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.
The Samuelson condition is not satisfied by tangent lines of quadratic curves.
Unique minimal surfaces near quadratic cones are identified.
New stability conditions identified from quadratic differentials on surfaces.
Unified approach to stability conditions on surfaces with quadratic differentials.
Article explores G2-structures with quadratic conditions, finding new ERP and complete solitons.
New dg-algebras generalize Brauer graph algebras, with applications to stability conditions and quadratic differentials.
We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bounds on the possible solutions. With local Lipschitz continuity and the so-called A_gamma-condition for the comparison principle to hold, we prove the existenc…
This article proposes a new approximation scheme for quadratic-growth BSDEs in a Markovian setting by connecting a series of semi-analytic asymptotic expansions applied to short-time intervals. Although there remains a condition which needs to be checked a posteriori, one can avoid altogether time-consuming Monte Carlo…
Study optimal hedging for claims with random weights in discrete time.
Improved SVRG for quadratic functions achieves better performance and running times.
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derived under which the solutions of these three optimiz…
We give sufficient conditions for a noncompact Riemannian manifold, which has quadratic curvature decay, to have finite topological type with ends that are cones over spherical space forms.
Constrained second-order convex optimization algorithms are the method of choice when a high accuracy solution to a problem is needed, due to their local quadratic convergence. These algorithms require the solution of a constrained quadratic subproblem at every iteration. We present the \emph{Second-Order Conditional G…
To estimate the conditional probability functions based on the direct problem setting, V-matrix based method was proposed. We construct V-matrix based constrained quadratic programming problems for which the inequality constraints are inconsistent. In particular, we would like to present that the constrained quadratic …
We study closed -dimensional manifolds of which the metrics are critical for quadratic curvature functionals involving the Ricci curvature, the scalar curvature and the Riemannian curvature tensor on the space of Riemannian metrics with unit volume. Under some additional integral conditions, we classify such manifol…
On a complete non-compact gradient shrinking Ricci soliton, we prove the analyticity in time for smooth solutions of the heat equation with quadratic exponential growth in the space variable. This growth condition is sharp. As an application, we give a necessary and sufficient condition on the solvability of the backwa…
Pushing a little forward an approach proposed by Villani, we are going to prove that in the Riemannian setting the condition implies that is -concave with respect to the quadratic cost as soon as it has a sufficiently small -norm. From this, we deduce a sufficient condition for the optimalit…
We give conditions which imply that a complete noncompact manifold with quadratic curvature decay has finite topological type. In particular, we find links between the topology of a manifold with quadractic curvature decay and some properties of the asymptotic cones of such a manifold.
Paper develops methods for non-quadratic loss low-rank matrix recovery.
This work analyzes Adam's preconditioning effect on quadratic functions and quantifies its impact on condition number.
Paper calculates Donaldson-Thomas invariants for a specific category.
To determine the Lie groups that admit a flat (eventually complete) left invariant semi-Riemannian metric is an open and difficult problem. The main aim of this paper is the study of the flatness of left invariant semi Riemannian metrics on quadratic Lie groups i.e. Lie groups endowed with a bi-invariant semi Riemannia…
Paper learns DAGs with quadratic variance functions efficiently.
In this paper we prove rigidity results on critical metrics for quadratic curvature functionals, involving the Ricci and the scalar curvature, on the space of Riemannian metrics with unit volume. It is well-known that Einstein metrics are always critical points. The purpose of this article is to show that, under some c…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following the convex duality approach, we show that the necessary and sufficient optimalit…
Classifies self-shrinkers in arbitrary dimensions under specific curvature conditions.
We give the first algorithm for Matrix Completion whose running time and sample complexity is polynomial in the rank of the unknown target matrix, linear in the dimension of the matrix, and logarithmic in the condition number of the matrix. To the best of our knowledge, all previous algorithms either incurred a quadrat…
Complex-valued neural networks avoid spurious local minima.
We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to simila…
Marden and Strebel established the Heights Theorem for integrable holomorphic quadratic differentials on parabolic Riemann surfaces. We extends the validity of the Heights Theorem to all surfaces whose fundamental group is of the first kind. In fact, we establish a more general result: the {\it horizontal} map which as…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We define an equilibrium strategy, which is different from the classical one, and …
This paper concerns integral varifolds of arbitrary dimension in an open subset of Euclidean space satisfying integrability conditions on their first variation. Firstly, the study of pointwise power decay rates almost everywhere of the quadratic tilt-excess is completed by establishing the precise decay rate for two-di…
The paper examines perimeter minimizing sets in curved spaces and finds conditions for their boundary to match a specific structure.
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regim…
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equation…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes with respect to the common noise filtration. Semi closed-loop strategies are intro…
New formulas with quadratic curvature terms on Kähler manifolds for Hodge number estimates.
In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator has quadratic growth in the -variable. In particular, we obtain existence, comparison, and stability results, and consider the opti…
A (meromorphic) quadratic differential is a (meromorphic) section of the tensor square of the canonical bundle of a Riemann surface. They arose in the study of quasiconformal mappings in the works of Oswald Teichmüller, and have played a mayor role in the study of the Riemann moduli, where they can be identified with c…
Study moduli space of quadratic differentials with new geometric insights.
In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,u). From a technical point of view, we use a direct fixed point approach as in Tevzadze [38], which allows us to obtain existence and unique…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the objective functional. We define an equilibrium, instead of optimal, solution withi…
Proposes a new framework for invariant quadratic P&L predictions in option books.
A new QHR model extends HR model with a quadratic variance function.
Here I give a description of Alexandrov 4-point comparison via quadratic forms and then propose a natural 5-point condition which might have some future. Consider this note as a letter from me --- do not take it seriously.
We reconsider the problem of optimal trading in the presence of linear and quadratic costs, for arbitrary linear costs but in the limit where quadratic costs are small. Using matched asymptotic expansion techniques, we find that the trading speed vanishes inside a band that is narrower than in the absence of quadratic …
Study on neural networks with quadratic activation functions, focusing on optimization and generalization.
In this article we give necessary and sufficient conditions for an irreducible Kähler C-space with to have nonnegative or positive quadratic bisectional curvature, assuming the space is not Hermitian symmetric. In the cases of the five exceptional Lie groups , the computer package MAPLE…