New method preserves distances in time series data.
problem Preserving distances in time series data under interpolation.
method Developed lines-preserving terminal embeddings.
result First dimension-free coresets for Fréchet distance clustering.
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arXiv research
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.
168,695 papers · 148 categories
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48 results for “terminal embeddings”
New method for computing terminal embeddings in sublinear time.
problem Efficiently computing terminal embeddings with sublinear time complexity.
method Developed a data structure to compute terminal embeddings in sublinear time.
result Achieved sublinear time computation of terminal embeddings.
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…
New obstruction found for embedding Riemannian manifolds into Euclidean spaces.
problem Embedding Riemannian manifolds into Euclidean spaces with specific conditions.
method Motivated by incompressible Euler equations, a dynamical-topological obstruction is derived.
result Nontrivial first real homology and trivial center of fundamental group imply embedding violation.
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…
Study bounds for prices of European and American options with optional termination.
problem Bounding prices of options with potential termination.
method Duality results linking upper prices of vulnerable options to American options with constrained exercise times.
result Linking upper prices of vulnerable options to American options and game options.
The paper finds optimal threshold strategies for insurance companies with a positive terminal value at creeping ruin.
problem Optimizing dividend payments in an insurance company's surplus process with a positive terminal value at creeping ruin.
method Using fluctuation theory, the paper derives explicit formulas for the objective function and shows the optimality of threshold strategies.
result Threshold strategies are optimal for the dividend optimization problem under certain conditions.
Proves finite step termination of Kähler-Einstein metric singularity formation.
problem Singularity formation of Kähler-Einstein metrics.
method Finite step termination of bubble trees for singularity formation.
result Finite step termination of Kähler-Einstein metric singularity formation proved in non-collapsing situation.
The study proves a key inequality for specific types of three-dimensional spaces.
problem Establishing a mathematical inequality for a specific class of three-dimensional spaces.
method Developed the orbifold version of the Bogomolov-Gieseker inequality for stable Q-sheaves on log terminal Kähler threefolds.
result Proved the Bogomolov-Gieseker inequality for log terminal Kähler threefolds.
New test for SGD in binary classification reduces computation time.
problem Determining optimal stopping for SGD in binary classification.
method Proposes a new, simple, computationally inexpensive termination criterion for SGD.
result Termination criterion reduces expected misclassification probability.
We study the class of Azéma-Yor processes defined from a general semimartingale with a continuous running maximum process. We show that they arise as unique strong solutions of the Bachelier stochastic differential equation which we prove is equivalent to the drawdown equation. Solutions of the latter have the drawdown…
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 .
Locally Adaptive Hierarchical Cluster Termination With Application To Individual Tree Delineationstat.ML
Locally adaptive clustering for tree delineation.
problem Tree delineation from distance data.
method Locally adaptive hierarchical cluster termination.
result Multi-scale alternative to conventional termination criteria.
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex transport constraints in addition to having given initial and terminal marginals. Sev…
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…
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switchingq-fin.MF
Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.
problem Optimal liquidation with regime switching in dark pools.
method Introduced a system of BSDEs with jumps and singular terminal values.
result Existence and uniqueness results for the BSDE system are obtained.
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.
problem Reward bias in adversarial imitation learning.
method Proposed a new reward function to overcome existing biases.
result New reward function outperforms existing methods 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.
problem Lack of exploration in state space and complexity in obstacle avoidance.
method Explores state space through multiple initializations and develops a new method for convex terminal set selection.
result Yields a richer terminal safe set and maintains convexity.
A new BO termination criterion for HPO reduces optimization time without sacrificing test performance.
problem Determining an optimal budget for hyperparameter optimization.
method A new termination criterion based on the discrepancy between predictive and computable target performance.
result The proposed termination criterion achieves a better trade-off between test performance and optimization time.
Circular nets with spherical parameter lines have geometric properties related to Darboux cyclides and terminating Laplace sequences.
problem Discretizing surfaces with spherical curvature lines.
method Lie-geometric discretisation in terms of principal contact element nets.
result Circular nets with two families of spherical parameter lines are related to Darboux cyclides.
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.
TVM improves generative modeling by matching terminal velocities.
problem Creating high-fidelity one- and few-step generative models.
method TVM generalizes flow matching, modeling transitions between diffusion timesteps and regularizing terminal behavior.
result TVM achieves state-of-the-art FID scores with minimal architectural changes and fused attention kernel.
Stopping Criterion Design for Recursive Bayesian Classification: Analysis and Decision Geometrycs.LG
The paper analyzes and proposes a new stopping criterion for recursive Bayesian classification.
problem Limitations of conventional stopping criteria in recursive Bayesian classification.
method Geometric interpretation of state posterior progression and analysis of conventional criteria.
result Proposes a new stopping criterion to overcome limitations of conventional methods.
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by an exponential randomized Brownian bridge (rBb) and consider various prior dist…
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…
Researchers find Kähler-Einstein metrics near isolated log terminal singularities.
problem Existence of Kähler-Einstein metrics with positive curvature near isolated log terminal singularities.
method Solving complex Monge-Ampère equations to analyze the existence of metrics.
result Existence of smooth solutions in subcritical regimes, with critical exponent expressed in terms of normalized volume.
Optimal life-cycle consumption and investment decisions under age-dependent risk preferencesq-fin.MF
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…
Optimal asset allocation strategy outperforms stochastic benchmark.
problem Achieving higher terminal wealth than a stochastic benchmark.
method Data-driven Neural Network optimization framework for dynamic asset allocation.
result Optimal adaptive strategy outperforms benchmark with higher median and right-skewed terminal wealth.
ETCNN uses neural networks to price American options accurately.
problem Accurately pricing American options with inequality constraints.
method ETCNN framework solving BSM equations with exact terminal condition.
result ETCNN achieves high accuracy and robustness across various scenarios.
We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value + with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minim…
Research of an optimization model for servicing a network of ATMs and information payment terminalscs.LG
Optimizes cash management in ATM networks to reduce costs and increase revenue.
problem Minimizing cash costs while ensuring adequate funds in a network of ATMs.
method Developed a discrete optimal control model using forecasting techniques and control theory.
result The proposed model outperforms classical inventory management models, earning 30% more revenue.
Proof of complex geometry theorem for specific singular spaces.
problem Proving a complex geometry theorem for a specific type of singular spaces.
method Self-contained proof of singular Beauville-Bogomolov decomposition theorem.
result Proof of singular Beauville-Bogomolov decomposition theorem for compact Kähler varieties with log terminal singularities and zero first Chern class.
The paper examines special Q-nets that terminate after a finite number of Laplace steps.
problem Understanding the termination of Laplace sequences in Q-nets.
method Analyzing discrete Koenigs nets and their Laplace sequences.
result For certain Koenigs nets, Laplace sequences terminate after a finite number of steps.
Geometrically interpolates rigid body motions with initial and terminal twists.
problem Finding spatial trajectories between prescribed initial and terminal poses.
method Derives solutions for k-IV-TIP and k-BV-TIP for k=1,...,4.
result Automatic cubic interpolation identical to minimum acceleration curve when twists are zero.
This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since it helps a bank to control the risk, the banks charge less service fees compared …
Resource allocation improved using machine learning from terminal positions.
problem Optimizing resource allocation in next-gen wireless systems with fast-changing channel conditions.
method Supervised machine learning using position information of mobile terminals.
result Coordinates-based resource allocation performs similarly to traditional CSI-based methods.
GH-PID uses guided harmonic paths for efficient SOT with interpretable diagnostics.
problem Efficiently solving Stochastic Optimal Transport with hard terminal distributions and soft costs.
method Guided Harmonic Path-Integral Diffusion (GH-PID) framework with low-dimensional guidance.
result GH-PID generates geometry-aware, cost-reducing trajectories that match terminal distributions.
Deep reinforcement learning has achieved great successes in recent years, but there are still open challenges, such as convergence to locally optimal policies and sample inefficiency. In this paper, we contribute a novel self-supervised auxiliary task, i.e., Terminal Prediction (TP), estimating temporal closeness to te…
The paper optimizes insurance dividend payments and reinsurance strategies under specific distribution constraints.
problem Optimizing insurance dividend payments and reinsurance strategies with terminal distribution constraints.
method Explicit expressions for optimal strategies found in both discrete and continuous time settings.
result Explicit expressions for optimal dividend strategies and reinsurance strategies found.
The paper analyzes portfolio selection with non-concave utility and transaction costs.
problem Non-concave utility maximization with proportional transaction costs.
method Two-step procedure: asymptotic terminal behavior analysis and discontinuous viscosity solution.
result Optimal portfolio strategies can differ significantly from the frictionless case due to transaction costs.
Survive method improves model-based RL by avoiding terminal states, reducing sample complexity.
problem High sample complexity in model-free RL methods limits real-world applications.
method Introduces 'survival' concept to model-based RL, focusing on avoiding terminal states instead of maximizing rewards.
result Survive method reduces training effort by focusing on terminal states, improving model-based RL performance.
Proves orbifold singularities for Ricci-flat metrics on certain Kähler varieties.
problem Regularity of singular Ricci-flat Kähler metrics on Kähler varieties with log terminal singularities.
method Analyzes orbifold singularities of metrics restricted to the orbifold locus.
result Singular Ricci-flat Kähler metrics on Kähler varieties with log terminal singularities have orbifold singularities.
Causal inference for the expected number of recurrent events in the presence of a terminal eventstat.ME
Develops a method for causal inference in recurrent event data with terminal failure.
problem Causal inference in recurrent event data with a terminal event.
method Multiply robust estimation framework for causal inference.
result Proposes an estimator for the expected number of recurrent events and failure survival function.