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math.PR updates on arXiv.org

Visibility in the Boolean Model on Harmonic Manifolds Global estimates on the Brenier map Geodesics and Wandering Exponents in Brochette First-Passage Percolation State-dependent inverse-subordinator time changes of regenerative processes: Excursion structure and multiscale occupation-time limits Randomly twisted transfer operators and singular values statistics Generalized Bessel-Dunkl diffusions An almost sure invariance principle for the Takagi-van der Waerden class functions Central limit theorems for high dimensional lattice polytopes: cosmological polytopes Convergence rate estimates for semigroups and heat kernels associated with resistance forms Second-order Poincaré inequalities and localization on the Poisson space Maximum Probability of Independence in Transitive Matroids On global solutions to the semidiscrete stochastic heat equation The Poisson Tail Conjecture for primes in short intervals A Complete Spectral Analysis of the CEV Operator with Applications to Arbitrage Holographic functions and neural networks From Betting to Empirical Bernstein LIL Concentration of General Stochastic Approximation Under Heavy-Tailed Markovian Noise Pointwise Generalization in Deep Neural Networks Bayesian Latent Space Models for Graphs Are Misspecified: Toward Robust Inference via Generalized Posteriors Wasserstein bounds for denoising diffusion probabilistic models via the Föllmer process A note on connections between the Föllmer process and the denoising diffusion probabilistic model Simple Approximation and Derivative Free Inference-Time Scaling for Diffusion Models via Sequential Monte Carlo on Path Measures Diffusion-Based Stochastic Operator Networks for Uncertainty Quantification in Stochastic Partial Differential Equations A Fourier perspective on the learning dynamics of neural networks: from sample complexities to mechanistic insights Propagation of Chaos in Contextual Flow Maps Dimension-Uniform Discretization Analysis of Preconditioned Annealed Langevin Dynamics for Multimodal Gaussian Mixtures $α$-TCAV: A Unified Framework for Testing with Concept Activation Vectors Scaling Laws from Sequential Feature Recovery: A Solvable Hierarchical Model On the Limits of Latent Reuse in Diffusion Models State-of-art minibatches via novel DPP kernels: discretization, wavelets, and rough objectives
Biology-inspired geometric representation of probability ...
Felix Polyakov · 2022-09-09 · via math.PR updates on arXiv.org

Geometry constitutes a core set of intuitions present in all humans, regardless of their language or schooling [1]. Could brain's built in machinery for processing geometric information take part in uncertainty representation? For decades already traders have been citing the price of uncertainty based FX optional contracts in terms of implied volatility, a dummy variable related to the standard deviation, instead of pricing with units of money. This work introduces a methodology for geometric representation of probability in terms of implied volatility and attempts to find ways to approximate certain probability distributions using intuitive geometric symmetry. In particular, it is shown how any probability distribution supported on $\mathbb{R}_{+}$ and having finite expectation may be represented with a planar curve whose geometric characteristics can be further analyzed. Log-normal distributions are represented with circles centered at the origin. Certain non-log-normal distributions with bell-shaped density profiles are represented by curves that can be closely approximated with circles whose centers are translated away from the origin. Only three points are needed to define a circle while it represents the candidate probability density approximating the distribution along the entire $\mathbb{R}_{+}$. Just three numbers: scaling and translations along the $x$ and $y$ axes map one circle to another. It is possible to introduce equivalence classes whose member distributions can be obtained by transitive actions of geometric transformations on any of corresponding representations. Approximate completion of probability with non-circular shapes and cases when probability is supported outside of $\mathbb{R}_{+}$ are considered too. Proposed completion of implied volatility is compared to the vanna-volga method.