arXiv research

New formulas for barrier options in stochastic volatility models with nonzero correlation.

In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset's volatility process is independent of the Brownian motion that drives the asset's price. Additionally, they propose a correlatio…

We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect showing that in many cases the maximum correlation is at nonzero time shift indicati…

A trend in compressed sensing (CS) is to exploit structure for improved reconstruction performance. In the basic CS model, exploiting the clustering structure among nonzero elements in the solution vector has drawn much attention, and many algorithms have been proposed. However, few algorithms explicitly consider corre…

We address the sparse signal recovery problem in the context of multiple measurement vectors (MMV) when elements in each nonzero row of the solution matrix are temporally correlated. Existing algorithms do not consider such temporal correlations and thus their performance degrades significantly with the correlations. I…

Sparse GCA finds linear relationships in multiple datasets, using gradient descent.

Group model selection is the problem of determining a small subset of groups of predictors (e.g., the expression data of genes) that are responsible for majority of the variation in a response variable (e.g., the malignancy of a tumor). This paper focuses on group model selection in high-dimensional linear models, in w…

Researchers find examples of real Bott manifolds with nonzero dual Stiefel-Whitney class wbar_{n-ahat(n)} for all n nonzero mod 4.

Estimates for plate eigenvalues with nonzero Poisson's ratio.

In multi-label learning, each sample is associated with several labels. Existing works indicate that exploring correlations between labels improve the prediction performance. However, embedding the label correlations into the training process significantly increases the problem size. Moreover, the mapping of the label …

The nonzero level sets of a homogeneous, logarithmically homogeneous, or translationally homogeneous function are affine spheres if and only if the Hessian determinant of the function is a multiple of a power or an exponential of the function. In particular, the nonzero level sets of a homogeneous polynomial are proper…

In this paper we prove that given a volume, among all domains with smooth boundary in rank-1 symmetric spaces of noncompact type, geodesic balls maximizes the first nonzero Steklov eigenvalue. We also prove a comparison result for the first nonzero Steklov eigenvalue for domains in simply connected Riemannian manifolds…

In this paper, it is shown that every orientable closed 3-manifold maps with nonzero degree onto at most finitely many homeomorphically distinct irreducible non-geometric orientable closed 3-manifolds. Moreover, given any nonzero integer, as a mapping degree up to sign, every orientable closed 3-manifold maps with that…

New family of knots with epsilon invariant nonzero despite Upsilon and phi being zero.

Paper proves biharmonic hypersurfaces in nonzero space form have constant mean curvature.

we introduce a generalization of the $p$-Laplace operator to act on differential forms and generalize an estimate of Gallot-Meyer for the first nonzero eigenvalue on closed Riemannian manifolds.

This paper improves lower bounds for the first nonzero Steklov eigenvalue on compact manifolds.

In this paper, we show that the peeling property still holds for Bondi-Sachs metrics with nonzero cosmological constant under the boundary condition given by Sommerfeld's radiation condition together with three nontrivial $Λ$-independent functions $B$, $a$, $b$. This should indicate the new boundary condition is natura…

We obtain a Kaehler Einstein structure on the nonzero cotangent bundle of a Riemannian manifold of positive constant sectional curvature. The obtained Kaehler Einstein structure cannot have constant holomorphic sectional curvature and is not locally symmetric.

The sinh-Gordon equation is solved on finite, symmetric graphs.

Given a compact Riemannian spin manifold with positive scalar curvature, we find a family of connections $\nabla^{A_t}$ for $t\in[0,1]$ on a trivial vector bundle of sufficiently high rank, such that the first eigenvalue of the twisted Dirac operator $D_{A_t}$ is nonzero and becomes arbitrarily small as $t\to1$. Howeve…

We derive intrinsic curvature and radius estimates for compact disks embedded in $\mathbb{R}^3$ with nonzero constant mean curvature and apply these estimates to study the global geometry of complete surfaces embedded in $\mathbb{R}^3$ with nonzero constant mean curvature.

We obtain a locally symmetric Kaehler Einstein structure on a tube in the nonzero cotangent bundle of a Riemannian manifold of positive constant sectional curvature. The obtained Kaehler Einstein structure cannot have constant holomorphic sectional curvature.

We construct a tangential map from a locally symmetric space of noncompact type to its dual compact type twin. By comparing the induced map in cohomology to a map defined by Matsushima, we conclude that in the equal rank case the map has a nonzero degree.

Let $X$ be a smooth manifold belonging to one of these three collections: acyclic manifolds (compact or not, possibly with boundary), compact connected manifolds (possibly with boundary) with nonzero Euler characteristic, integral homology spheres. We prove that $Diff(X)$ is Jordan. This means that there exists a const…

New concordance invariants phi and phi_j are defined and studied.

We obtain a class of Kaehler Einstein structures on the nonzero cotangent bundle of a Riemannian manifold of positive constant sectional curvature. The obtained class of Kaehler Einstein structure depends on one essential parameter, cannot have constant holomorphic sectional curvature and is not locally symmetric.

We obtain a class of locally symetric Kaehler Einstein structures on the nonzero cotangent bundle of a Riemannian manifold of positive constant sectional curvature. The obtained class of Kaehler Einstein structures depends on one essential parameter and cannot have constant holomorphic sectional curvature.

Upper bound found for first nonzero Steklov eigenvalue.

Sharp bounds and rigidity theorems for eigenvalues on manifolds.

In this paper we study the nonzero-sum Dynkin game in continuous time which is a two player non-cooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we consider the problem of pricing American game contingent claims by the utility maximiza…

Traditionally introduced in terms of advanced topological constructions, many link invariants may also be defined in much simpler terms given their values on a few initial links and a recursive formula on a skein triangle. Then the crucial question to ask is how many initial values are necessary to completely determine…

Upper bound for Laplacian eigenvalue via conformal volume.

We construct knot invariants on the basis of ascribing Euclidean geometric values to a triangulation of sphere S^3 where the knot lies. The main new feature of this construction compared to the author's earlier papers on manifold invariants is that now nonzero "deficit angles" (in the terminology of Regge calculus) can…

Upper bound found for first nonzero Neumann eigenvalue.

We generalize the concept of affine locally symmetric spaces for parabolic geometries. We discuss mainly $|1|$--graded geometries and we show some restrictions on their curvature coming from the existence of symmetries. We use the theory of Weyl structures to discuss more interesting $|1|$--graded geometries which can …

The paper proves simplicial volume positivity for certain nonpositively curved 4-manifolds with nonzero Euler characteristic.

We consider the empirical risk minimization problem for linear supervised learning, with regularization by structured sparsity-inducing norms. These are defined as sums of Euclidean norms on certain subsets of variables, extending the usual $\ell_1$-norm and the group $\ell_1$-norm by allowing the subsets to overlap. T…

Proves inequality for Steklov eigenvalues in hyperbolic space.

Paper introduces ENZ to measure significant coefficients in sparse recovery, improving over classical methods.

Proves a conjecture for annular links using homology classes.

In this paper we prove that stable, compact without boundary, oriented, nonzero constant mean curvature surfaces in the de Sitter-Schwarzschild and Reissner-Nordstrom manifolds are the slices, provided its mean curvature satisfies some positive lower bound. More generally, we prove that stable, compact without boundary…

Motivated by the ideas and methods used by Naitoh in the consideration of parallel totally real submanifolds in complex space forms, the author of the present paper successfully makes use of the so called Jordan triple and (restricted) structure Lie algebra associated with a given Jordan algebra to establish a one-to-o…

Study bounds Neumann and Steklov eigenvalues on manifolds and submanifolds.

Study sets lower bounds for Kähler manifolds' Laplacian eigenvalues.

Inspired by the recent work of Physicists Hertog-Horowitz-Maeda, we prove two stability results for compact Riemannian manifolds with nonzero parallel spinors. Our first result says that Ricci flat metrics which also admits nonzero parallel spinors are stable (in the direction of changes in conformal structures) as the…

Hypersurfaces of manifolds of constant nonzero sectional curvature are classificated according their restricted homogeneous holonomy groups.

Study eigenvalues of a generalized p-Laplacian on forms.