arXiv research

We prove that two-step analytic sub-Riemannian structures on a compact analytic manifold equipped with a smooth measure and Lipschitz Carnot groups satisfy measure contraction properties.

We implement a differential-geometric approach to normal forms for contracting measurable cocycles to $\mbox{Diff}^q({\bf R}^n, {\bf 0})$, $q \geq 2$. We obtain resonance polynomial normal forms for the contracting cocycle and its centralizer, via $C^q$ changes of coordinates. These are interpreted as nonstationary inv…

Study on curvature bounds and geodesic dimension in sub-Finsler Heisenberg groups.

Study Busemann spaces with measures under MCP, proving rigidity and structure theorems.

We prove that if $(X,\mathsf d,\mathfrak m)$ is an essentially non-branching metric measure space with $\mathfrak m(X)=1$, having Ricci curvature bounded from below by $K$ and dimension bounded from above by $N \in (1,\infty)$, understood as a synthetic condition called Measure-Contraction property, then a sharp isoper…

This paper shows moduli spaces of RCD(0,2) structures are contractible.

The curvature-dimension condition is a generalization of the Bochner inequality to weighted Riemannian manifolds and general metric measure spaces. It is now known to be equivalent to evolution variational inequalities for the heat semigroup, and quadratic Wasserstein distance contraction properties at different times.…

Study shows volume constraints lead to isoperimetric constant bounds in specific metric spaces.

Measure contraction property is a synthetic Ricci curvature lower bound for metric measure spaces. We consider Sasakian manifolds with non-negative Tanaka-Webster Ricci curvature equipped with the metric measure space structure defined by the sub-Riemannian metric and the Popp measure. We show that these spaces satisfy…

A financial contract's value is determined by a quantum measurement outcome, and a pricing state exists to value it.

This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators from these contracts to estimate spectral risk measures, which are coherent risk measures that r…

We give two examples of metric measure spaces satisfying the measure contraction property MCP(K,N) but having different topological dimensions at different regions of the space. The first one satisfies MCP(0,3) and contains a subset isometric to $\mathbb{R}$, but does not topologically split. The second space satisfies…

This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses the conditional distribution for these contracts to estimate spectral risk measures, which are coherent risk measures …

In this article, exponential contraction in Wasserstein distance for heat semigroups of diffusion processes on Riemannian manifolds is established under curvature conditions where Ricci curvature is not necessarily required to be non-negative. Compared to the results of Wang (2016), we focus on explicit estimates for t…

In this paper, we establish that, for statistically convex-cocompact actions, contracting elements are exponentially generic in counting measure. Among others, the following exponential genericity results are obtained as corollaries for the set of hyperbolic elements in relatively hyperbolic groups, the set of rank-1 e…

Paper introduces benchmark-neutral pricing for long-term contracts.

Researchers found counterexamples to conjectures about optimal transport maps on curved spaces.

Study examines risk premium convergence rates in risk sharing contracts.

The paper examines curvature-dimension bounds on sub-Finsler Heisenberg groups.

Study on curvature exponent of sub-Finsler Heisenberg groups, proving N_min ≥ 5.

Study semiclassical measures on complex hyperbolic quotients, identifying measure supports.

Study random walks on CAT(0) spaces with contracting elements, proving limit laws.

The paper explores optimal insurance contracts using various deviation measures.

The paper prices weather contracts using a complex temperature model.

Measure contraction properties $MCP(K,N)$ are synthetic Ricci curvature lower bounds for metric measure spaces which do not necessarily have smooth structures. It is known that if a Riemannian manifold has dimension $N$, then $MCP(K,N)$ is equivalent to Ricci curvature bounded below by $K$. On the other hand, it was ob…

The paper studies risk-sensitive MDPs with recursive risk measures.

We prove a sharp Poincaré inequality for subsets $Ω$ of (essentially non-branching) metric measure spaces satisfying the Measure Contraction Property $\textrm{MCP}(K,N)$, whose diameter is bounded above by $D$. This is achieved by identifying the corresponding one-dimensional model densities and a localization argument…

This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently developed model-free measures of int…

New sub-Riemannian structures fail synthetic curvature bounds.

Measure contraction property is one of the possible generalizations of Ricci curvature bound to more general metric measure spaces. In this paper, we discover sufficient conditions for a three dimensional contact subriemannian manifold to satisfy this property.

We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can compute the quadratic variation of the output, but not the individual components. This…

Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has developed that attempts to provide a market-consistent pricing methodology for these and other long-dated, insurance-type cont…

Sharp comparison theorems are derived for all eigenvalues of the (weighted) Laplacian, for various classes of weighted-manifolds (i.e. Riemannian manifolds endowed with a smooth positive density). Examples include Euclidean space endowed with strongly log-concave and log-convex densities, extensions to $p$-exponential …

The paper evaluates joint life insurance risk under dependence uncertainty using copulas and convex risk measures.

Extends online learning to metric spaces using exponential weights.

Paper proposes new Langevin samplers for sampling from log-concave distributions with superlinear gradient growth.

One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement settled on a maturity date. Our purpose is to design a Heath-Jarrow-Morton framew…

Study confined subgroups in groups with contracting elements, showing their growth rate is strictly greater than half of the ambient growth rate.

Study finds a non-locally contractible $r$-convex set.

We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual repre…

Gibbs sampler contracts entropy under strong log-concavity, improving mixing time.

Bayesian PINNs learn elliptic PDEs with near-minimax posterior contraction rate.

Bayesian nonparametric models get better posterior estimates via SPDE methods.

Paper proposes a new descriptor for early trajectory characterization in matrix iterations.

Study variance-reduced method for estimating fixed points in Banach spaces.

Measure contraction properties are generalizations of the notion of Ricci curvature lower bounds in Riemannian geometry to more general metric measure spaces. In this paper, we give sufficient conditions for a Sasakian manifold equipped with a natural sub-Riemannian distance to satisfy these properties. Moreover, the s…

New method for non-arbitrage pricing in risky assets.

The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.