Study controlled contagion with state-dependent killing, proving a comparison principle.
problem Analyzing controlled McKean--Vlasov contagion with state-dependent killing.
method Proof of a comparison principle using Wasserstein smooth-gauge comparison and killing-jump absorption estimates.
result Established a comparison principle for the two-population killed-particle HJB.
We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-form spectral expansions for pricing such options under a class of nonlinear volatility diffusion processes which includes the constant-elastic…
Proposes a new framework for optimizing utility with state-dependent benchmarks.
problem Various interpretations of benchmarks in utility functions.
method General framework of state-dependent utility optimization with stochastic benchmarks.
result Provides optimal solutions and addresses issues of well-definedness and feasibility.
Unique optimal strategy identified for state-dependent risk aversion.
problem Consistency of optimal portfolio choice for varying risk aversion.
method Analysis of state-dependent exponential utilities in arbitrage-free markets.
result Uniqueness of optimal strategy across any time horizon.
A Hawkes process with state-dependent factor models order flows in limit order books.
problem Modeling order flows in limit order books for better market prediction.
method A Hawkes process with a state-dependent factor for conditional intensity estimation.
result State-dependent formulations improve the fit of LOB models to financial data.
Study of SGD with state-dependent noise, improving escape from local minima.
problem Understanding and improving the dynamics of SGD in non-convex optimization.
method Formal study on SGD with state-dependent noise, proposing power-law dynamic with state-dependent diffusion.
result Power-law dynamic can escape from sharp minima exponentially faster than flat minima.
We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The excitation kernel of the counting process depends on the state process that, reciprocally…
Theory integrates loss aversion into expected utility for monetary returns.
problem Modeling loss aversion in expected utility theory.
method Develops state-dependent linear utility functions incorporating loss aversion.
result Contracts from monopolists in insurance markets.
This paper improves credit risk analysis by incorporating state-dependent recovery rates into a factor model.
problem Accurate default forecasting in credit risk analysis.
method Extends a one-factor Gaussian copula model to include state-dependent recovery rates and a common factor.
result The proposed model outperforms other models in default prediction, especially during hectic periods.
Study efficient algorithms for nonconvex optimization with state-dependent Markov data.
problem Stochastic optimization with Markovian data and state-dependent transition kernels.
method Projection-based and projection-free algorithms for constrained nonconvex problems.
result The number of oracle calls to achieve an ε-stationary point is O(1/ε2.5). The paper defines and characterizes conditional nonlinear expectations.
problem Defining and characterizing conditional nonlinear expectations.
method Embedding in decision theory, using state-dependent preferences, and continuous utility representation.
result Consistent backward conditional projections are characterized by the Sure-Thing Principle.
Distributed strategic learning has been getting attention in recent years. As systems become distributed finding Nash equilibria in a distributed fashion is becoming more important for various applications. In this paper, we develop a distributed strategic learning framework for seeking Nash equilibria under stochastic…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which income is received. Optimal payoffs have their lowest outcomes when the economy …
The paper extends intensity models for limit order books using marked point processes.
problem Modeling intensity ratios in limit order books with state dependency and clustering.
method Developed a new model combining three multiplicative components for marked point processes.
result The new model outperforms other intensity-based methods in predicting market order signs and aggressiveness.
The paper analyzes fill probabilities in limit order books with varying price levels.
problem Determining the likelihood of limit orders being executed in a limit order book.
method Developed a state-dependent stochastic framework to model limit order book dynamics.
result Derived semi-analytical expressions for fill probabilities and mid-price changes.
Self-regulating annealing improves sampling from heavy-tailed datasets.
problem Sampling from heavy-tailed distributions using diffusion models.
method Proposed an SDE-based sampler with a state-dependent diffusion coefficient.
result State dependence induces a self-regulating annealing mechanism.
Despite its potential to improve sample complexity versus model-free approaches, model-based reinforcement learning can fail catastrophically if the model is inaccurate. An algorithm should ideally be able to trust an imperfect model over a reasonably long planning horizon, and only rely on model-free updates when the …
A new model for forward curves captures behavior through a single equation.
problem Modeling forward curves in a complex function space.
method Developed a stochastic partial differential equation with locally state-dependent coefficients.
result The model retains simplicity while capturing entire forward curve behavior.
We develop a new method to estimate failure probabilities in complex systems.
problem Estimating failure probabilities in safety-critical autonomous systems is challenging due to the rarity of failures and large state spaces.
method We propose an adaptive importance sampling algorithm that minimizes forward Kullback-Leibler divergence and uses Markov score ascent methods.
result Our method provides more accurate failure probability estimates than existing techniques.
Killing tensors on complex projective space are identified and generated by Killing fields.
problem Identifying Killing tensors on complex projective space.
method Determining Killing tensors of arbitrary rank on complex projective space with Fubini-Study metric.
result Complex projective spaces are generated by Killing fields.
Researchers found indecomposable Killing tensor fields on quaternionic projective spaces.
problem Characterizing Killing tensor fields on projective spaces.
method Analyzing Killing tensor fields on quaternionic and complex projective spaces, proving algebraic properties.
result Generated algebras of Killing tensor fields on quaternionic and complex projective spaces.
Characterizes conformal Killing tensors and their Killing scales.
problem Characterizing conformal Killing tensors and their Killing scales.
method Differential prolongation using conformally invariant tractor calculus.
result Provides an invariant characterisation of Einstein Killing scales.
The integrability conditions for the existence of a conformal Killing-Yano tensor of arbitrary order are worked out in all dimensions and expressed in terms of the Weyl tensor. As a consequence, the integrability conditions for the existence of a Killing-Yano tensor are also obtained. By means of such conditions, it is…
A framework combining HSMM and survival analysis for lifecycle-oriented mobility analysis.
problem Understanding individual metro usage dynamics over multi-year horizons.
method A state-based lifecycle modeling framework integrating HSMM and discrete-time survival analysis.
result Identification of interpretable mobility states, transition dynamics, and state-dependent exit and re-entry processes.
We provide a generalization of the Lie algebra of conformal Killing vector fields to conformal Killing-Yano forms. A new Lie bracket for conformal Killing-Yano forms that corresponds to slightly modified Schouten-Nijenhuis bracket of differential forms is proposed. We show that conformal Killing-Yano forms satisfy a gr…
Given an d-dimensional manifold with two commuting Killing vectors, together with an d - 1 dimensional submanifold in which one of the Killing vectors lies, then the lapse and shift of the second Killing vector, relative to this slice, remain constant along the orbits of the `surface' Killing vector. Alternatively, the…
New spinor types found on certain manifolds.
problem Understanding spinor structures on manifolds.
method Introducing and proving existence of Ricci Killing spinors.
result New examples of manifolds with generalized Killing spinors.
Symmetry algebras of Killing vector fields and conformal Killing vectors fields can be extended to Killing-Yano and conformal Killing-Yano superalgebras in constant curvature manifolds. By defining Z-gradations and filtrations of these superalgebras, we show that the second cohomology groups of them are triv…
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the existing literature of dual risk models, the profits follow the compound Poisson …
Systematic prolongation for Killing two-tensors in symmetric spaces.
problem Understanding Killing two-tensors in symmetric spaces.
method Systematic prolongation procedure for Killing two-tensors, focusing on locally symmetric spaces.
result Natural quadratic mapping from Killing fields to Killing two-tensors on irreducible locally symmetric spaces of compact type.
Killing tensors on reducible spaces are reducible, except for special cases.
problem Characterizing Killing tensors on reducible spaces.
method Analyzing Killing tensors on product manifolds and their lifts.
result Killing tensors on product manifolds are reducible, except for specific cases.
We study generalized Killing spinors on round spheres Sn. We show that on the standard sphere S8 any generalized Killing spinor has to be an ordinary Killing spinor. Moreover we classify generalized Killing spinors on Sn whose associated symmetric endomorphism has at most two eigenva…
The paper classifies Killing tensor fields on Riemannian symmetric spaces.
problem Understanding Killing tensor fields on Riemannian symmetric spaces.
method Reduced study to compact irreducible spaces, introduced top slot Killing tensor fields, and classified quadratic fields.
result Quadratic Killing tensor fields on Riemannian symmetric spaces of rank one are spanned by top-slot and decomposable fields.
Proves existence and uniqueness of Killing graphs with prescribed curvature.
problem Existence and uniqueness of Killing graphs with prescribed curvature.
method Proves existence and uniqueness of Killing graphs with prescribed mean curvature considering non-constant functions.
result Existence and uniqueness of Killing graphs with prescribed curvature.
Study of higher spin Killing spinors on 3D manifolds, proving rigidity and providing explicit expressions.
problem Understanding higher spin Killing spinors on 3D manifolds.
method Definition and detailed study of higher spin Killing spinors in arbitrary dimension, focusing on 3D manifolds. Rigidity result and explicit expressions for 3-sphere and 3-hyperbolic space.
result Proved a rigidity result for 3D manifolds admitting higher spin Killing spinors and provided explicit expressions for these spinors.
Study on Riemannian Poisson warped product spaces and their properties.
problem Characterizing and understanding Riemannian Poisson warped product spaces.
method Formal treatment of Killing and 2-Killing 1-forms on Riemannian Poisson manifolds, including Bochner type results.
result Characterization of 2-Killing 1-form on (R2,g,Π) and Bochner type results on compact spaces. In this paper, we define a semi-symmetric metric Killing vector field, then study semi-symmetric metric Killing vector fields on warped and multiply warped products with a semi-symmetric metric connection. We also study Killing and 2-Killing vector fields on multiply warped products.
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the investor is uncontrollable and is modeled by another geometric Brownian motion. W…
In this paper, we extend the study of generalized Killing spinors on Riemannian Spinc manifolds started by Moroianu and Herzlich to complex Killing functions. We prove that such spinor fields are always real Spinc Killing spinors or imaginary generalized Spinc Killing spinors, providing that the dimension of t…
Researchers study Killing superalgebras in 2D manifolds.
problem Characterizing Killing superalgebras in 2D pseudo-Riemannian manifolds.
method Computing Spencer cohomology and filtered deformations of superalgebras.
result Killing superalgebras arise as solutions for geometric and skew-Killing spinors.
Researchers solve conformal Killing forms on Kaehler manifolds.
problem Classifying conformal Killing forms on compact Kaehler manifolds.
method Explicit determination of conformal Killing forms in middle degree.
result First examples of conformal Killing forms not from Hamiltonian 2-forms.
Researchers found non-Killing tensor fields on certain symmetric spaces.
problem Understanding Killing tensors on all Riemannian symmetric spaces.
method Constructed explicit examples of quadratic Killing tensors on quaternionic and Cayley projective spaces.
result Quadratic Killing tensors can be non-Killing on some symmetric spaces.
Study of Killing spinor-valued forms and their integrability conditions.
problem Understanding Killing spinor-valued forms and their properties.
method Detailed treatment of prolongation and integrability conditions, relating to curvature of the manifold.
result New solutions found that are not from tensor products of Killing spinors and Killing-Yano forms.
New concept of metric Lie algebras helps classify Lie groups.
problem Classifying Lie groups based on conformal Killing symmetric tensors.
method Introducing metric Lie algebras of Killing type and proving conditions for these algebras.
result Conditions for Lie algebras to be of Killing type with respect to any positive definite metric.
Study on Killing magnetic curves in Heisenberg group geometry.
problem Understanding Killing magnetic curves in Heisenberg group.
method Presentation of Heisenberg group geometry and geodesics, study of Killing magnetic curves with explicit formulas.
result Explicit formulas for Killing magnetic curves in Heisenberg group.
Classifies invariant generalised Killing spinors on Lie groups.
problem Classifying invariant generalised Killing spinors on Lie groups.
method Complete classification using invariant properties and computational methods.
result Existence of non-trivial invariant generalised Killing spinors implies all invariant spinors are generalised Killing with the same endomorphism.
Study infinitesimal deformations of Killing spinors on nearly parallel G2-manifolds.
problem Infinitesimal deformations of Killing spinors on nearly parallel G2-manifolds.
method Examined using the correspondence between nearly parallel G2-structures and Killing spinors.
result Identified that the space of Rarita-Schwinger fields coincides with a subspace of the eigenspace of the Laplacian.
Innovative extensions to option pricing models using asymmetric Brownian motion and random walk approaches.
problem Capturing empirical phenomena like return skewness, heavy tails, and volatility asymmetry in option pricing models.
method Developing the Geometric Asymmetric Brownian Motion (GABM) within the Bachelier--Black--Scholes--Merton framework.
result Deriving closed-form option pricing formulas and a discrete-time binomial tree algorithm that converges to the GABM limit.