Related papers: SLE local martingales, reversibility and duality
This paper aims to study the local derivations, 2-local automorphisms and local automorphisms on the super-Virasoro algebras. The primary focus is to establish that every local derivation of the super-Virasoro algebras is indeed a…
We present a relation between conformal field theories (CFT) and radial stochastic Schramm-Loewner evolutions (SLE) similar to that we previously developed for the chordal SLEs. We construct an important local martingale using degenerate…
Langrange duality theorems for vector and set optimization problems which are based on an consequent usage of infimum and supremum (in the sense greatest lower and least upper bounds with respect to a partial ordering) have been recently…
Solvable structures, likewise solvable algebras of local symmetries, can be used to integrate scalar ODEs by quadratures. Solvable structures, however, are particularly suitable for the integration of ODEs with a lack of local symmetries.…
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject of the attention by many researchers…
We introduce a notion of duality solution for a single or a system of transport equations in spaces of probability measures reminiscent of the viscosity solution notion for nonlinear parabolic equations. Our notion of solution by duality…
Developing the theory of two-sided radial and chordal $\mathit{SLE}$, we prove that the natural parametrization on $\mathit{SLE}_{\kappa}$ curves is well defined for all $\kappa<8$. Our proof uses a two-interior-point local martingale.
Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogorov equation gives a condition for f(t,X) to be a local…
We introduce the notion of Local Computation Mechanism Design - designing game theoretic mechanisms which run in polylogarithmic time and space. Local computation mechanisms reply to each query in polylogarithmic time and space, and the…
We implement a version of conformal field theory in a doubly connected domain to connect it to the theory of annulus SLE of various types, including the standard annulus SLE, the reversible annulus SLE, and the annulus SLE with several…
We improve the geometric properties of SLE$(\kappa;\vec{\rho})$ processes derived in an earlier paper, which are then used to obtain more results about the duality of SLE. We find that for $\kappa\in (4,8)$, the boundary of a standard…
Variable order differential equations with non-integrable singularities are considered on spatial networks. Properties of the spectrum are established, and the solution of the inverse spectral problem is obtained.
Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of $\mathbb{G}$-adapted strict local martingales into a smaller…
In this paper, we study a class of backward stochastic Volterra integral equations driven by Teugels martingales associated with an independent L\'{e}vy process and an independent Brownian motion (BSVIELs). We prove the existence and…
We derive equivalent conditions for the (local) absolute continuity of two laws of semimartingales on random sets. Our result generalizes previous results for classical semimartingales by replacing a strong uniqueness assumption by a weaker…
We show the existence of L\'evy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the…
In this paper, we employ the concept of quasi-relative interior to analyze the method of Lagrange multipliers and establish strong Lagrangian duality for nonsmooth convex optimization problems in Hilbert spaces. Then, we generalize the…
Marginal structural models were introduced in order to provide estimates of causal effects from interventions based on observational studies in epidemiological research. The key point is that this can be understood in terms of Girsanov's…
Inspired by 5d supersymmetric Yang-Mills theories placed on the compact space $\mathbb{S}^5$, we propose an intriguing algebraic construction for the $q$-Virasoro algebra. We show that, when multiple $q$-Virasoro "chiral" sectors have to be…
Structures of dual Lie bialgebras on the one sided Witt algebra, the Witt algebra and the Virasoro algebra are investigated. As a result, we obtain some infinite dimensional Lie algebras.