arXiv research

Proposes a novel algorithm for multi-objective reinforcement learning.

We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically, and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of martingale measur…

We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volatility of it is following GARCH(1) process. In particular, both mean and volatility are unbounded. We assume that there is Knightian uncertain…

We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by dynamically investing in a financial market, and statically in available options. We show …

Investigates the effects of nondominated sets of probability measures in robust models of finance.

We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value fu…

The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal tra…

We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging duality and the existence of an optimal superhedging strategy for general contingen…

Nonnegative matrix factorization (NMF) is a powerful class of feature extraction techniques that has been successfully applied in many fields, namely in signal and image processing. Current NMF techniques have been limited to a single-objective problem in either its linear or nonlinear kernel-based formulation. In this…

This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures…

Paper extends credit portfolio valuation under model uncertainty for multiple default times.

In multi-objective Bayesian optimization and surrogate-based evolutionary algorithms, Expected HyperVolume Improvement (EHVI) is widely used as the acquisition function to guide the search approaching the Pareto front. This paper focuses on the exact calculation of EHVI given a nondominated set, for which the existing …

In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach is based on a general representation result for monotone convex functionals, a fu…

We create a robust hedging method for American options.

In this paper, we investigate the possibility of improving the performance of multi-objective optimization solution approaches using machine learning techniques. Specifically, we focus on multi-objective binary linear programs and employ one of the most effective and recently developed criterion space search algorithms…

In this paper we introduce a sublinear conditional expectation with respect to a family of possibly nondominated probability measures on a progressively enlarged filtration. In this way, we extend the classic reduced-form setting for credit and insurance markets to the case under model uncertainty, when we consider a f…

Study proves duality in exotic option pricing under uncertain model and delayed information.

We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and liquidation under transaction costs in currency markets. Fin. Stoch., 3(2):237-248, 1999]…

Study explores robust Orlicz spaces in finance, showing separability implications.

We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem, which encompass the formulations of [Bouchard, B., & Nutz, M. (2015). Arbitrage and …

Novel algorithm optimizes decision trees for nonlinear metrics.

The paper examines partial regularity of Lipschitz solutions to minimal surface system.

Unique ancient solutions found for anisotropic curve shortening flow.

The paper constructs solutions to a critical Dirac equation on spheres.

Paper classifies ancient solutions to 3D Ricci flow.

New findings on $κ$-solutions with round cylinder as asymptotic shrinker.

Study higher-dimensional Ricci flow solutions, proving uniqueness.

Ancient solutions of Ricci flow with Type I growth are classified.

We construct low regularity solutions of the vacuum Einstein constraint equations. In particular, on 3-manifolds we obtain solutions with metrics in $H^s\loc$ with $s>{3\over 2}$. The theory of maximal asymptotically Euclidean solutions of the constraint equations descends completely the low regularity setting. Moreove…

Researchers find entire solutions to magnetic Ginzburg-Landau equations in 4D.

New ancient solutions found for curvature flow in 2D.

Let $n\ge 3$ and $m=\frac{n-2}{n+2}$. We construct $5$-parameters, $4$-parameters, $3$-parameters ancient solutions of the equation $v_t=(v^m)_{xx}+v-v^m$, $v>0$, in $\mathbb{R}\times (-\infty,T)$ for some $T\in\mathbb{R}$. This equation arises in the study of Yamabe flow. We obtain various properties of the ancient so…

We construct new ancient compact solutions to the Yamabe flow. Our solutions are rotationally symmetric and converge, as $t \to -\infty$, to two self-similar complete non-compact solutions to the Yamabe flow moving in opposite directions. They are type I ancient solutions.

Minimax solutions are weak solutions to Cauchy problems involving Hamilton--Jacobi equations, constructed from generating families quadratic at infinity of their geometric solutions. We give a complete description of minimax solutions and we classify their generic singularities of codimension not greater than 2.

Paper shows how solutions to Allen-Cahn converge to multiphase mean curvature flow.

We construct new ancient compact solutions to the Yamabe flow. Our solutions are rotationally symmetric and converge, as $t \to -\infty$, to two self-similar complete non-compact solutions to the Yamabe flow moving in opposite directions. They are type I ancient solutions.

The paper concerns singular solutions of nonlinear elliptic equations, which include removable singularities for viscosity solutions, a strengthening of the Hopf Lemma including parabolic equations, Strong maximum principle and Hopf Lemma for viscosity solutions including also parabolic equations.

Generic level sets in mean curvature flow are BV solutions.

Proves existence and uniqueness of viscosity solutions to complex Hessian equations on compact Hermitian manifolds.

In this paper we study the difference between algebraic and geometric solutions of the hyperbolic Dehn filling equations for ideally triangulated 3-manifolds. We show that any geometric solution is an algebraic one, and we prove the uniqueness of the geometric solutions. Then we do explicit calculations for three inter…

Novikov equation symmetries, solutions, and pseudo-spherical surfaces studied.

Ancient solutions to mean curvature flow have unique shapes.

In the present paper, we find a system of non-linear ODEs that gives rotationally invariant solutions to the Kapustin-Witten equations in 4-dimensional Euclidean space. We explicitly solve these ODEs in some special cases and find decaying rational solutions, which provide solutions to the Kapustin-Witten equations. Th…

Ozawa solution describes surface deformation from Davey-Stewartson II equation.

Necessary and sufficient conditions are provided for a class of warped product manifolds with non-vanishing flux to be supersymmetric solutions of 11D supergravity. Many noncompact, but complete solutions can be obtained in this manner, including the multi-membrane solution initially found by Duff and Stelle. In a diff…

In an ordinary feature selection procedure, a set of important features is obtained by solving an optimization problem such as the Lasso regression problem, and we expect that the obtained features explain the data well. In this study, instead of the single optimal solution, we consider finding a set of diverse yet nea…

Paper finds singular solutions for a specific physics problem on a sphere.

Ancient pancakes solve mean curvature flow problem.