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.
Generalizes Hodge correlators using quantum master equation concepts.
Two neural network methods solve the master equation for MFGs.
A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black--Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option price variable. The dynamics of the latter is constructed and formulated in term…
The paper explores geometric calculations on probability manifolds derived from master equations.
In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash equilibrium for a large, but finite, number of players. The method, also explained in…
We extend the Chern-Simons perturbative invariant of Axelrod and Singer to non-acyclic connections. We construct a solution of the quantum master equation on the space of functions on the cohomology of the connection. We prove that this solution is well defined up to master homotopy. We discuss also invariants of links…
We construct a solution of the master equation by means of standard tools from homological perturbation theory under just the hypothesis that the ground field be of characteristic zero, thereby avoiding the formality assumption of the relevant Lie algebra. To this end we endow the homology H(g) of any differential grad…
The quantum master equation is usually formulated in terms of functionals of the components of mappings from a space-time manifold M into a finite-dimensional vector space. The master equation is the sum of two terms one of which is the anti-bracket (odd Poisson bracket) of functionals and the other is the Laplacian of…
We analyze an ideal gas like model of a trading market with quenched random saving factors for its agents and show that the steady state income () distribution in the model has a power law tail with Pareto index exactly equal to unity, confirming the earlier numerical studies on this model. The analysis s…
Unified analytical tool for non-Markovian jump processes.
We revisit our earlier work on the AKSZ formulation of topological sigma model on generalized complex manifolds, or Hitchin model. We show that the target space geometry geometry implied by the BV master equations is Poisson--quasi--Nijenhuis geometry recently introduced and studied by Stiénon and Xu (in the untwisted …
Study improves estimates and extreme value behavior in stochastic differential games.
Equations of dispersionless Hirota type have been thoroughly investigated in the mathematical physics and differential geometry literature. It is known that the parameter space of integrable Hirota type equations in 3D is 21-dimensional and the action of the natural equivalence group Sp(6, R) on the parameter space has…
Unified approach to time-inconsistent problems with distribution-dependent rewards.
We formalize the construction by Batalin and Vilkovisky of a solution of the classical master equation associated with a regular function on a nonsingular affine variety (the classical action). We introduce the notion of stable equivalence of solutions and prove that a solution exists and is unique up to stable equival…
We present a construction of cellular BF theory (in both abelian and non-abelian variants) on cobordisms equipped with cellular decompositions. Partition functions of this theory are invariant under subdivisions, satisfy a version of the quantum master equation, and satisfy Atiyah-Segal-type gluing formula with respect…
The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return relative to a passive (buy-and-hold) benchmark portfolio serving as the numérai…
Study uses Mean Field Game to analyze Bitcoin mining hashpower dynamics.
We simplify supergravity in 10D using geometric insights.
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of Itô's lemma for the calculation of a differential of a Paretian stochastic variable and use it to derive a Stochastic Differenti…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price process is driven by Brownian motion, an associated "master equation" for the dynam…
The perturbative Chern-Simons theory is studied in a finite-dimensional version or assuming that the propagator satisfies certain properties (as is the case, e.g., with the propagator defined by Axelrod and Singer). It turns out that the effective BV action is a function on cohomology (with shifted degrees) that solves…
Novel approach to learn CTBNs from data with minimal interventions.
This paper analyzes in details the Batalin-Vilkovisky quantization procedure for BF theories on n-dimensional manifolds and describes a suitable superformalism to deal with the master equation and the search of observables. In particular, generalized Wilson loops for BF theories with additional polynomial B-interaction…
We study a formulation of the standard Poisson sigma model in which the target space Poisson manifold carries the Hamilton action of some finite dimensional Lie algebra. We show that the structure of the action and the properties of the gauge invariant observables can be understood in terms of the associated target spa…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a continuous master equation. The derivation of elementary rates from known stationa…
This primer explains diffusion models in general state spaces.
Following the statistical mechanics methodology, firstly introduced in macroeconomics by Aoki [1996,2002], we provide some insights to the well known works of Greenwald and Stiglitz [1990, 1993]. Specifically, we reach analytically a closed form solution of their models overcoming the aggregation problem. The key idea …
Stochastic fluctuations of molecule numbers are ubiquitous in biological systems. Important examples include gene expression and enzymatic processes in living cells. Such systems are typically modelled as chemical reaction networks whose dynamics are governed by the Chemical Master Equation. Despite its simple structur…
We consider the problem of computing first-passage time distributions for reaction processes modelled by master equations. We show that this generally intractable class of problems is equivalent to a sequential Bayesian inference problem for an auxiliary observation process. The solution can be approximated efficiently…
We study deformations of the A-model in the presence of fluxes, by which we mean rank-three tensors with antisymmetrized upper/lower indices, using the AKSZ construction. Generically these are topological membrane models, and we show that the fluxes are related to deformations of the Courant bracket which generalize th…
Using technique of wheeled props we establish a correspondence between the homotopy theory of unimodular Lie 1-bialgebras and the famous Batalin-Vilkovisky formalism. Solutions of the so called quantum master equation satisfying certain boundary conditions are proven to be in 1-1 correspondence with representations of …
Quantization of a Lagrangian field system essentially depends on its degeneracy and implies its BRST extension defined by sets of non-trivial Noether and higher-stage Noether identities. However, one meets a problem how to select trivial and non-trivial higher-stage Noether identities. We show that, under certain condi…
We present a sigma model field theoretic realization of Hitchin's generalized complex geometry, which recently has been shown to be relevant in compactifications of superstring theory with fluxes. Hitchin sigma model is closely related to the well known Poisson sigma model, of which it has the same field content. The c…
We analyze an ideal gas like models of a trading market. We propose a new fit for the money distribution in the fixed or uniform saving market. For the marketwith quenched random saving factors for its agents we show that the steady state income () distribution in the model has a power law tail with Pareto in…
Study shows rate of convergence for particle approximation of PDEs in Wasserstein space.
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for pricing under credit, collateral and funding risks into term structure modellin…
We discuss the ideal gas like models of a trading market. The effect of savings on the distribution have been thoroughly reviewed. The market with fixed saving factors leads to a Gamma-like distribution. In a market with quenched random saving factors for its agents we show that the steady state income () distributi…
This is a paper about geometry of (iterated) variations. We explain why no sources of divergence are built into the Batalin-Vilkovisky (BV) Laplacian, whence there is no need to postulate any ad hoc conventions such as "" and "" within BV-approach to quantisation of gauge systems. Remarkably, the ge…
Hierarchical pretraining with slow-fast ODEs
Exact asymptotic solutions found for nonlinear Hawkes processes.
We analyze a monetary system of random money transfer on the basis of double entry bookkeeping. Without boundary conditions, we do not reach a price equilibrium and violate text-book formulas of economists quantity theory (MV=PQ). To match the resulting quantity of money with the model assumption of a constant price, w…
We analyze a simple asset transfer model in which the transfer amount is a fixed fraction of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, solving it analytically and numerically for the steady-state distribution, and exploring the solutions for various values o…
The random matrix theory method of planar Gaussian diagrammatic expansion is applied to find the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cross-covariance estimators, firstly in the form of master equations for the most general multivariate Gaussian system, secondly for seven part…
The string vertices of closed string field theory are subsets of the moduli spaces of punctured Riemann surfaces that satisfy a geometric version of the Batalin-Vilkovisky master equation. We present a homological proof of existence of string vertices and their uniqueness up to canonical transformations. Using hyperbol…
Into a geometric setting, we import the physical interpretation of index theorems via semi-classical analysis in topological quantum field theory. We develop a direct relationship between Fedosov's deformation quantization of a symplectic manifold X and the BV quantization of a one-dimensional sigma model with target X…
The well-known AKSZ construction (for Alexandrov--Kontsevich--Schwarz--Zaboronsky) gives an odd symplectic structure on a space of maps together with a functional that is automatically a solution for the classical master equation . The input data required for the AKSZ construction consist of a volume eleme…
We provide an analytically treatable model that describes in a unified manner income distribution for all income categories. The approach is based on a master equation with growth and reset terms. The model assumptions on the growth and reset rates are tested on an exhaustive database with incomes on individual level s…