arXiv research

In this paper, we use replica analysis to determine the investment strategy that can maximize the net present value for portfolios containing multiple development projects. Replica analysis was developed in statistical mechanical informatics and econophysics to evaluate disordered systems, and here we use it to formula…

The basic financial purpose of a firm is to maximize its value. An inventory management system should also contribute to realization of this basic aim. Many current asset management models currently found in financial management literature were constructed with the assumption of book profit maximization as basic aim. H…

Proves a conjecture for Calabi-Yau manifolds.

Proposes a value-based method for continuous control without an actor.

FavMac maximizes value while controlling cost in multi-label prediction.

We review recent results about the maximal values of the Kullback-Leibler information divergence from statistical models defined by neural networks, including naive Bayes models, restricted Boltzmann machines, deep belief networks, and various classes of exponential families. We illustrate approaches to compute the max…

Maximal extractable value in CFMMs can degrade or improve routing quality, with reordering MEV showing logarithmic impact.

A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numèraire is not assumed. It is shown that robust no arbitrage holds if, and only if, there exists a Pareto solution for some vector-valued utility…

The basic financial purpose of an enterprise is maximization of its value. Trade credit management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. …

In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obta…

Maximal regularity for nonuniformly parabolic problems with normal degeneration.

This work introduces uncertainty principles to mitigate Maximal Extractable Value in blockchain systems.

In 1966, Jenkins and Serrin gave existence and uniqueness results for infinite boundary value problems of minimal surfaces in the Euclidean space, and after that such solutions have been studied by using the univalent harmonic mapping theory. In this paper, we show that there exists a one-to-one correspondence between …

We consider the Dirichlet boundary value problem for graphical maximal submanifolds inside Lorentzian type ambient spaces, and obtain general existence and uniqueness results which apply to any codimension.

The paper introduces SuccessProbaMax to optimize policy success probability in online advertising.

This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem formulation. Then the associated utility maximization is formulated as an optimal swi…

Optimizes information acquisition to reduce estimation risk and maximize utility.

Model for dynamic pricing across multiple RE groups to maximize revenue.

Study solves utility maximization in a transient price impact market.

This paper aims at theoretically and empirically comparing two standard optimization criteria for Reinforcement Learning: i) maximization of the mean value and ii) minimization of the Bellman residual. For that purpose, we place ourselves in the framework of policy search algorithms, that are usually designed to maximi…

We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices return. We use Markov Decision Process and dynamic programming principle to get…

Maximally hyperbolic solutions contain future neighborhoods of intersecting hypersurfaces.

Study robust utility maximization with uncertain continuous semimartingales.

Study stretch laminations in hyperbolic 3-manifolds via circle-valued maps.

We consider the value function originating from an expected utility maximization problem with finite fuel constraint and show its close relation to a nonlinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity. On one hand, we give a so-called verification argument based on the dynamic progr…

We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show that if the decision maker (DM) maximizes the expectation of a random return unde…

The main goal of this paper is to reveal the geometric meaning of the maximal number of exceptional values of Gauss maps for several classes of immersed surfaces in space forms, for example, complete minimal surfaces in the Euclidean three-space, weakly complete improper affine spheres in the affine three-space and wea…

The paper uses transfinite induction to prove existence in analysis.

Solves initial boundary value problem for vacuum Einstein equations and proves geometric uniqueness.

The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…

We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, Itô-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk} (VaR), {\em tail-value-at-risk} (TVaR), and {\em limited expected loss} (LEL), these cons…

Study of elliptic boundary value problems on non-compact manifolds.

We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value fu…

We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by closed, but not necessarily convex, sets. The final wealths obtained by trading under…

Let $\mathbb F$ be a real closed field. We define the notion of a maximal framing for a representation of the fundamental group of a surface with values in ${\rm Sp}(2n,\mathbb F)$. We show that ultralimits of maximal representations in ${\rm Sp}(2n,\mathbb R)$ admit such a framing, and that all maximal framed represen…

We perform a systematic study of the image of the Gauss map for complete minimal surfaces in Euclidean four-space. In particular, we give a geometric interpretation of the maximal number of exceptional values of the Gauss map of a complete orientable minimal surface in Euclidean four-space. We also provide optimal resu…

In this paper, we firstly give a brief introduction of expectation maximization (EM) algorithm, and then discuss the initial value sensitivity of expectation maximization algorithm. Subsequently, we give a short proof of EM's convergence. Then, we implement experiments with the expectation maximization algorithm (We im…

In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative Lévy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its surplus reaches a certain level $b$ and at the termination time of the business there…

We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose values do not necessarily contain the origin; that is, it may be inadmissible fo…

The paper finds optimal $N$ for maximizing Sudler products using Ostrowski expansions.

We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition fulfilled by the corresponding value function and show its first regularity property…

The paper proves stability of eigenvalue inequalities on surfaces.

New approach solves utility maximization problems using Delta family.

In this paper, we consider the problem of black box continuous submodular maximization where we only have access to the function values and no information about the derivatives is provided. For a monotone and continuous DR-submodular function, and subject to a bounded convex body constraint, we propose Black-box Contin…

Several fundamental problems that arise in optimization and computer science can be cast as follows: Given vectors $v_1,\ldots,v_m \in \mathbb{R}^d$ and a constraint family ${\cal B}\subseteq 2^{[m]}$, find a set $S \in \cal{B}$ that maximizes the squared volume of the simplex spanned by the vectors in $S$. A motivatin…

New algorithm maximizes non-monotone adaptive submodular functions in linear time.

In this article, we consider the maximal value of the Thurston--Bennequin invariant of Legendrian knots which topologically represent a fixed knot type in the standard contact 3-space and we prove a formula of the value under the connected sum operation of knots.

In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market consists of one asset whose price process is modeled by a Geometric Brownian motion whe…