arXiv research

Agol's announcement proved a full classification of certain Kleinian groups.

The paper solves a complex financial optimization problem using a novel mathematical technique.

Alternative proof classifies Kleinian groups with two parabolics.

In earlier work we introduced geometrically natural probability measures on the group of all Möbius transformations in order to study "random" groups of Möbius transformations, random surfaces, and in particular random two-generator groups, that is groups where the generators are selected randomly, with a view to estim…

The study classifies points on ruled surfaces in 4-space based on geometric properties.

The study connects monopole chains to Higgs bundles and classifies symmetric chains.

This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the classical Black-Scholes theory for pricing financial instruments, as well as models …

The minimal standardizer of a curve system on a punctured disk is the minimal braid that transforms it into a system formed only by round curves. We give an algorithm to compute it in a geometrical way. Then, we generalize this problem algebraically to parabolic subgroups of Artin-Tits groups of spherical type and we s…

Let $Γ$ be a 3-dimensional Kleinian punctured torus group with ccidental parabolic transformations. The deformation space of $Γ$ in the group of Möbius transformations on the 2-sphere is well-known as the Maskit slice of punctured torus groups. In this paper, we study deformations $Γ'$ of $Γ$ in the group of Möbius tra…

In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying asset prices over some predetermined time interval. The mathematical model for the …

We consider a semilinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity which is related to a stochastic control problem with fuel constraint. The fuel constraint translates into a singular initial condition for the HJB equation. We first propose a transformation based on a change of vari…

A $T$-Schottky group is a discrete group of Möbius transformations whose generators identify pairs of, possibly-tangent, Jordan curves on the complex sphere, ${\hat{\IC}}$. If the curves are Euclidean circles then the group is termed classical $T$-Schottky. We describe the boundary of the space of classical $T$-Schottk…

The moving coframe method is applied to solve the local equivalence problem for the class of linear parabolic equations in two independent variables under an action of the pseudo-group of contact transformations. The structure equations and the complete sets of differential invariants for symmetry groups are found. The…

Combines higher complex structures with flat connections to link to $W$-algebras.

In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE) that usually does not allow an analytical solution while numerical solution bri…

Anisotropic obstacle problems and Stefan problem studied with evolving surfaces.

We introduce the notion of Ricci-corrected differentiation in parabolic geometry, which is a modification of covariant differentiation with better transformation properties. This enables us to simplify the explicit formulae for standard invariant operators given in work of Cap, Slovak and Soucek, and at the same time e…

Let $\mathbf{E}$ be a flat Lorentzian space of signature $(2, 1)$. A Margulis space-time is a noncompact complete flat Lorentzian $3$-manifold $\mathbf{E}/Γ$ with a free holonomy group $Γ$ of rank $\mathbf{g}, \mathbf{g} \geq 2$. We consider the case when $Γ$ contains a parabolic element. We obtain a characterization o…

We study a method of reducing space dimension in multi-dimensional Black-Scholes partial differential equations as well as in multi-dimensional parabolic equations. We prove that a multiplicative transformation of space variables in the Black-Scholes partial differential equation reserves the form of Black-Scholes part…

We present a new construction for Poisson transforms between vector bundle valued differential forms on homogeneous parabolic geometries and the corresponding Riemannian symmetric space, which can be described in terms of finite dimensional representations of reductive Lie groups. In particular, we use these operators …

We establish Evans-Krylov estimates for certain nonconvex fully nonlinear elliptic and parabolic equations by exploiting partial Legendre transformations. The equations under consideration arise in part from the study of the "pluriclosed flow" introduced by the first author and Tian

In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying asset price and the Gamma of the option. We show that the generalizations of the cl…

We present a local classification of smooth projective surfaces in 3-space via projective transformations in accordance with singularity types of central projections up to codimension 4. We also discuss relations between our classification of Monge forms and bifurcations of parabolic curves and flecnodal curves.

Long time existence and uniqueness of solutions to the Yang-Mills heat equation is proven over a compact 3-manifold with smooth boundary. The initial data is taken to be a Lie algebra valued connection form in the Sobolev space $H_1$. Three kinds of boundary conditions are explored, Dirichlet type, Neumann type and Mar…

Lie contact structures generalize the classical Lie sphere geometry of oriented hyperspheres in the standard sphere. They can be equivalently described as parabolic geometries corresponding to the contact grading of orthogonal real Lie algebra. It follows the underlying geometric structure can be interpreted in several…

An analogue of the correspondence between GL(k)-conjugacy classes of matricial polynomials and line bundles is given for K-conjugacy classes, where K is one of the following: maximal parabolic, maximal torus, GL(k-1) embedded diagonally. The generalised Legendre transform construction of hyperkaehler metrics is studied…

Using an algebraic Fourier transform of operators, we develop a method (F-method) to obtain explicit highest weight vectors in the branching laws by differential equations. This article gives a brief explanation of the F-method and its applications to a concrete construction of some natural equivariant operators that a…

Study solves optimal portfolio selection using HJB equation.

Proves long-term smoothness of curved surfaces evolving under specific curvature rules.

Riley "defined" the Heckoid groups for 2-bridge links as Kleinian groups, with nontrivial torsion, generated by two parabolic transformations, and he constructed an infinite family of epimorphisms from 2-bridge link groups onto Heckoid groups. In this paper, we make Riley's definition explicit, and give a systematic co…

New methods solve complex PDEs with mixed boundary conditions.

In prior work the authors introduced a parabolic flow for pluriclosed metrics, referred to as pluriclosed flow. We also demonstrated that this flow, after certain gauge transformations, gives a class of solutions to the renormalization group flow of the nonlinear sigma model with B-field. Using these transformations, w…

We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of $J$-functionals of Dawson-Watanabe superprocesses. This solution is related to the superprocess solution of quasilinear parabolic PDEs with singular terminal condition. For the probabilistic verification proof, we develo…

We initiate a new study of differential operators with symmetries and combine this with the study of branching laws for Verma modules of reductive Lie algebras. By the criterion for discretely decomposable and multiplicity-free restrictions of generalized Verma modules [T. Kobayashi, http://dx.doi.org/10.1007/s00031-01…

The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct…

Defines connections on parabolic vector bundles for Lie algebroids.

We construct new families of conformally invariant differential operators acting on densities. We introduce a simple, direct approach which shows that all such operators arise via this construction when the degree is bounded by the dimension. The method relies on a study of well-known transformation laws and on Weyl's …

Criterion found for Lie algebroid connections on parabolic bundles.

Computes deformations of parabolic structures on Riemann surfaces.

Reductive (or semisimple) algebraic groups, Lie groups and Lie algebras have a rich geometry determined by their parabolic subgroups and subalgebras, which carry the structure of a building in the sense of J. Tits. We present herein an elementary approach to the geometry of parabolic subalgebras, over an arbitrary fiel…

In this work we are concerned with reduction of the ASD-equations to the Riemann sphere, that is integrable connections with a harmonic metric, or equivalently Higgs bundles with a Hermitian-Einstein metric. In the first chapter, we introduce the type of singularities we allow for the solutions to have, and announce th…

The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a solution of a time depending nonlinear parabolic equation defined on a fixed domain. R…

We provide some criteria to $p$-parabolicity of Riemannian submersions. In particular, if $N$ is $p$-parabolic and $π:M\to N$ is a Riemannian submersion with uniformly bounded volume of fibers, then $M$ is also $p$-parabolic. In the case of warped manifolds we characterize $p$-parabolicity in terms of a volume growth c…

Classifies holomorphic parabolic geometries on complex manifolds.

Defines non-parabolic curves in spatial hybrid space with applications.

We introduce a notion of admissible Hermitian metrics on parabolic bundles and define positivity properties for the same. We develop Chern-Weil theory for parabolic bundles and prove that our metric notions coincide with the already existing algebro-geometric versions of parabolic Chern classes. We also formulate a Gri…

Consider a relatively hyperbolic group G. We prove that if G is finitely presented, so are its parabolic subgroups. Moreover, a presentation of the parabolic subgroups can be found algorithmically from a presentation of G, a solution of its word problem, and generating sets of the parabolic subgroups. We also give an a…

I consider the geometry of the general class of scalar 2nd-order differential equations with parabolic symbol, including non-linear and non-evolutionary parabolic equations. After defining the appropriate $G$-structure to model parabolic equations, I apply Cartan techniques to determine local geometric invariants (quan…