A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper optimizes insurance dividend payments and reinsurance strategies under specific distribution constraints.
Optimal asset allocation strategy outperforms stochastic benchmark.
New approach to control diffusion processes with soft constraints.
New test for SGD in binary classification reduces computation time.
Efficiently simulates SABR model with novel sampling methods.
GH-PID uses guided harmonic paths for efficient SOT with interpretable diagnostics.
TVM improves generative modeling by matching terminal velocities.
Dynamic reinsurance aims to minimize surplus risk using martingale transport.
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak convergence result for the terminal wealths of the optimal portfolios. Finally,…
In this paper, the `Approximate Message Passing' (AMP) algorithm, initially developed for compressed sensing of signals under i.i.d. Gaussian measurement matrices, has been extended to a multi-terminal setting (MAMP algorithm). It has been shown that similar to its single terminal counterpart, the behavior of MAMP algo…
The paper analyzes and proposes a new stopping criterion for recursive Bayesian classification.
Social Security and other public policies can be viewed as a series of cash in and outflows that depend on parameters such as the age distribution of the population and the retirement age. Given forecasts of these parameters, policies can be designed to be financially stable, i.e., to terminate with a zero balance. If …
Develops a method for causal inference in recurrent event data with terminal failure.
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying terminal time. Using the embedding technique from stochastic optimal control in conti…
Conditional diffusion models can approximate target distributions well with Gaussian-mixture reverse kernels.
Defines -expectation of distributions and its applications.
Investors optimize their portfolios within a Wasserstein ball to match a benchmark's risk profile.
In this work, we consider the problem of autonomously discovering behavioral abstractions, or options, for reinforcement learning agents. We propose an algorithm that focuses on the termination condition, as opposed to -- as is common -- the policy. The termination condition is usually trained to optimize a control obj…
Generative model prices basket options efficiently.
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an expected utility maximizer w…
We consider a distributed parameter estimation problem, in which multiple terminals send messages related to their local observations using limited rates to a fusion center who will obtain an estimate of a parameter related to observations of all terminals. It is well known that if the transmission rates are in the Sle…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that high risk aversion leads to a rather concentrated distribution, whereas lower ris…
Study bounds for prices of European and American options with optional termination.
The paper finds optimal threshold strategies for insurance companies with a positive terminal value at creeping ruin.
New method preserves distances in time series data.
Proves finite step termination of Kähler-Einstein metric singularity formation.
The study proves a key inequality for specific types of three-dimensional spaces.
We introduce and study a class of probabilistic generative models, where the latent object is a finite-dimensional diffusion process on a finite time interval and the observed variable is drawn conditionally on the terminal point of the diffusion. We make the following contributions: We provide a unified viewpoint on b…
A framework solves parametric families of MFGs efficiently.
Paper solves bond option pricing with credit risk using Black-Scholes equations.
Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general Lévy stock price dynamics, we show that a higher job termination ri…
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is…
We prove that the sum of the -invariants of two different Kollár components of a Kawamata log terminal singularity is less than .
New method for computing terminal embeddings in sublinear time.
Locally adaptive clustering for tree delineation.
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…
In reinforcement learning, a decision needs to be made at some point as to whether it is worthwhile to carry on with the learning process or to terminate it. In many such situations, stochastic elements are often present which govern the occurrence of rewards, with the sequential occurrences of positive rewards randoml…
Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for…
New reward function improves GAIL performance in task-based environments.
We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security prici…
Develops a learning model predictive controller for competitive racing.
A new BO termination criterion for HPO reduces optimization time without sacrificing test performance.
Circular nets with spherical parameter lines have geometric properties related to Darboux cyclides and terminating Laplace sequences.
New GLPs split Lévy bridges into non-overlapping subprocesses.
We apply the language of the groupoid approach to Lie pseudo-groups, and the classical Cartan-Kuranishi theorem, to prove that Cartan's equivalence method terminates at involution (or at complete reduction) for constant type problems.
Study resolves duality gap in optimal consumption with random income termination.
New framework finds periodic policies in reset-free MDPs with sublinear regret.