arXiv research

Fractional Sobolev metrics on immersions are well-posed.

New diffiety theory leads to a well-posed KP hierarchy.

The reduced thin-sandwich equations (RTSE) appear within Wheeler's thin-sandwich approach towards the Einstein constraint equations (ECE) of general relativity. It is known that these equations cannot be well-posed in general, but, on closed manifolds, sufficient conditions for well-posedness have been established. In …

Maximum likelihood estimation fails to be well-posed in Gaussian process regression.

New method for estimating parameters in inverse problems using double robustness.

In this paper we discuss the refined analytic torsion on an odd dimensional compact oriented Riemannian manifold with boundary under some assumption. For this purpose we introduce two boundary conditions which are complementary to each other and well-posed for the odd signature operator $\mathcal{B}$ in the sense of Se…

In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-boundary problem for a first-order differential equation, and find that the form of the solution (whether the problem is well-posed, whether…

Constructions of metrics with special holonomy by methods of exterior differential systems are reviewed and the interpretations of these construction as `flows' on hypersurface geometries are considered. It is shown that these hypersurface 'flows' are not generally well-posed for smooth initial data and counterexamples…

This paper revisits the problem of recovering a smooth, isotropic, layered wave speed profile from surface traveltime information. While it is classic knowledge that the diving (refracted) rays classically determine the wave speed in a weakly well-posed fashion via the Abel transform, we show in this paper that travelt…

In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical progress towards a solution in such problems, but we specialise to a case where transaction costs are zero except for sales and purchases of …

Generative flows learn distributions on low-dimensional manifolds robustly via Wasserstein proximals.

In this paper we outline a general method for finding well-posed boundary value problems for linear equations of mixed elliptic and hyperbolic type, which extends previous techniques of Berezanskii, Didenko, and Friedrichs. This method is then used to study a particular class of fully nonlinear mixed type equations whi…

Many physical systems are described by partial differential equations (PDEs). Determinism then requires the Cauchy problem to be well-posed. Even when the Cauchy problem is well-posed for generic Cauchy data, there may exist characteristic Cauchy data. Characteristics of PDEs play an important role both in Mathematics …

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma approximation is employed to overcome it. Thus, the optimization problem is reduced to a we…

If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new method is suggested: relaxed maximization of the relative entropy. This estimator …

Introduces new performance measures using scaled utility functions.

In this note, we prove that the abstract gradient flow introduced by Baird-Fardoun-Regbaoui \cite{BFR}is well-posed on a closed Riemann surface with conical singularity. Long time existence and convergence of the flow are proved under certain assumptions. As an application, the prescribed Gaussian curvature problem is …

A simple graphical model for correlated defaults is proposed, with explicit formulas for the loss distribution. Algebraic geometry techniques are employed to show that this model is well posed for default dependence: it represents any given marginal distribution for single firms and pairwise correlation matrix. These t…

The Einstein-scalar field theory can be used to model gravitational physics with scalar field matter sources. We discuss the initial value formulation of this field theory, and show that the ideas of Leray can be used to show that the Einstein-scalar field system of partial differential equations is well-posed as an ev…

Proposes a variational approach to shallow neural networks, bypassing optimization.

Paper introduces magnetic Steklov operator on differential forms and its properties.

We study properties of Sobolev-type metrics on the space of immersed plane curves. We show that the geodesic equation for Sobolev-type metrics with constant coefficients of order 2 and higher is globally well-posed for smooth initial data as well as initial data in certain Sobolev spaces. Thus the space of closed plane…

On the manifold $\Met(M)$ of all Riemannian metrics on a compact manifold $M$ one can consider the natural $L^2$-metric as described first by \cite{Ebin70}. In this paper we consider variants of this metric which in general are of higher order. We derive the geodesic equations, we show that they are well-posed under so…

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjec…

In this paper we sketch some reflections on the pitfalls and inconsistencies of the research program - currently dominant among the profession - aimed at providing microfoundations to macroeconomics along a Walrasian perspective. We argue that such a methodological approach constitutes an unsatisfactory answer to a wel…

We formulate the variational problem for AdS gravity with Dirichlet boundary conditions and demonstrate that the covariant counterterms are necessary to make the variational problem well-posed. The holographic charges associated with asymptotic symmetries are then rederived via Noether's theorem and `covariant phase sp…

Study well-poses Dirac operator problem with APS boundary conditions.

In this paper the robust utility maximization problem for a market model based on Lévy processes is analyzed. The interplay between the form of the utility function and the penalization function required to have a well posed problem is studied, and for a large class of utility functions it is proved that the dual probl…

Study on $Q$-function estimation for continuous state-action MDPs, deriving rates and conditions.

Investor optimizes stock investments with noisy future price signals.

Using a simple and well-motivated modification of the stress-energy tensor for a viscous fluid proposed by Lichnerowicz, we prove that Einstein's equations coupled to a relativistic version of the Navier-Stokes equations are well-posed in a suitable Gevrey class if the fluid is incompressible and irrotational. These la…

Support vector machines have attracted much attention in theoretical and in applied statistics. Main topics of recent interest are consistency, learning rates and robustness. In this article, it is shown that support vector machines are qualitatively robust. Since support vector machines can be represented by a functio…

Study on biharmonic Steklov problems with Neumann boundary conditions and eigenvalue estimates.

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show that the problem is well posed, in the sense that the value is indeed the unique …

Study shows how Laplacian semi-supervised learning behaves at low labeling rates.

Proves well-posedness for Einstein equations with specific boundary conditions.

We study the problem of recovery both the attenuation $a$ and the source $f$ in the attenuated X-ray transform in the plane. We study the linearization as well. It turns out that there are natural Hamiltonian flow that determines which singularities we can recover. If the perturbations $δa$, $δf$ are supported in a com…

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…

New boundary conditions solve Cauchy problem for Dirac operators on spacetimes.

We study the geodesic X-ray transform $X$ on compact Riemannian surfaces with conjugate points. Regardless of the type of the conjugate points, we show that we cannot recover the singularities and therefore, this transform is always unstable (ill-posed). We describe the microlocal kernel of $X$ and relate it to the con…

We consider the problem of optimal investment in a market with two cointegrated stocks and an agent with CRRA utility. We extend the findings of Liu and Timmermann [The Review of Financial Studies, 26(4):1048-1086, 2013] by paying special attention to when/if the associated stochastic control problem is well-posed and …

Proves well-posedness for Einstein equations with specific boundary data.

Study on completeness of Sobolev metrics on manifold-valued curves.

Develops algorithms for Bayesian inference with Plug & Play priors, ensuring convergence and well-posedness.

The refined analytic torsion on compact Riemannian manifolds with boundary has been discussed by B. Vertman and the authors, but these two constructions are completely different. Vertman used a double of de Rham complex consisting of the minimal and maximal closed extensions of a flat connection and the authors used we…

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal str…

We present a geometric analysis of the incompressible averaged Euler equations for an ideal inviscid fluid. We show that solutions of these equations are geodesics on the volume-preserving diffeomorphism group of a new weak right invariant pseudo metric. We prove that for precompact open subsets of ${\mathbb R}^n$, thi…

The paper solves the Cauchy problem for Friedrichs systems on specific spacetime manifolds.