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We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
In this paper, we endow the space of continuous translation invariant valuation on convex sets generated by mixed volumes coupled with a suitable Radon measure on tuples of convex bodies with two appropriate norms. This enables us to…
Treating the fermionic ground state problem as a constrained stochastic optimization problem, a formalism for fermionic quantum Monte Carlo is developed that makes no reference to a trial wavefunction. Exchange symmetry is enforced by…
An open problem in convex geometry asks whether two simplices $A,B\subseteq\mathbb{R}^d$, both containing the origin in their convex hulls, admit a polynomial-length sequence of vertex exchanges transforming $A$ into $B$ while maintaining…
We study combinatorial inequalities for various classes of set systems: matroids, polymatroids, poset antimatroids, and interval greedoids. We prove log-concavity inequalities for counting certain weighted feasible words, which generalize…
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…
We define a number of related combinatorial objects, each of which possesses a surprising symmetry. We include several applications such as a combinatorial explanation for certain fixed points of the involution $\omega$ on the ring of…
In this note, a non-commutative analogue of the fundamental theorem of asset pricing in mathematical finance is proved.
We consider a multiproduct monopoly pricing model. We provide sufficient conditions under which the optimal mechanism can be implemented via upgrade pricing -- a menu of product bundles that are nested in the strong set order. Our approach…
We introduce a noncommutative binary operation on matroids, called free product. We show that this operation respects matroid duality, and has the property that, given only the cardinalities, an ordered pair of matroids may be recovered, up…
Inspired by a recent result of Brakensiek et al. that symmetric tensor matroids and rigidity matroids are linked by matroid duality, we define abstract symmetric tensor matroids as a dual concept to abstract rigidity matroids and establish…
We present an algebraic framework which simultaneously generalizes the notion of linear subspaces, matroids, valuated matroids, oriented matroids, and regular matroids. To do this, we first introduce algebraic objects called tracts which…
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
We examine the duality theory for a class of non-convex functions obtained by composing a convex function with a continuous one. Using Fenchel duality, we derive a dual problem that satisfies weak duality under general assumptions. To…
We examine non-gravitational minimal supermultiplets which are based on the tensor gauge fields appearing as matter fields in exceptional generalised geometry. When possible, off-shell multiplets are given. The fields in the multiplets…
Non-equilibrium steady states are subject to intense investigations but still poorly understood. For instance, the derivation of Fourier law in Hamiltonian systems is a problem that still poses several obstacles. In order to investigate…
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…
In 4-dimensional supergravity theories, covariant under symplectic electric-magnetic duality rotations, a significant role is played by the symplectic matrix M({\phi}), related to the coupling of scalars {\phi} to vector field-strengths. In…
We study a class of strongly irreducible, multidimensional, topological Markov shifts, comparing two notions of "symmetric measure": exchangeability and the Gibbs (or conformal) property. We show that equilibrium measures for such shifts…