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.
The paper explores solutions to the distributional Bellman equation in reinforcement learning.
This paper optimizes portfolio selection for multivariate affine and quadratic Volterra models with rough volatilities.
We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Feller property (see e.g., \cite{doetei:10}). We introduce in particular Volterra Wishart processes with fractional kernels and values in the con…
Investigates mean-variance portfolio selection in non-Markovian markets.
Efficiently finds sparse solutions to max-plus equations for convex regression.
We put forward a complete theory on moment explosion for fairly general state-spaces. This includes a characterization of the validity of the affine transform formula in terms of minimal solutions of a system of generalized Riccati differential equations. Also, we characterize the class of positive semidefinite process…
FineMorphs models smooth transformations for multivariate regression.
Paper solves Merton's portfolio problem in a non-Markovian, non-semimartingale model.
Investigates optimal investment strategies in financial markets with jumps.
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions which guarantee existen…
The paper introduces a new class of multivariate mixtures for actuarial applications.
New complete hypersurfaces found in affine geometry.
Affine manifolds linked to integrable equations and geometric structures.
We study the affine quasi-Einstein equation, a second order linear homogeneous equation, which is invariantly defined on any affine manifold. We prove that the space of solutions is finite-dimensional, and its dimension is a strongly projective invariant. Moreover the maximal dimension is shown to be achieved if and on…
The goal of this paper is to clarify when a stochastic partial differential equation with an affine realization admits affine state processes. This includes a characterization of the set of initial points of the realization. Several examples, as the HJMM equation from mathematical finance, illustrate our results.
In this paper, we consider affine self-similar solutions for the affine curve shortening flow in the Euclidean plane. We obtain the equations of all affine self-similar solutions up to affine transformations and solve the equations or give descriptions of the solutions for the degenerate case. Some new special solution…
Researchers study heavy-tail properties of SGD using stochastic recurrence equations.
Unified econometric model for portfolio optimization and option valuation.
The second boundary value problem of the prescribed affine mean curvature equation is a nonlinear, fourth order, geometric partial differential equation. It was introduced by Trudinger and Wang in 2005 in their investigation of the affine Plateau problem in affine geometry. The previous works of Trudinger-Wang, Chau-We…
Affine hamiltonians are defined in the paper and their study is based especially on the fact that in the hyperregular case they are dual objects of lagrangians defined on affine bundles, by mean of natural Legendre maps. The variational problems for affine hamiltonians and lagrangians of order are studied, re…
In this paper, we prove global second derivative estimates for solutions of the Dirichlet problem for the Monge-Ampere equation when the inhomogeneous term is only assumed to be Holder continuous. As a consequence of our approach, we also establish the existence and uniqueness of globally smooth solutions to the second…
Extend classical theory of affine processes to path-dependent setting
Constructs positive energy representations from Toda equations Stokes data.
As seen in the works of Calabi, Cheng-Yau and Loftin, affine sphere equations have a close relationship with Kaehler-Einstein metrics. The main purpose of this note is to show that an equation analogous to those of hyperbolic affine spheres arises naturally from Kaehler-Einstein metrics on Einstein toric surfaces. The …
Proposes iVDFM for identifying latent factors in multivariate time series.
We give a gauge invariant characterisation of the elliptic affine sphere equation and the closely related Tzitzéica equation as reductions of real forms of $SL(3, \C)$ anti--self--dual Yang--Mills equations by two translations, or equivalently as a special case of the Hitchin equation. We use the Loftin--Yau--Zaslow co…
We give a conformal representation for indefinite improper affine spheres which solve the Cauchy problem for their Hessian equation. As consequences, we can characterize their geodesics and obtain a generalized symmetry principle. Then, we classify the helicoidal indefinite improper affine spheres and find a new family…
Study Blaschke's asymptotic lines on surfaces in 3D space.
A new depth function improves multivariate data analysis by considering variability directions.
The paper proves an inequality and describes a curve flow in centro-affine geometry.
Let M be a compact connected special affine manifold equipped with an affine Gauduchon metric. We show that a pair (E, φ), consisting of a flat vector bundle E over M and a flat nonzero section φ of E, admits a solution to the vortex equation if and only if it is polystable. To prove this, we adapt the dimensional redu…
Polylab is a MATLAB toolbox for multivariate polynomial modeling.
Connections between Lie derivatives and the deviation equation has been investigated in spaces with affine connection. The deviation equations of the geodesics as well as deviation equations of non-geodesics trajectories have been obtained on this base. This is done via imposing certain conditions on the Lie derivative…
An affine manifold is said to be geodesically complete if all affine geodesics extend for all time. It is said to be affine Killing complete if the integral curves for any affine Killing vector field extend for all time. We use the solution space of the quasi-Einstein equation to examine these concepts in the setting o…
We give characterizations of affine transformations and affine vector fields in terms of the spray. By utilizing the Jacobi type equation that characterizes affine vector fields, we prove some rigidity theorems of affine vector fields on compact or forward complete non-compact Finsler manifolds with non-positive total …
The aim of this paper is to give a local description of affine surfaces, whose induced Blaschke structure is projectively flat. We show that such affine surfaces with constant Gauss affine curvature and indefinite induced Blaschke metric are described by soliton equations.
The paper proposes a method to learn evolving multivariate distributions from sample paths.
Improper affine spheres have played an important role in the development of geometric methods for the study of the Hessian one equation. Here, we review most of the advances we have made in this direction during the last twenty years.
We provide classification results for and examples of half conformally flat generalized quasi Einstein manifolds of signature . This analysis leads to a natural equation in affine geometry called the affine quasi-Einstein equation that we explore in further detail.
The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by Lévy processes admits an affine realization. Our results are accompanied by several examples arising in natural sciences and economics.
Developed moment estimators for affine stochastic volatility models.
In this work we study the affine principal lines of surfaces in 3-space. We consider the binary differential equation of the affine curvature lines and obtain the topological models of these curves near the affine umbilic points (elliptic and hyperbolic). We also describe the generic behavior of affine curvature lines …
We study the real Monge-Ampère equation in two and three dimensions, both from the point of view of the SYZ conjecture, where solutions give rise to semi-flat Calabi-Yau's and in affine differential geometry, where solutions yield parabolic affine sphere hypersurfaces. We find explicit examples, connect the holomorphic…
We study the affine quasi-Einstein Equation for homogeneous surfaces. This gives rise through the modified Riemannian extension to new half conformally flat generalized quasi-Einstein neutral signature manifolds, to conformally Einstein manifolds and also to new Einstein manifolds through a warped product const…
These lecture notes are concerned with the solvability of the second boundary value problem of the prescribed affine mean curvature equation and related regularity theory of the Monge-Ampère and linearized Monge-Ampère equations. The prescribed affine mean curvature equation is a fully nonlinear, fourth order, geometri…
We examine the space of solutions to the affine quasi--Einstein equation in the context of homogeneous surfaces. As these spaces can be used to create gradient Yamabe solitions, conformally Einstein metrics, and warped product Einstein manifolds using the modified Riemannian extension, we provide very explicit descript…
We exploit the link between the transport equation and derivatives of expectations to construct efficient pathwise gradient estimators for multivariate distributions. We focus on two main threads. First, we use null solutions of the transport equation to construct adaptive control variates that can be used to construct…
Solitons are special polygon midpoints under affine transformations.