Related papers: On A Class Of Rank-Based Continuous Semimartingale…
We study the existence and uniqueness of rank-based interacting systems of stochastic differential equations. These systems can be seen as modifications with state-dependent coefficients of the Atlas model in mathematical finance. The…
We construct diffusions with values in the nonnegative orthant, normal reflection along each of the axes, and two pairs of local drift/variance characteristics assigned according to rank; one of the variances is allowed to vanish, but not…
We present a margin-free finite mixture model which allows us to simultaneously classify objects into known classes and to identify possible new object types using a set of continuous attributes. This application is motivated by the needs…
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…
For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…
In this note we consider a family of nonlinear (conditional) expectations that can be understood as a multidimensional diffusion with uncertain drift and certain volatility. Here, the drift is prescribed by a set-valued function that…
Tree structures are ubiquitous in data across many domains, and many datasets are naturally modelled by unobserved tree structures. In this paper, first we review the theory of random fragmentation processes [Bertoin, 2006], and a number of…
We study here the random diffusion model. This is a continuum model for a conserved scalar density field $\phi$ driven by diffusive dynamics. The interesting feature of the dynamics is that the {\it bare} diffusion coefficient $D$ is…
An Atlas model is a rank-based system of continuous semimartingales for which the steady-state values of the processes follow a power law, or Pareto distribution. For a power law, the log-log plot of these steady-state values versus rank is…
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet…
We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniqueness. The corresponding solutions are expected to be…
The finite symmetric group S_n provides a natural domain for permutations, yet learning probability distributions on S_n is challenging due to its factorially growing size and discrete, non-Euclidean structure. Recent permutation diffusion…
Without probability theory, we define classes of supermartingales, martingales, and semimartingales in idealized financial markets with continuous price paths. This allows us to establish probability-free versions of a number of standard…
In the present work we study self-interacting diffusions following an infinite dimensional approach. First we prove existence and uniqueness of a solution with Markov property. Then we study the corresponding transition semigroup and, more…
We consider systems of diffusion processes ("particles") interacting through their ranks (also referred to as "rank-based models" in the mathematical finance literature). We show that, as the number of particles becomes large, the process…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
We believe three ingredients are needed for further progress in persistence and its use: invariants not relying on decomposition theorems to go beyond 1-dimension, outcomes suitable for statistical analysis and a setup adopted for…
In an effort to further advance semi-supervised generative and classification tasks, we propose a simple yet effective training strategy called dual pseudo training (DPT), built upon strong semi-supervised learners and diffusion models. DPT…
Let $E$ be the class of finite (resp. probability) measures absolutely continuous with respect to a $\sigma$-finite Radon measure on a Polish space. We present a criterion on the quasi-regularity of Dirichlet forms on $E$ in terms of upper…
In this paper we study scattering of two-dimensional massless Dirac fermions by a potential that depends on a single Cartesian variable. Depending on the energy of the incoming particle and its angle of incidence, there are three different…