arXiv research

The paper explores generalizations of Mirzakhani's recursion and computes volumes for physical gravity models.

Solves a recursion for Gromov-Witten invariants of the unknot.

We apply Cartan's method of equivalence to find a Bäcklund autotransformation for the tangent covering of the universal hierarchy equation. The transformation provides a recursion operator for symmetries of this equation.

In this paper, the method of approximate transformation groups which was proposed by Baikov, Gazizov and Ibragimov, is extended on Hamiltonian and bi-Hamiltonian systems of evolution equations. Indeed, as a main consequence, this extended procedure is applied in order to compute the approximate conservation laws and ap…

This paper develops efficient algorithms for multibody dynamics using screw and Lie group theory.

We derive a recursion relation for hyperbolic string vertices and apply it to string field theory.

The paper studies risk-sensitive MDPs with recursive risk measures.

Using methods of math.DG/0304245 and [I.S.Krasil'shchik and P.H.M.Kersten, Symmetries and recursion operators for classical and supersymmetric differential equations, Kluwer, 2000], we accomplish an extensive study of the N=1 supersymmetric Korteweg-de Vries equation. The results include: a description of local and non…

New recursion formula for non-orientable surfaces resolves divergences.

Guichard's transformations generate Voss surfaces from sine-Gordon solutions.

Study adds investment gains and losses to recursive utility model, proving existence and uniqueness of utility process.

Deep learning solves dynamic programming with recursive utility.

Solves optimal stopping problem with Poisson constraints using jumps.

Study uses reinforcement learning to optimize portfolios under recursive utility.

Developed moment estimators for affine stochastic volatility models.

This paper studies recursive ensembles driven by Fibonacci updates, improving learning dynamics.

We formulate a generalization of the volume conjecture for planar graphs. Denoting by <G, c> the Kauffman bracket of the graph G whose edges are decorated by real "colors" c, the conjecture states that, under suitable conditions, certain evaluations of <G,kc> grow exponentially as k goes to infinity and the growth rate…

In this paper, we give some new genus-3 universal equations for Gromov-Witten invariants of compact symplectic manifolds. These equations were obtained by studying new relations in the tautological ring of the moduli space of 2-pointed genus-3 stable curves. A byproduct of our search for genus-3 equations is a new genu…

This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth coefficients satisfy our assumption. After given an equivalent backward formulation of our …

Paper develops a high-order recombination algorithm for financial modeling.

Researchers study heavy-tail properties of SGD using stochastic recurrence equations.

Using geometrical approach exposed in arXiv:math/0304245 and arXiv:nlin/0511012, we explore the Camassa-Holm equation (both in its initial scalar form, and in the form of 2x2-system). We describe Hamiltonian and symplectic structures, recursion operators and infinite series of symmetries and conservation laws (local an…

We find a remarkable subalgebra of higher symmetries of the elliptic Euler-Darboux equation. To this aim we map such equation into its hyperbolic analogue already studied by Shemarulin. Taking into consideration how symmetries and recursion operators transform by this complex contact transformation, we explicitly give …

Introduces a new 2C extension of the heavenly equation.

A twistor construction of the hierarchy associated with the hyper-Kähler equations on a metric (the anti-self-dual Einstein vacuum equations, ASDVE, in four dimensions) is given. The recursion operator R is constructed and used to build an infinite-dimensional symmetry algebra and in particular higher flows for the hyp…

This research extends topological recursion to hyperbolic surfaces with tight boundaries and conical defects.

The coupled KdV-mKdV system arises as the classical part of one of superextensions of the KdV equation. For this system, we prove its complete integrability, i.e., existence of a recursion operator and of infinite series of symmetries.

We expose (without proofs) a unified computational approach to integrable structures (including recursion, Hamiltonian, and symplectic operators) based on geometrical theory of partial differential equations. We adopt a coordinate based approach and aim to provide a tutorial to the computations.

Combines neural networks with splitting-up method for filtering equations.

CEFOL uses deep learning for dynamic programming with recursive utility.

Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large derivative books. Recursive Marginal Quantization of the Euler scheme has recen…

Introduces a new theoretical framework for exponential smoothing.

In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the heat equation solution. These recursive solutions are approximated by using Legend…

We present infinitely many nonlocal conservation laws, a pair of compatible local Hamiltonian structures and a recursion operator for the equations describing surfaces in three-dimensional space that admit nontrivial deformations which preserve both principal directions and principal curvatures (or, equivalently, the s…

Rediscovered by a systematic search, a forgotten class of integrable surfaces is shown to disprove the Finkel-Wu conjecture. The associated integrable nonlinear partial differential equation $z_{yy} + (1/z)_{xx} + 2 = 0$ possesses a zero curvature representation, a third-order symmetry, and a nonlocal transformatio…

Adaptive learning of SPDE solutions using score-based diffusion models.

Paper proposes a recursive GPSSM for efficient online learning.

Paper finds a new principle for optimizing consumption and wealth using Tsallis entropy.

$R$-coloured knot polynomials for $m$-strand torus knots $Torus_{[m,n]}$ are described by the Rosso-Jones formula, which is an example of evolution in $n$ with Lyapunov exponents, labelled by Young diagrams from $R^{\otimes m}$. This means that they satisfy a finite-difference equation (recursion) of finite degree. For…

Symplectic groupoids create Poisson integrators for complex systems.

This paper refines the Gaussian Sinkhorn algorithm for general multivariate models.

Recursive neural networks have widely been used by researchers to handle applications with recursively or hierarchically structured data. However, embedded control flow deep learning frameworks such as TensorFlow, Theano, Caffe2, and MXNet fail to efficiently represent and execute such neural networks, due to lack of s…

The reduction problem of the chiral field equation on symmetric spaces is studied. It is shown that the symmetric chiral field has infinitely many local conservation laws. A recursive formula for these conservation laws is derived and the first associated integral of motion are given explicitly. Furthermore, the Zakhar…

We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale approach and analyze the recursive system of nonlinear Hamilton-Jacobi-Bellman equatio…

We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic backward stochastic differential equation (BSDE in short). We characterize the op…

In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date could be calculate by computing a recursive integral formula upon the heat equati…

Paper defines Farey Recursive Functions and explores their properties.

We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penal…