arXiv research

Ancient Lagrangian flows get limited convex solutions.

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…

Quadratic growth of intersecting curves on surfaces resolved.

Paper constructs multivalued harmonic functions on R^3 using twistor methods.

New approach finds solutions to games with unbounded controls.

Research shows quadratic growth in derivative maxima for certain interval diffeos with parabolic fixed points.

Private optimization faster on interpolation problems with quadratic growth.

Study on price formation in financial markets with a single default event.

We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance of qgFBSDE, we discuss a problem of cross hedging of an insurance related financial derivative using correlated assets. For the convergence…

We study modular fibers of elliptic differentials, which are roughly spaces of torus-coverings over a fixed base torus. For genus 2 torus covers with fixed degree we show, that the modular fibers F_d(1,1) are itself connected torus covers with Veech group SL_2(Z). Using results of Eskin, Masur and Schmoll we calculate …

We consider complete non-compact manifolds with either a sub-quadratic growth of the norm of the Riemann curvature, or a sub-quadratic growth of both the norm of the Ricci curvature and the squared inverse of the injectivity radius. We show the existence on such a manifold of a distance-like function with bounded gradi…

We study the minimal surface equation in the Heisenberg space, Nil_3. A geometric proof of non existence of minimal graphs over non convex, bounded and unbounded domains is achieved (our proof holds in the Euclidean space as well). We solve the Dirichlet problem for the minimal surface equation over bounded and unbound…

Analyticity of heat equation extended to Bakry-Émery Ricci curvature manifolds.

In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general filtered probability spaces. In this paper the authors continue the study of functional differential equations and demonstrate how such approac…

Via Gauge theory, we give a new proof of partial regularity for harmonic maps in dimension m>2 into arbitrary targets. This proof avoids the use of adapted frames and permits to consider targets of "minimal" C^2 regularity. The proof we present moreover extends to a large class of elliptic systems of quadratic growth.

We derive lower bounds on the scalar curvature of complete non-compact gradient Yamabe solitons under some integral curvature conditions. Based on this, we prove that the corresponding potential functions have at most quadratic growth in distance. We also obtain a finite topological type property on complete shrinking …

We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility. Our approach is based on martingale methods which rely on recent results on the e…

Paper proves stable minimal surfaces in 3D are flat.

We study manifolds satisfying a weighed Poincare inequality, which was first introduced by Li-Wang. We generalized one of their results by relaxing the Ricci curvature bound condition only being satisfied outside a compact set and established a finitely many ends result. We proved a vanishing result for $L^2$ harmonic …

Paper derives estimates for Hessian equations under concavity assumptions.

In this paper we show that an immersed nontrivial translating soliton for mean curvature flow in $\mathbb{R}^{n+1}$($n=2,3)$ is a grim hyperplane if and only if it is mean convex and has weighted total extrinsic curvature of at most quadratic growth. For an embedded translating soliton $Σ$ with nonnegative scalar curva…

Paper shows non-convexity in solutions to Hessian equations.

The paper classifies and characterizes special surfaces in a 3D space.

We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such systems arise naturally as candidate solutions to characterize forward performance processes and their associated optimal trading strategies in a…

In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by introducing the extended notion of $g$-Snell enveloppe. Then, in a second step, we re…

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 $f$ has quadratic growth in the $z$-variable. In particular, we obtain existence, comparison, and stability results, and consider the opti…

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…

We demonstrate that the use of asymptotic expansion as prior knowledge in the "deep BSDE solver", which is a deep learning method for high dimensional BSDEs proposed by Weinan E, Han & Jentzen (2017), drastically reduces the loss function and accelerates the speed of convergence. We illustrate the technique and its imp…

We derive a local Gaussian upper bound for the $f$-heat kernel on complete smooth metric measure space $(M,g,e^{-f}dv)$ with nonnegative Bakry-Émery Ricci curvature, which generalizes the classic Li-Yau estimate. As applications, we obtain a sharp $L_f^1$-Liouville theorem for $f$-subharmonic functions and an $L_f^1$-u…

We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show that this system admits a unique solution for every bounded demand if and only …

Deep tensor factorization benefits from implicit regularization with polynomial growth.

The paper improves competitive and dynamic regret bounds for smoothed online learning.

Study Nash equilibrium in mean field portfolio games with random market parameters.

We give a description of asymptotic quadratic growth rates for geodesic segments on covers of Veech surfaces in terms of the modular fiber parameterizing coverings of a fixed Veech surface. To make the paper self contained we derive the necessary asymptotic formulas from the Gutkin-Judge formula. As an application of t…

The study bounds heat kernel for manifolds with specific curvature conditions.

This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices, and corresponding derivative hedges. We use the fact that they can be represented …

In this paper, we study the efficiency of a {\bf R}estarted {\bf S}ub{\bf G}radient (RSG) method that periodically restarts the standard subgradient method (SG). We show that, when applied to a broad class of convex optimization problems, RSG method can find an $ε$-optimal solution with a lower complexity than the SG m…

In this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z; u), started in our accompanying paper [15]. Relying on the existence and uniqueness result of [15], we define the corresponding g-expectations and study some of the…

We proved a uniqueness theorem of tangent connections for a Yang-Mills connection with an isolated singularity with a quadratic growth of the curvature at the singularity. We also obtained controls over the rate of the asymptotic convergence of the connection to the tangent connection under assumptions that the connect…

Model asset pricing with habit formation in a large market.

We study geometry of complete Riemannian manifolds endowed with a weighted measure, where the weight function is of quadratic growth. Assuming the associated Bakry-Emery curvature is bounded from below, we derive a new Laplacian comparison theorem and establish various sharp volume upper and lower bounds. We also obtai…

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 extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a simple characterization of self-financing trading strategies and a sufficient condi…

Study of a game with multiple players and common shocks using probabilistic methods.

Let $n$ be a positive integer, and let $\ell>1$ be square-free odd. We classify the set of equivariant homeomorphism classes of free $C_\ell$-actions on the product $S^1 \times S^n$ of spheres, up to indeterminacy bounded in $\ell$. The description is expressed in terms of number theory. The techniques are various appl…

In this work, we apply our newly proposed perturbative expansion technique to a quadratic growth FBSDE appearing in an incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion technique for the underlying volatility process, we derive explicit expression f…

In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work stems from the degeneracy of the second order terms and the quadratic growth of the first order terms in the associated …

A known failing of many popular random graph models is that the Aldous-Hoover Theorem guarantees these graphs are dense with probability one; that is, the number of edges grows quadratically with the number of nodes. This behavior is considered unrealistic in observed graphs. We define a notion of edge exchangeability …