arXiv research

We introduce a new method to measure model risk using optimal transport on path signatures.

Framework uses optimal transport to quantify model risk in stochastic path laws.

The paper develops methods for novelty detection on path space using signature-based statistics.

The study establishes inequalities on path space for sub-Riemannian manifolds.

Ensemble method for fast portfolio valuation and risk management.

The paper introduces a new method for risk measurement using weak optimal transport.

Let $M$ be any $n$ dimensional smooth manifold and $PM$ be the space of all smooth paths, then we showed that $PM$ is a smooth manifold modelled over a complete normable space. We discussed many geometric structure on Path spaces and its relation to ambient space.

We generalize the classical Bochner formula for the heat flow on M to martingales on the path space PM, and develop a formalism to compute evolution equations for martingales on path space. We see that our Bochner formula on PM is related to two sided bounds on Ricci curvature in much the same manner that the classical…

Let $M$ be a Riemannian manifold and ${\mathcal P}M$ be the space of all smooth paths on $M$. We describe geodesics on path space ${\mathcal P}M$. Normal neighbourhood structure on ${\mathcal P}M$ has been discussed. We identify paths on $M$ under "back-track" equivalence. Under this identification we show that if $M$ …

We generalize the classical Bochner formula for the heat flow on evolving manifolds $(M,g_{t})_{t \in [0,T]}$ to an infinite-dimensional Bochner formula for martingales on parabolic path space $P\mathcal{M}$ of space-time $\mathcal{M} = M \times [0,T]$. Our new Bochner formula and the inequalities that follow from it a…

Chen's iterated integrals are treated within synthetic differential geometry. The main result is that iterated integrals produce a subcomplex of the de Rham complex on the free path space as well as based path spaces.

New method infers population dynamics from snapshots using path space optimization.

Given a compact symplectic manifold $M$, with integral symplectic form, we prequantize a certain class of functions on the path space for $M$. The functions in question are induced by functions on $M$. We apply our construction to study the symplectic structure on the solution space of Klein-Gordon equation.

In their previous work, Barraud and Cornea enriched the Lagrangian Floer complex by adding cubical chains in the based loop space of the Lagrangian, and recovered the Leray-Serre spectral sequence of the based path space fibration, assuming that the Lagrangian is weakly exact and simply connected. In the present articl…

This paper shows how path spaces on two-level manifolds can be Hilbert manifold structures.

Study path spaces and their homology, extending loop products and coproducts.

Generalizes Li-Yau Harnack inequality to path space of manifolds.

The author has previously constructed a class of admissible vector fields on the path space of an elliptic diffusion process $x$ taking values in a closed compact manifold. In this Note the existence of flows for this class of vector fields is established and it is shown that the law of $x$ is quasi-invariant under the…

Develops a model for causal discovery in path spaces.

By using Hsu's multiplicative functional for the Neumann heat equation, a natural damped gradient operator is defined for the reflecting Brownian motion on compact manifolds with boundary. This operator is linked to quasi-invariant flows in terms of a integration by parts formula, which leads to the standard log-Sobole…

The paper proves a category of dg manifolds with finite positive amplitude.

We develop a Malliavin calculus on the horizontal path space of a totally geodesic Riemannian foliation. As a first application, under suitable assumptions, we prove a log-Sobolev inequality for a natural one-parameter family of infinite-dimensional Ornstein-Uhlenbeck type operators. As a second application, we obtain …

We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices. Our main tool is the theory of regularity structures, which we use in the form of [Bayer et al; A regularity structure for rough vola…

Optimizes diffusion processes for target distributions.

Proves Arnol'd's chord conjecture for conormal bundles.

Develops derived differential geometry theory.

Let $L=\DD+Z$ for a $C^1$ vector field $Z$ on a complete Riemannian manifold possibly with a boundary. By using the uniform distance, a number of transportation-cost inequalities on the path space for the (reflecting) $L$-diffusion process are proved to be equivalent to the curvature condition $\Ric-\nn Z\ge - K$ and t…

Local gluing connects flow lines in finite time intervals.

Starting from a sequence of independent Wright-Fisher diffusion processes on $[0,1]$, we construct a class of reversible infinite dimensional diffusion processes on $\DD_\infty:= \{{\bf x}\in Let $M$be a complete Riemnnian manifold and$μ$the distribution of the diffusion process generated by$\ff 1 2\DD+Z$where$Z$…

The abstract discusses the linear and smooth structures of mapping spaces.

New Wasserstein divergence improves generative model robustness and structure preservation.

Universal approximation for stochastic processes using Brownian motion.

Revisits superhedging under proportional costs in continuous time markets.

We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We obtain the duality of results for the sub- and super-hedging prices. For the sub…

sig-MMD tests compare path distributions using kernel methods.

New findings show score matching's accuracy doesn't ensure numerical stability in diffusion sampling.

We study a type of connection forms, given by Chen integrals, over pathspaces by placing such forms within a category-theoretic framework of principal bundles and connections. We introduce a notion of 'decorated' principal bundles, develop parallel transport on such bundles, and explore specific examples in the context…

Neural RDEs extend CDEs to irregular time series.

Transforms classical connections using pushforwards and gauge transformations.

In this paper, we will present some characterizations for the upper bound of the Bakry-Emery curvature on a Riemannian manifold by using functional inequalities on path space. Moreover, some characterizations for general lower and upper bounds of Ricci curvature are also given, which extends the recent results derived …

We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G-expectation, and an optional sampling theorem that…

Is is known that the loop space associated to a Riemannian manifold admits a quasi-symplectic structure. This article shows that this structure is not likely to recover the underlying Riemannian metric by proving a result that is a strong indication of the "almost" independence of the quasi-symplectic structure with re…

Let $x$ denote a diffusion process defined on a closed compact manifold. In an earlier article, the author introduced a new approach to constructing admissible vector fields on the associated space of paths, under the assumption of ellipticity of $x$. In this article, this method is extended to yield similar results fo…

We start by describing the relationship between the classical prequantization condition and the integrability of a certain Lie algebroid associated to the problem and use this to give a global construction of the prequantizing bundle in terms of path spaces (Introduction), then we rephrase the problem in terms of group…

Functional input neural networks approximate continuous functions on weighted spaces.

We give time-slicing path integral formulas for solutions to the heat equation corresponding to a self-adjoint Laplace type operator acting on sections of a vector bundle over a compact Riemannian manifold with boundary. More specifically, we show that such a solution can be approximated by integrals over finite-dimens…

Combines SMC and diffusion-based samplers for improved sampling performance.

Develops a new algebraic framework for differential geometry of infinite dimensional spaces.