arXiv research

Counterexample shows Ito integrand needn't be locally square integrable.

We study the asymptotic behaviour of doubly periodic instantons with square-integrable curvature. Then, we establish the equivalence given by the Nahm transform between the doubly periodic instantons with square integrable curvature and the wild harmonic bundles on the dual torus.

A new method simulates square-root processes efficiently.

Maxwell meets Korn: A New Coercive Inequality for Tensor Fields with Square-Integrable Exterior Derivative

This paper deals with the evaluation of double line integrals of the squared exponential covariance function. We propose a new approach in which the double integral is reduced to a single integral using the error function. This single integral is then computed with efficiently implemented numerical techniques. The perf…

Principal binets generalize curvature line surfaces to square lattices and are a discrete integrable system.

Paper solves a complex portfolio selection problem with time-inconsistent preferences.

Squared families are a new model class derived from linear transformations, offering convenient properties and universal approximation.

We introduce a class of non-commutative, complex, infinite-dimensional Heisenberg like Lie groups based on an abstract Wiener space. The holomorphic functions which are also square integrable with respect to a heat kernel measure $μ$ on these groups are studied. In particular, we establish a unitary equivalence between…

We prove that square integrable holomorphic functions (with respect to a plurisubharmonic weight) can be extended in a square integrable manner from certain singular hypersurfaces (which include uniformly flat, normal crossing divisors) to entire functions in affine space. This provides evidence for a conjecture regard…

We study the conditions for a nilpotent Lie group to be foliated into subgroups that have square integrable (relative discrete series) unitary representations, that fit together to form a filtration by normal subgroups. Then we use that filtration to construct a class of "stepwise square integrable" representations on …

In this paper, we consider the nonparametric least square regression in a Reproducing Kernel Hilbert Space (RKHS). We propose a new randomized algorithm that has optimal generalization error bounds with respect to the square loss, closing a long-standing gap between upper and lower bounds. Moreover, we show that our al…

The study finds arithmetic groups often in square-tiled surface monodromies.

We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation to handle high-dimensional problems with the efficiency of function approximation…

Path integral method calculates barrier option prices.

NeuralChaos efficiently approximates complex stochastic processes.

P3LS preserves privacy while integrating data across companies.

Assuming geometric Brownian motion as unaffected price process $S^0$, Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on market changes but can still be computed in closed form. Here we will investigate the robustness of this strategy with respect to misspecifica…

We combine recent developments on weakly symmetric pseudo--riemannian nilmanifolds with with geometric methods for construction of unitary representations on square integrable Dolbeault cohomology spaces. This runs parallel to construction of discrete series representations on spaces of square integrable harmonic forms…

This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable processes to the space of continuous adapted processes. It is characterized in te…

Improved LOO cross-validation for function approximation.

The eigenvalue problem for the square integrable solutions is studied usually for elliptic equations. In this note we consider such a problem for the hyperbolic Klein-Gordon equation on Lorentzian manifolds. The investigation could help to answer the question why elementary particles have a discrete mass spectrum. An i…

A new simulation method for Volterra processes improves convergence for rough kernels.

The Volterra square-root process shows non-uniqueness of limiting distributions and regularity of its law.

PLS-Lasso integrates dimension reduction into regression for financial index tracking.

Lipshitz and Sarkar recently introduced a space-level refinement of Khovanov homology. This refinement induces a Steenrod square operation $\Sq^2$ on Khovanov homology which they describe explicitly. This paper presents some computations of $\Sq^2$. In particular, we give examples of links with identical integral Khova…

The paper analyzes PLS-SVD in high-dimensional data integration, revealing its strengths and limitations.

For a finite-dimensional (but possibly noncompact) symplectic manifold with a compact group acting with a proper moment map, we show that the square of the moment map is an equivariantly perfect Morse function in the sense of Kirwan, and that the set of critical points of the square of the moment map is a countable dis…

Improves accuracy of SMCI estimators without expanding sum regions.

Novel approach integrates Multivariate Square-root Lasso into Synthetic Control for high-dimensional data.

Let $M$ be a hyperkaehler manifold, and $F$ a torsion-free and reflexive coherent sheaf on $M$. Assume that $F$ (outside of its singularities) admits a connection with a curvature which is invariant under the standard SU(2)-action on 2-forms. If the curvature is square-integrable, then $F$ is stable and its singulariti…

Study spectral distribution of twisted Laplacian on high genus hyperbolic surfaces.

New integral theorems improve density function estimations.

Study homotopy types of 4-manifolds, finding decompositions and conditions for desuspension.

Study extends convexity in curved spaces using fractional integrals.

In this note we prove that every two-dimensional entire Willmore graph in $R^3$ with square integrable mean curvature is a plane.

Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are …

In the classification theorems of Vinberg and Yakimova for commutative nilmanifolds, the relevant nilpotent groups have a very surprising analytic property. The manifolds are of the form $G/K = N \rtimes K/K$ where, in all but three cases, the nilpotent group $N$ has irreducible unitary representations whose coefficien…

New algorithm extracts shared latent space for cortico-muscular interactions.

Associated to a differential character is an integral cohomology class, referred to as the characteristic class, and a closed differential form, referred to as the curvature. The characteristic class and curvature are equal in de Rham cohomology, and this is encoded in a commutative square. In the Hopkins--Singer model…

Quillen proved that, if a Hermitian bihomogeneous polynomial is strictly positive on the unit sphere, then repeated multiplication of the standard sesquilinear form to this polynomial eventually results in a sum of Hermitian squares. Catlin-D'Angelo and Varolin deduced this positivstellensatz of Quillen from the eventu…

Stability of biharmonic maps in critical dimension proven.

Researchers compute Greeks for rough Volterra SV models using Malliavin calculus.

In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration $(\mathcal{F}_t)_{t\geq0}$. Let $X$ be a square-integrable $\mathcal{F}_\infty$-measurable random variable, and assume the non-degeneracy condition that for all $t<\in…

A new method for estimating large-scale linear models with improved precision.

We discuss the polynomial bi-Hamiltonian structures for the Kowalevski top in special case of zero square integral. An explicit procedure to find variables of separation and separation relations is considered in detail.

The square root of Fredholm determinants causes numerical instabilities in option pricing models.

We consider a Poisson process $η$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $λ$ of $η$. We give a Clark-Ocone type formula providing an explicit representation of square integrable martingales (defined with re…