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arXiv research

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.

169,051 papers · 148 categories

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3.6%7.1%10.7%14.3% · Oct 199219922001200920182026
48 results for non-ergodic convergence

Non-ergodic measures found in horocycle flow on Abelian differentials.

problem Finding non-ergodic measures in the horocycle flow on Abelian differentials.
method Analyzing weak convergence of ergodic measures to non-ergodic invariant measures.
result Existence of points with non-equidistributing horocycle flow orbits.

New method improves convergence of gradient descent for non-convex, non-reversible Markov chains.

problem Improving convergence of gradient descent for non-convex, non-reversible Markov chains.
method Introducing a new technique that varies the mixing levels of the Markov chains to establish non-ergodic convergence under wider step sizes.
result Established non-ergodic convergence for non-convex problems and non-reversible finite-state Markov chains.

The proximal inertial gradient descent is efficient for the composite minimization and applicable for broad of machine learning problems. In this paper, we revisit the computational complexity of this algorithm and present other novel results, especially on the convergence rates of the objective function values. The no…

2018-01-23abs ↗pdf ↗

We study how resetting affects geometric Brownian motion, showing it becomes stationary but remains non-ergodic.

problem Effects of stochastic resetting on geometric Brownian motion.
method Analysis of geometric Brownian motion under stochastic resetting.
result Resetting makes geometric Brownian motion stationary but non-ergodic.

We discuss a variant of Thompson sampling for nonparametric reinforcement learning in a countable classes of general stochastic environments. These environments can be non-Markov, non-ergodic, and partially observable. We show that Thompson sampling learns the environment class in the sense that (1) asymptotically its …

2016-02-25abs ↗pdf ↗

The paper explores properties of functions on Teichmüller space, proving theorems about limits and non-ergodicity.

problem Properties of bounded pluriharmonic and holomorphic functions on Teichmüller space.
method Analyzes the boundary behavior of functions and proves theorems about limits and non-ergodicity.
result Proves the existence of radial limits for bounded pluriharmonic functions and non-constant bounded holomorphic functions.

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…

2009-02-17abs ↗pdf ↗

Strong stability of ergodic iterations proven without ergodic driving sequence.

problem Ensuring strong stability of ergodic iterations under non-ergodic driving sequences.
method Revisiting processes driven by stationary ergodic sequences, proving strong stability under mild conditions on recursive maps.
result Strong stability of iterations proven without ergodic driving sequence.

A coin-flipping game paradox illustrates how conditional probability estimation can distort risk assessment.

problem Distortion of risk assessment due to incorrect conditional probability estimation.
method A coin-flipping game to illustrate the paradox of conditional probability estimation.
result Incorrect conditional probability estimation can lead to excessive risk bearing.

Acyclic digraphs are the underlying representation of Bayesian networks, a widely used class of probabilistic graphical models. Learning the underlying graph from data is a way of gaining insights about the structural properties of a domain. Structure learning forms one of the inference challenges of statistical graphi…

2015-04-20abs ↗pdf ↗

This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is that "agents" are meta-individual, hierarchically structured objects, that includ…

2013-11-02abs ↗pdf ↗

Geometric Brownian motion (GBM) is a model for systems as varied as financial instruments and populations. The statistical properties of GBM are complicated by non-ergodicity, which can lead to ensemble averages exhibiting exponential growth while any individual trajectory collapses according to its time-average. A com…

2012-09-20abs ↗pdf ↗

We consider the problem of dynamic buying and selling of shares from a collection of NN stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that prices evolve according to an ergodic process with a mild decaying memory proper…

2009-09-22abs ↗pdf ↗

This paper improves convergence bounds for AC and NAC algorithms with function approximation.

problem Improving convergence bounds for actor-critic algorithms with function approximation.
method Non-asymptotic analysis of AC and NAC algorithms with compatible function approximation.
result Eliminates the term ε_critic from the error bounds while maintaining best known sample complexities.

We study a phenomenological model for the continuous double auction, equivalent to two independent M/M/1M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior …

2013-05-13abs ↗pdf ↗

Sandpile Economics explains how economies can be prone to large crises from small shocks.

problem Capitalist economies' recurrent crises disproportionate to shocks.
method Formal framework interpreting instability as geometric fragility of production networks.
result Curvature of production networks predicts medium-run output dynamics and resilience.

Voluntary insurance contracts constitute a puzzle because they increase the expectation value of one party's wealth, whereas both parties must sign for such contracts to exist. Classically, the puzzle is resolved by introducing non-linear utility functions, which encode asymmetric risk preferences; or by assuming the p…

2015-07-16abs ↗pdf ↗

This paper addresses metaconsistency in Bayesian inference for metastable systems.

problem Inference for metastable systems may not be consistent, but can be metaconsistent over large but finite time intervals.
method Introduces metaconsistency in a Bayesian framework, discusses its relation to spectral properties of model dynamics.
result Metaconsistency can be exploited to infer sub-systems efficiently from larger systems.

The study examines dynamics on SU(2)-representation varieties for surfaces and non-orientable surfaces.

problem Dynamics of group actions on SU(2)-representation varieties of surfaces and non-orientable surfaces.
method Description and analysis of group actions generated by Dehn twists on SU(2)-representation varieties.
result Explicit invariant rational functions on SU(2)-representation varieties for specific cases of surfaces and non-orientable surfaces.

The paper constructs Markov processes for stochastic heat equations on infinite strings with manifold values.

problem Constructing Markov processes for stochastic heat equations on infinite strings with manifold values.
method Constructing conservative Markov processes corresponding to martingale solutions to stochastic heat equations on R+\mathbb{R}^+ or R\mathbb{R} with values in a Riemannian manifold.
result The process exhibits exponential ergodicity if the Ricci curvature is strictly positive and non-ergodicity if the sectional curvature is negative.

We solve the dynamics of the on-line minority game, with general types of decision noise, using generating functional techniques a la De Dominicis and the temporal regularization procedure of Bedeaux et al. The result is a macroscopic dynamical theory in the form of closed equations for correlation- and response functi…

2001-07-30abs ↗pdf ↗

Boundary-induced apparent risk aversion in non-ergodic growth models.

problem Risk aversion in multiplicative growth systems with absorbing boundaries.
method Exact lattice propagation and analysis of binary multiplicative processes.
result Optimal exposure is compressed near absorbing boundaries, mimicking risk aversion.

Cooperation is a persistent behavioral pattern of entities pooling and sharing resources. Its ubiquity in nature poses a conundrum. Whenever two entities cooperate, one must willingly relinquish something of value to the other. Why is this apparent altruism favored in evolution? Classical solutions assume a net fitness…

2015-06-10abs ↗pdf ↗

Study shows social reinforcement learning can lead to persistent but metastable polarization.

problem Understanding the persistence and dynamics of opinion polarization.
method Simulation and mathematical analysis of a reinforcement learning model of opinion dynamics.
result Polarization observed in the model is metastable and will eventually lead to consensus.

Research classifies geometric structures on manifolds using surface group representations.

problem Classifying geometric structures on manifolds related to surface group actions on character varieties.
method Surveying results on surface groups, focusing on compact and non-compact target groups, discussing various representations and their dynamics.
result Dichotomy in dynamics of character varieties based on compactness of target groups.

This is an intuitive survey of extrinsic and intrinsic notions of convergence of manifolds complete with pictures of key examples and a discussion of the properties associated with each notion. We begin with a description of three extrinsic notions which have been applied to study sequences of submanifolds in Euclidean…

2010-06-02abs ↗pdf ↗

The abstract discusses convergence properties of Lipschitz functions and sets defined by equations.

problem Convergence of Lipschitz functions and sets defined by equations.
method Painlevé-Kuratowski convergence applied to Lipschitz functions and sets defined by equations.
result Generalizations and reverses of classical theorems on convergence of functions and sets.

Establishes geometric convergence of iterative optimization algorithms.

problem Analyzes convergence of iterative optimization algorithms under general assumptions.
method General framework for iterative optimization algorithms, proving asymptotic geometric convergence and providing convergence rates.
result Asymptotic geometric convergence of iterative optimization algorithms with exact rate.

New quasi-Newton method guarantees global superlinear convergence.

problem Global convergence and superlinear convergence of quasi-Newton methods.
method Hybrid proximal extragradient method with online learning for Hessian approximation.
result First globally convergent quasi-Newton method with explicit superlinear convergence rate.

We investigate finite-time decoupled convergence in nonlinear two-time-scale stochastic approximation.

problem Achieving decoupled convergence in nonlinear two-time-scale stochastic approximation.
method Nested local linearity assumption, suitable step size selection, convergence analysis of matrix cross term, fourth-order moment convergence rates.
result Finite-time decoupled convergence rates can be achieved in nonlinear two-time-scale stochastic approximation with proper step size selection.