arXiv research

We study the time analyticity of ancient solutions to heat equations on graphs. Analogous to Dong and Zhang [DZ19], we prove the time analyticity of ancient solutions on graphs under some sharp growth condition.

We prove the analyticity in time for solutions of two parabolic equations in the whole space, without any decaying or vanishing conditions. One of them involves solutions to the heat equation of exponential growth of order $2$ on $\M$. Here $\M$ is $\R^d$ or a complete noncompact manifold with Ricci curvature bounded f…

Survey on LLMs for time series analytics across various domains.

It is well known that generic solutions of the heat equation are not analytic in time in general. Here it is proven that ancient solutions with exponential growth are analytic in time in ${\M} \times (-\infty, 0]$. Here $\M=\R^n$ or is a manifold with Ricci curvature bounded from below. Consequently a necessary and suf…

Study proves rigidity results for analytic spacetimes without boundary or timelike boundary.

Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.

Analyticity of heat equation extended to Bakry-Émery Ricci curvature manifolds.

In this paper, we prove that if $g(t)$ is a smooth, complete solution to the Ricci flow of uniformly bounded curvature on $M\times[0, Ω]$, then the correspondence $t\mapsto g(t)$ is real-analytic at each $t_0\in (0, Ω)$. The analyticity is a consequence of classical Bernstein-type estimates on the temporal and spatial …

Paper develops semi-analytic method for American options in time-dependent jump-diffusion models.

TRACER improves interpretability in high stakes analytics.

The paper classifies actions of a specific group on certain manifolds.

For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models are stated as special cases. We also the limits of these moments as the time hori…

Improved neural network predicts spectral functions more accurately than traditional methods.

We work on a parallelizable time-orientable Lorentzian 4-manifold and prove that in this case the notion of spin structure can be equivalently defined in a purely analytic fashion. Our analytic definition relies on the use of the concept of a non-degenerate two-by-two formally self-adjoint first order linear differenti…

Detecting patterns in real time streaming data has been an interesting and challenging data analytics problem. With the proliferation of a variety of sensor devices, real-time analytics of data from the Internet of Things (IoT) to learn regular and irregular patterns has become an important machine learning problem to …

We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries, present in the literature. We extend these studies to the case of time-dependent parameters. We compare numerically the s…

This paper proposes a web-based visual graph analytics platform for interactive graph mining, visualization, and real-time exploration of networks. GraphVis is fast, intuitive, and flexible, combining interactive visualizations with analytic techniques to reveal important patterns and insights for sense making, reasoni…

Let $N$ be a smooth $(n+l)$-dimensional Riemannian manifold. We show that if $V$ is an area-stationary union of three or more $C^{1,μ}$ $n$-dimensional submanifolds-with-boundary $M_k \subset N$ with a common boundary $Γ$, then $Γ$ is smooth and each $M_k$ is smooth up to $Γ$ (real-analytic in the case $N$ is real-anal…

We construct a Kruskal-Szekeres-type analytic extension of the Emparan-Reall black ring, and investigate its geometry. We prove that the extension is maximal, globally hyperbolic, and unique within a natural class of extensions. The key to those results is the proof that causal geodesics are either complete, or approac…

On a complete non-compact gradient shrinking Ricci soliton, we prove the analyticity in time for smooth solutions of the heat equation with quadratic exponential growth in the space variable. This growth condition is sharp. As an application, we give a necessary and sufficient condition on the solvability of the backwa…

Develops an analytic theory for quantum imaginary time evolution.

Let $\varphi(t), t\in [0,T]$ be a smooth solution to the Laplacian flow for closed G_2 structures on a compact 7-manifold $M$. We show that for each fixed positive time $t\in (0,T]$, $(M,\varphi(t),g(t))$ is real analytic, where $g(t)$ is the metric induced by $\varphi(t)$. Consequently, any Laplacian soliton is real a…

Proves heat expansion for Laplacian on a singularity.

A new approach of solving the ill-conditioned inverse problem for analytical continuation is proposed. The root of the problem lies in the fact that even tiny noise of imaginary-time input data has a serious impact on the inferred real-frequency spectra. By means of a modern regularization technique, we eliminate redun…

Study evaluates interpretability of time series foundation models' latent spaces.

Proves Kähler-Ricci shrinkers are complex analytic varieties.

We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price dynamics and profitability either within deterministic models or by simulation. Our nov…

Study proves convergence of quantized geodesics to Mabuchi geodesics.

Smoothness of graphs evolving by fractional mean curvature is proven.

A step by step procedure to derive analytically the exact dynamical evolution equations of the probability density functions (PDF) of well known kinetic wealth exchange economic models is shown. This technique gives a dynamical insight into the evolution of the PDF, e.g., allowing the calculation of its relaxation time…

Big data trend has enforced the data-centric systems to have continuous fast data streams. In recent years, real-time analytics on stream data has formed into a new research field, which aims to answer queries about what-is-happening-now with a negligible delay. The real challenge with real-time stream data processing …

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to…

A new method uses vector embeddings to improve analytics model performance.

New method for pricing barrier options in time-dependent λ-SABR model.

We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and the discount rate can be positive or negative. The computation involves a distribution of the Levy process at a constant horizon and hence t…

Improved neural network approximates analytic and L^p functions efficiently.

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to…

The paper solves heat kernel asymptotics on non-degenerate CR manifolds.

Analytical solution found for a three-layer network with a specific activation function.

The autocorrelation function of volatility in financial time series is fitted well by a superposition of several exponents. Such a case admits an explicit analytical solution of the problem of constructing the best linear forecast of a stationary stochastic process. We describe and apply the proposed analytical method …

In this paper, we introduce a new geometric description of the manifolds of matrices of fixed rank. The starting point is a geometric description of the Grassmann manifold $\mathbb{G}_r(\mathbb{R}^k)$ of linear subspaces of dimension $r<k$ in $\mathbb{R}^k$ which avoids the use of equivalence classes. The set $\mathbb{…

Analyzed a generalized voter model with power-law herding intensity, revealing anomalous diffusion and long-range memory.

This paper presents a methodology to introduce time-dependent parameters for a wide family of models preserving their analytic tractability. This family includes hybrid models with stochastic volatility, stochastic interest-rates, jumps and their non-hybrid counterparts. The methodology is applied to Heston's model. A …

A mapping bends Teichmüller spaces into character varieties, preserving symplectic structure.

We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analy…

We propose a class of nonparametric two-sample tests with a cost linear in the sample size. Two tests are given, both based on an ensemble of distances between analytic functions representing each of the distributions. The first test uses smoothed empirical characteristic functions to represent the distributions, the s…

We show the existence of a Hawking vector field in a full neighborhood of a local, regular, bifurcate, non-expanding horizon embedded in a smooth Einstein-Maxwell space-time without assuming the underlying space-time is analytic. It extends one result of Friedrich, Rácz and Wald, which was limited to the interior of th…

Paper proposes an analytical pricing model for puttable bonds with credit risk.