We study generalized Hopf–Cole transformations motivated by the Schrödinger bridge problem, which can be seen as a boundary value Hamiltonian system on the Wasserstein space. We prove that generalized Hopf–Cole transformations are symplectic submersions in the Wasserstein symplectic geometry. Many examples, including a Hopf–Cole transformation for the shallow water equations, are given. Based on this transformation, energy splitting inequalities are provided.

We study the problem of constructing sparse and fast mean revert- ing portfolios. The problem is motivated by convergence trading and formu- lated as a generalized eigenvalue problem with a cardinality constraint [6]. We use a proxy of mean reversion coefficient, the direct Ornstein-Uhlenbeck (OU) estimator, which can be applied to both stationary and nonstationary data. In addition, we introduce three different methods to enforce the sparsity of the solutions. One method uses the ratio of l1 and l2 norms and the other two use l1 norm. We analyze various formulations of the resulting non-convex opti- mization problems and develop efficient algorithms to solve them for portfolio sizes as large as hundreds. By adopting a simple convergence trading strat- egy, we test the performance of our sparse mean reverting portfolios on both synthetic and historical real market data. In particular, the l1 regularization method, in combination with quadratic program formulation as well as differ-ence of convex functions and least angle regression treatment, gives fast and robust performance on large out-of-sample data set. To appear in Journal of Scientific Computing (JOMP).

We study the well-posedness of a unified system of coupled forward-backward stochastic differential equations (FB-SDEs) with Levy jumps and double completely-S skew reflections. Owing to the reflections, the solution to an embedded Skorohod problem may be not unique, i.e., bifurcations may occur at reflection boundaries, the well-known contraction mapping approach can not be extended directly to solve our problem. Thus, we develop a weak convergence method to prove the well-posedness of an adapted 6-tuple weak solution in the sense of distribution to the unified system. The proof heavily depends on newly established Malliavin calculus for vector-valued Levy processes together with a generalized linear growth and Lipschitz condition that guarantees the well-posedness of the unified system even under a random environment. Nevertheless, if a more strict boundary condition is imposed, i.e., the spectral radii in certain sense for the reflections are strictly less than the unity, a unique adapted 6-tuple strong solution in the sense of sample pathwise is concerned. In addition, as applications and economical studies of our unified system, we also develop new techniques including deriving a generalized mutual information formula for signal processing over possible non-Gaussian channels with multi-input multi-output (MIMO) antennas and dynamics driven by Levy processes.

We define the notion of a Ricci curvature lower bound for parametrized statistical models. Following the seminal ideas of Lott–Sturm–Villani, we define this notion based on the geodesic convexity of the Kullback–Leibler divergence in a Wasserstein statistical manifold, that is, a manifold of probability distributions endowed with a Wasserstein metric tensor structure. Within these definitions, which are based on Fisher information matrix and Wasserstein Christoffel symbols, the Ricci curvature is related to both, information geometry and Wasserstein geometry. These definitions allow us to formulate bounds on the convergence rate of Wasserstein gradient flows and information functional inequalities in parameter space. We discuss examples of Ricci curvature lower bounds and convergence rates in exponential family models.

The Laplace-Beltrami operator (LBO) is a fundamental object associated to Riemannian manifolds, which encodes all intrinsic geometry of the manifolds and has many desirable prop- erties. Recently, we proposed a novel numerical method, Point Integral method (PIM), to discretize the Laplace-Beltrami operator on point clouds [28]. In this paper, we analyze the convergence of Point Integral method (PIM) for Poisson equation with Neumann boundary condition on submanifolds isometrically embedded in Euclidean spaces.