper, we derive a new handy integral equation for the free-boundary of infinite time horizon, continuous time, stochastic, irreversible investment problems with uncertainty modeled as a one-dimensional, regular diffusion . The new integral equation allows to explicitly find the free-boundary in s…
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to pri…
Model predicts carbon price for green tech adoption.
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpreta- tions for three models of demand (arithmetic Brownian, geometric Brownian…
Novel geometry-informed irreversible perturbation accelerates Langevin dynamics convergence.
Study measures irreversibility in crypto trends using Kullback-Leibler divergence.
Investor and firm optimize sustainable investment and emission reduction through a dynamic game.
Study of irreversible metric-measure spaces, proving convergence and stability results.
Recover simple irreversible Finsler geometry from travel time data
We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility from nonnegative random variables to the level of optimal expected utility from increasing, adapted controls. The main contributions are the f…
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the profit functional to derive …
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional predictability modeled by the presence of a skew point for the underlying has a no…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series. We make use of visibility algorithms to quantify in graph-theoretical terms time …
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondecreasing process representing the cumulative investment. The firm aims to maximize its expected total net profit by choosing the optimal inve…
Proposes a mixed pension system combining PAYG and funded contributions to address sustainability.
Study on reinsurance decisions using mean-variance criterion with irreversible contracts.
Bayesian inference over admissible histories leads to irreversible kinetics.
The abstract discusses financial irreversibility using quantum mechanics and projective geometry.
Develops a numerical algorithm for stochastic impulse control using regression surrogates.
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loos…
Modeling business expansion as a stochastic control problem, the study finds that firms are incentivized to expand but may wait.
It is well-known that irreversible MCMC algorithms converge faster to their stationary distributions than reversible ones. Using the special geometric structure of Lie groups and dissipation fields compatible with the symplectic structure, we construct an irreversible HMC-like MCMC algorithm on $\mathcal G…
Optimal dividend strategy with irreversible reinsurance constraints.
Sharp Hardy and spectral gap inequalities found on special irreversible Finsler manifolds.
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable basis for simulating such series. Based on constraints imposed by market efficienc…
Study links cognitive effort to thermodynamic principles, optimizing decision-making.
In the recent paper \cite{LoD1}, we classified closed geodesics on Finsler manifolds into rational and irrational two families, and gave a complete understanding on the index growth properties of iterates of rational closed geodesics. This study yields that a rational closed geodesic can not be the only closed geodesic…
In this note we prove that the volume of a causal diamond associated with an inertial observer in asymptotically de Sitter 4-dimensional space-time is monotonically increasing function of cosmological time. The asymptotic value of the volume is that of in maximally symmetric de Sitter space-time. The monotonic property…
Framework selects real estate redevelopment uses by integrating value, risk, complexity, and irreversibility.
In this paper, we prove the existence of at least two distinct closed geodesics on every compact simply connected irreversible or reversible Finsler (including Riemannian) manifold of dimension not less than 2.
We work with a generalization of knot theory, in which one diagram is reachable from another via a finite sequence of moves if a fixed condition, regarding the existence of certain morphisms in an associated category, is satisfied for every move of the sequence. This conditional setting leads to a possibility of irreve…
This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the optimal purchase of life annuities which form the basis of most Defined Benefit pen…
Dirac structures are geometric objects that generalize both Poisson structures and presymplectic structures on manifolds. They naturally appear in the formulation of constrained mechanical systems. In this paper, we show that the evolution equa- tions for nonequilibrium thermodynamics admit an intrinsic formulation in …
We introduce a new geometric approach that constructs a transition kernel of Markov chain. Our method always minimizes the average rejection rate and even reduce it to zero in many relevant cases, which cannot be achieved by conventional methods, such as the Metropolis-Hastings algorithm or the heat bath algorithm (Gib…
We demonstrate the irreversibility of a wide class of world-sheet renormalization group (RG) flows to first order in in string theory. Our techniques draw on the mathematics of Ricci flows, adapted to asymptotically flat target manifolds. In the case of somewhere-negative scalar curvature (of the target space), we…
We prove that for every $\Q$-homological Finsler 3-sphere with a bumpy and irreversible metric , either there exist two non-hyperbolic prime closed geodesics, or there exist at least three prime closed geodesics.