arXiv research

Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and mathematical finance, concerning degenerate diffusion processes. We show that th…

Study Fourier estimator for spot volatility with unbounded coefficients and jumps.

Motivated by applications to probability and mathematical finance, we consider a parabolic partial differential equation on a half-space whose coefficients are suitably Holder continuous and allowed to grow linearly in the spatial variable and which become degenerate along the boundary of the half-space. We establish e…

Study spectral invariants over integers, discovering unboundedness and field-dependence.

Study optimal consumption and investment strategies with constraints in a market with random coefficients.

The paper solves a complex control problem with stochastic elements and switching conditions.

We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary conditions for optimality in the form of a mixed relaxed-singular maximum principle in a…

Paper solves a control problem with robust methods.

We investigate existence and uniqueness of bounded solutions of parabolic equations with unbounded coefficients in $M\times \mathbb R_+$, where $M$ is a complete noncompact Riemannian manifold. Under specific assumptions, we establish existence of solutions satisfying prescribed conditions at infinity, depending on the…

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…

This work addresses unstable MeanFlow training by optimizing a coefficient in the loss function.

MeanFlow training is unstable due to misusing conditional velocity, leading to variance issues.

Develops a contraction framework for MCMC mixing rates.

The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this p…

Paper solves complex game theory problems with new equations.

Two new algorithms improve performance in adversarial bandits with unbounded losses.

We give convergence guarantees for estimating the coefficients of a symmetric mixture of two linear regressions by expectation maximization (EM). In particular, we show that the empirical EM iterates converge to the target parameter vector at the parametric rate, provided the algorithm is initialized in an unbounded co…

Unbounded convex domains have zero mean curvature on disconnected boundaries.

The paper proves homotopy equivalences for spaces of unbounded Fredholm operators.

Golden L surface has unbounded bunching of saddle connections

In this paper, we investigate the problem of blow up and sharp upper bound estimates of the lifespan for the solutions to the semilinear wave equations, posed on asymptotically Euclidean manifolds. Here the metric is assumed to be exponential perturbation of the spherical symmetric, long range asymptotically Euclidean …

We construct an unbounded representative for the shriek class associated to the embeddings of spheres into Euclidean space. We equip this unbounded Kasparov cycle with a connection and compute the unbounded Kasparov product with the Dirac operator on $\mathbb R^{n+1}$. We find that the resulting spectral triple for the…

This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded framework, we extend our analysis to the more challenging unbounded case. Our methodolo…

It is shown that the compactly supported identity component of the diffeomorphism group of the 2-dimensional punctured torus $\mathbb T^2_p$ is an unbounded group. It follows that the fragmentation norm of $\mathbb T^2_p$ is unbounded.

New inequalities for unbounded functions improve denoising score matching.

Study focal surfaces of wave fronts with unbounded curvatures.

Study optimal liquidation strategies with infinite horizon and regime switching.

Study shows unbounded Pontryagin numbers on curved manifolds.

Paper tackles online control of linear systems with unbounded noise.

We show that domains, that allow for convex functions with unbounded gradient at their boundary, are convex.

We revisit the problem of linear regression under a differential privacy constraint. By consolidating existing pieces in the literature, we clarify the correct dependence of the feature, label and coefficient domains in the optimization error and estimation error, hence revealing the delicate price of differential priv…

New approach finds solutions to games with unbounded controls.

The paper provides gradient estimates for Neumann semigroups on manifolds with boundary under unbounded curvature conditions.

New aggregation strategy handles unbounded losses with regret bounds.

Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a stochastic and non-linear extension of the classical Stefan-problem in one space dimension, where the paths of the moving in…

Improved sampling from Gaussian distributions with privacy constraints.

The Riemann sphere of a C*-algebra is a geometric structure derived from a specific projector.

New PAC-Bayes bounds for unbounded loss functions.

Geometric model of unbounded sl3 laminations with tropical coordinates.

We derive expressions for the predicitive information rate (PIR) for the class of autoregressive Gaussian processes AR(N), both in terms of the prediction coefficients and in terms of the power spectral density. The latter result suggests a duality between the PIR and the multi-information rate for processes with mutua…

In this paper, we provided conditions for an entire constant mean curvature Killing graph lying inside a possible unbounded region to be necessarily a slice.

We show that any noncompact Riemann surface admits a complete Ricci flow g(t), t\in[0,\infty), which has unbounded curvature for all t\in[0,\infty).

We consider a continuous curve of linear elliptic formally self-adjoint differential operators of first order with smooth coefficients over a compact Riemannian manifold with boundary together with a continuous curve of global elliptic boundary value problems. We express the spectral flow of the resulting continuous fa…

We construct a complete, embedded minimal surface in euclidean 3-space which has unbounded Gaussian curvature. It has infinite genus, infinitely many catenoidal type ends and one limit end.

In this paper, we derive Li-Yau inequality for unbounded Laplacian on complete weighted graphs with the assumption of the curvature-dimension inequality $CDE'(n,K)$, which can be regarded as a notion of curvature on graphs. Furthermore, we obtain some applications of Li-Yau inequality, including Harnack inequality, hea…

Study unbounded $\mathfrak{sl}_3$-laminations around punctures.

Metric WPD for pseudo-Anosov maps shows many unbounded quasi-morphisms.

Paper solves nonparametric contextual bandit with unbounded contexts.