arXiv research

New homology theory for semi-groups with specific properties.

This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, w…

Some properties of non-orientable 3-manifolds are shown. The semi-group of cobordism of immersions of surfaces in such manifolds is computed and proven actually to be a group. Explicit invariants are provided.

Study infinitesimal characters on semi-groups to prove interior properties and apply to Teichmüller spaces.

Study shows existence and uniqueness of periodic pseudospherical surfaces from Cauchy problems.

Study of stochastic differential equations on non-compact manifolds, solving open problem on strong completeness.

Consider a sample of $n$ points taken i.i.d from a submanifold $Σ$ of Euclidean space. We show that there is a way to estimate the Ricci curvature of $Σ$ with respect to the induced metric from the sample. Our method is grounded in the notions of Carré du Champ for diffusion semi-groups, the theory of Empirical process…

We consider Laplacians acting on sections of homogeneous vector bundles over symmetric spaces. By using an integral representation of the heat semi-group we find a formal solution for the heat kernel diagonal that gives a generating function for the whole sequence of heat invariants. We argue that the obtained formal s…

Study large deviations and speed of random walks in hyperbolic spaces.

We introduce a sub-Riemannian analogue of the Bence-Merriman-Osher diffusion driven algorithm and show that it leads to weak solutions of the horizontal mean curvature flow of graphs over sub-Riemannian Carnot groups. The proof follows the nonlinear semi-group theory approach originally introduced by L. C. Evans in the…

We consider Laplacians acting on sections of homogeneous vector bundles over symmetric spaces. By using an integral representation of the heat semi-group we find a formal solution for the heat kernel diagonal that gives a generating function for the whole sequence of heat invariants. We show explicitly that the obtaine…

We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of stochastic volatility models for pricing contingent claims on risky assets. In particular, by restricting to domains of bounded volatility, we …

Tests for equivariance in non-parametric regression models.

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact…

Study differential operators on non-compact harmonic manifolds, finding conditions for radial fundamental solutions and dense heat-semigroups.

A generic smooth map of a closed $2k$-manifold into $(3k-1)$-space has a finite number of cusps ($Σ^{1,1}$-singularities). We determine the possible numbers of cusps of such maps. A fold map is a map with singular set consisting of only fold singularities ($Σ^{1,0}$-singularities). Two fold maps are fold bordant if the…

We study the pull-back of the 2-parameter family of quotient elastic metrics introduced in Mio-Srivastava-Joshi on the space of arc-length parameterized loops. This point of view has the advantage of concentrating on the manifold of arc-length parameterized curves, which is a very natural manifold when the analysis of …

Study dynamics of $L^p$-multipliers on harmonic manifolds with exponential volume growth.

Study heat content in sub-Riemannian manifolds, obtaining asymptotic expansion.

New algorithm optimizes nonlinear SDEs online with convergence guarantees.

Sharp comparison theorems are derived for all eigenvalues of the (weighted) Laplacian, for various classes of weighted-manifolds (i.e. Riemannian manifolds endowed with a smooth positive density). Examples include Euclidean space endowed with strongly log-concave and log-convex densities, extensions to $p$-exponential …

Certain natural geometric approximation schemes are developed for Wiener measure on a compact Riemannian manifold. These approximations closely mimic the informal path integral formulas used in the physics literature for representing the heat semi-group on Riemannian manifolds. The path space is approximated by finite …

The paper studies limit sets on $\mathbb{P}(\mathbb{R}^3)$ using stationary measures.