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For three applications of central interest in finance, we demonstrate the relevance of numerical algorithms based on reproducing kernel Hilbert space (RKHS) techniques. Three use cases are investigated. First, we show that extrapolating from few pricer examples leads to sufficiently accurate and computationally efficient results so that our algorithm can serve as a pricing framework. The second use case concerns reverse stress testing, which is formulated as an inversion function problem and is treated here via an optimal transport technique in combination with the notions of kernel-based encoders, decoders, and generators. Third, we show that standard techniques for time series analysis can be enhanced by using the proposed generative algorithms. Namely, we use our algorithm in order to extend the validity of any given quantitative model. Our approach allows for conditional analysis as well as for escaping the `Gaussian world'. This latter property is illustrated here with a portfolio investment strategy., Comment: 9 pages

To construct asymptotically-Euclidean Einstein's initial data sets, we introduce the localized seed-to-solution method, which projects from approximate to exact solutions of the Einstein constraints. The method enables us to glue together initial data sets in multiple asymptotically-conical regions, and in particular construct data sets that exhibit the gravity shielding phenomenon, specifically that are localized in a cone and exactly Euclidean outside of it. We achieve optimal shielding in the sense that the metric and extrinsic curvature { are controlled at a super-harmonic rate, regardless of how slowly they decay (even} beyond the standard ADM formalism), and the gluing domain can be a collection of arbitrarily narrow nested cones. We also uncover several notions of independent interest: silhouette functions, localized ADM modulator, and relative energy-momentum vector. An axisymmetric example is provided numerically., Comment: 10 pages

This monograph offers an introduction to a collection of numerical algorithms implemented in the library CodPy (an acronym that stands for the Curse Of Dimensionality in PYthon), which has found widespread applications across various areas, including machine learning, statistics, and computational physics. We develop here a strategy based on the theory of reproducing kernel Hilbert spaces (RKHS) and the theory of optimal transport. Initially designed for mathematical finance, this library has since been enhanced and broadened to be applicable to problems arising in engineering and industry. In order to present the general principles and techniques employed in CodPy and its applications, we have structured this monograph into two main parts. First of all, we focus on the fundamental principles of kernel-based representations of data and solutions, also that the presentation therein is supplemented with illustrative examples only. Next, we discuss the application of these principles to many classes of concrete problems, spanning from the numerical approximation of partial differential equations to (supervised, unsupervised) machine learning, extending to generative methods with a focus on stochastic aspects., Comment: 135 pages

This paper is a part of a series devoted to the Euclidean-hyperboloidal foliation method introduced by the authors for investigating the global existence problem associated with nonlinear systems of coupled wave-Klein-Gordon equations with small data. This method was developed especially for investigating the initial value problem for the Einstein-massive field system in wave gauge. Here, we study the (fourth-order) field equations of f(R) modified gravity and investigate the global dynamical behavior of the gravitational field in the near-Minkowski regime. We establish the existence of a globally hyperbolic Cauchy development approaching Minkowski spacetime (in spacelike, null, and timelike directions), when the initial data set is sufficiently close to an asymptotically Euclidean and spacelike hypersurface in Minkowski spacetime. We cast the (fourth-order) f(R)-field equations in the form of a second-order wave-Klein-Gordon system, which has an analogous structure to the Einstein-massive field system but, in addition, involves a (possibly small) effective mass parameter. We establish the nonlinear stability of the Minkowski spacetime in the context of f(R) gravity, when the integrand f(R) in the action functional can be taken to be arbitrarily close to the integrand R of the standard Hilbert-Einstein action., Comment: 46 pages

We consider asymptotically Euclidean, initial data sets for Einstein's field equations and solve the localization problem at infinity, also called gluing problem. We achieve optimal gluing and optimal decay, in the sense that we encompass solutions with possibly arbitrarily low decay at infinity and establish (super-)harmonic estimates within possibly arbitrarily narrow conical domains. In the localized seed-to-solution method (as we call it), we define a variational projection operator which associates the solution to the Einstein constraints that is closest to any given localized seed data set (as we call it). Our main contribution concerns the derivation of harmonic estimates for the linearized Einstein operator and its formal adjoint which, in particular, includes new analysis on the linearized scalar curvature operator. The statement of harmonic estimates requires the notion of energy-momentum modulators (as we call them), which arise as correctors to the localized seed data sets. For the Hamiltonian and momentum operators, we introduce a notion of harmonic-spherical decomposition and we uncover stability conditions on the localization function, which are localized Poincare and Hardy-type inequalities and, for instance, hold for arbitrarily narrow gluing domains. Our localized seed-to-solution method builds upon the gluing techniques pioneered by Carlotto, Chrusciel, Corvino, Delay, Isenberg, Maxwell, and Schoen, while providing a proof of a conjecture by Carlotto and Schoen on the localization problem and generalize P. LeFloch and Nguyen's theorem on the asymptotic localization problem., Comment: 91 pages

We introduce a numerical methodology, referred to as the transport-based mesh-free method, which allows us to deal with continuous, discrete, or statistical models in the same unified framework, and leads us to a broad class of numerical algorithms recently implemented in a Python library (namely, CodPy). Specifically, we propose a mesh-free discretization technique based on the theory of reproducing kernels and the theory of transport mappings, in a way that is reminiscent of Lagrangian methods in computational fluid dynamics. We introduce kernel-based discretizations of a variety of differential and discrete operators (gradient, divergence, Laplacian, Leray projection, extrapolation, interpolation, polar factorization). The proposed algorithms are nonlinear in nature and enjoy quantitative error estimates based on the notion of discrepancy error, which allows one to evaluate the relevance and accuracy of, both, the given data and the numerical solutions. Our strategy is relevant when a large number of degrees of freedom are present as is the case in mathematical finance and machine learning. We consider the Fokker-Planck-Kolmogorov system (relevant for problems arising in finance and material dynamics) and a class of neural networks based on support vector machines., Comment: 38 pages

We are interested in the global dynamics of a massive scalar field evolving under its own gravitational field and, in this paper, we study spherically symmetric solutions to Einstein's field equations coupled with a Klein-Gordon equation with quadratic potential. For the initial value problem we establish a global existence theory when initial data are prescribed on a future light cone with vertex at the center of symmetry. A suitably generalized solution in Bondi coordinates is sought which has low regularity and possibly large but finite Bondi mass. A similar result was established first by Christodoulou for massless fields. In order to deal with massive fields, we must overcome several challenges and significantly modify Christodoulou's original method. First of all, we formulate the Einstein-Klein-Gordon system in spherical symmetry as a non-local and nonlinear hyperbolic equation and, by carefully investigating the global dynamical behavior of the massive field, we establish various estimates concerning the Einstein operator, the Hawking mass, and the Bondi mass, including positivity and monotonicity properties. Importantly, in addition to a regularization at the center of symmetry we find it necessary to also introduce a regularization at null infinity. We also establish new energy and decay estimates for, both, regularized and generalized solutions., Comment: 43 pages

We consider the global evolution problem for a model which couples together a nonlinear wave equation and a nonlinear Klein-Gordon equation, and was independently introduced by LeFloch and Y. Ma and by Q. Wang. By revisiting the Hyperboloidal Foliation Method, we establish that a weighted energy of the solutions remains (almost) bounded for all times. The new ingredient in the proof is a hierarchy of fractional Morawetz energy estimates (for the wave component of the system) which is defined from two conformal transformations. The optimal case for these energy estimates corresponds to using the scaling vector field as a multiplier for the wave component., Comment: 19 pages

Significant advances were made in recent years on the global evolution problem for self-gravitating massive matter in the small-perturbative regime close to Minkowski spacetime. To study the coupling between a Klein-Gordon equation and Einstein's field equations, we introduced the ``Euclidean-hyperboloidal foliation method'', which is based on the construction of a spacetime foliation adapted to the derivation of sharp decay estimates for wave and Klein-Gordon equations in a curved spacetime. We give here an outline of this method, together with a full proof for a wave-Klein-Gordon model which retains some main challenges arising with the Einstein-matter system., Comment: 36 pages. arXiv admin note: text overlap with arXiv:1712.10045

We study the initial value problem for the Einstein-Klein-Gordon system and establish the global nonlinear stability of massive matter in the near-Minkowski regime when the initial geometry is a perturbation of an asymptotically flat, spacelike hypersurface in Minkowski spacetime and the metric enjoys the harmonic decay 1/r (in term of a suitable distance function r at spatial infinity). Our analysis encompasses matter fields that have small energy norm and solely enjoys a slow decay at spacelike infinity. Our proof is based on the Euclidean-hyperboloidal foliation method recently introduced by the authors, and distinguishes between the decay along asymptotically hyperbolic slices and the decay along asymptotically Euclidean slices. We carefully analyze the decay of metric component at the harmonic level 1/r, especially the metric component in the direction of the light cone. In presence of such a slow-decaying matter field, we establish a global existence theory for the Einstein equations expressed as a coupled system of nonlinear wave and Klein-Gordon equations., Comment: 32 pages. arXiv admin note: text overlap with arXiv:1712.10045

This note emphasizes the role of multi-scale wave structures and junction conditions in many fields of physics, from the dynamics of fluids with non-convex equations of state to the study of gravitational singularities and bouncing cosmologies in general relativity. Concerning the definition and construction of bouncing spacetimes, we review the recent proposal in collaboration with B. Le Floch and G. Veneziano based on the notion of singularity scattering maps. We also present recent numerical investigations of small-scale phenomena arising in compressible fluid flows on FRLW or Kasner geometries for which we developed structure-preserving algorithms., Comment: 15 pages

We study the plane-symmetric collision of two gravitational waves and describe the global spacetime geometry generated by this collision. To this end, we formulate the characteristic initial value problem for the Einstein equations, when Goursat data describing the incoming waves are prescribed on two null hypersurfaces. We then construct a global solution representing a cyclic spacetime based on junction conditions associated with a prescribed singularity scattering map (a notion recently introduced by the authors). From a mathematical analysis standpoint, this amounts to a detailed analysis of the Goursat and Fuchsian initial value problems associated with singular hyperbolic equations, when junction conditions at interfaces are prescribed. In our construction, we introduce a partition into monotonicity diamonds (that is, suitable spacetime domains) and we construct the solution by concatenating domains across interfaces of timelike, null, or spacelike type., Comment: 34 pages: second half of the original arXiv:2005.11324 (now shortened)

For contracting/expanding bouncing cosmologies, the formulation of junction conditions at a bouncing was recently revisited by the author in collaboration with B. Le Floch and G. Veneziano. The regime of interest here is the so-called quiescent regime, in which a monotone behavior of the metric is observed and asymptotic expansions can be derived. Here, we overview our new methodology based on the notion of {\sl singularity scattering maps} and {\sl cyclic spacetimes}, and we present our main conclusions. In particular, we provide a classification of all allowed bouncing junction conditions, including three universal laws., Comment: 16 pages

For nonlinear hyperbolic systems of conservation laws in one space variable, we establish the existence of nonclassical entropy solutions exhibiting nonlinear interactions between shock waves with strong strength. The proposed theory is relevant in the theory of phase transition dynamics, and the solutions under consideration enjoy a splitting--merging pattern, consisting of (compressive) classical and (undercompressive) nonclassical waves, interacting together as well as with classical waves of smaller strength. Our analysis is based on three novel ideas. First, a generalization of Hayes--LeFloch's nonclassical Riemann solver is introduced for systems and is based on prescribing, on one hand, a kinetic relation for the propagation of nonclassical undercompressive shocks and, on the other hand, a nucleation criterion that selects between classical and nonclassical behavior. Second, we extend LeFloch-Shearer's theorem to systems and we prove that the presence of a nucleation condition implies that only a finite number of splitting and merging cycles can occur. Third, our arguments of nonlinear stability build upon recent work by the last two authors who identified a natural total variation functional for scalar conservation laws and, specifically, for systems of conservation laws we introduce here novel functionals which measure the total variation and wave interaction of nonclassical and classical waves., Comment: 43 pages

Alinhac solved a long-standing open problem in 2001 and established that quasilinear wave equations in two space dimensions with quadratic null nonlinearities admit global-in-time solutions, provided that the initial data are compactly supported and sufficiently small in Sobolev norm. In this work, Alinhac obtained an upper bound with polynomial growth in time for the top-order energy of the solutions. A natural question then arises whether the time-growth is a true phenomena, despite the possible conservation of basic energy. Analogous problems are also of central importance for Schr\"odinger equations and the incompressible Euler equations in two space dimensions, as studied by Bourgain, Colliander-Keel-Staffilani-Takaoka-Tao, Kiselev-Sverak, and others. In the present paper, we establish that the top-order energy of the solutions in Alinhac theorem remains globally bounded in time, which is opposite to Alinhac's blowup-at-infinity conjecture., Comment: 28 pages

We develop a new finite volume method using unstructured mesh-vertex grids for coupled systems modeling shallow water flows and solute transport over complex bottom topography. Novel well-balanced positivity preserving discretization techniques are proposed for the water surface elevation and the concentration of the pollutant. For the hydrodynamic system, the proposed scheme preserves the steady state of a lake at rest and the positivity of the water depth. For the scalar transport equation, the proposed method guarantees the positivity and a perfect balance of the scalar concentration. The constant-concentration states are preserved in space and time for any hydrodynamic field and complex topography in the absence of source terms of the passive pollutant. Importantly and this is one of the main features of our approach is that the novel reconstruction techniques proposed for the water surface elevation and concentration satisfy the discrete maximum-minimum principle for the solute concentration. We demonstrate, in a series of numerical tests, the well-balanced and positivity properties of the proposed method and the accuracy of our techniques and their potential advantages in predicting the solutions of the shallow water-transport model., Comment: 29 pages

For the evolution of a compressible fluid in spherical symmetry on a Schwarzschild curved background, we design a class of well-balanced numerical algorithms with first-order or second-order of accuracy. We treat both the relativistic Burgers-Schwarzschild model and the relativistic Euler-Schwarzschild model and take advantage of the explicit or implicit forms available for the stationary solutions of these models. Our schemes follow the finite volume methodology and preserve the stationary solutions. Importantly, they allow us to investigate the global asymptotic behavior of such flows and determine the asymptotic behavior of the mass density and velocity field of the fluid., Comment: 40 pages

In the first part of this series, an augmented PDE system was introduced in order to couple two nonlinear hyperbolic equations together. This formulation allowed the authors, based on Dafermos's self-similar viscosity method, to establish the existence of self-similar solutions to the coupled Riemann problem. We continue here this analysis in the {restricted} case of one-dimensional scalar equations and investigate the internal structure of the interface in order to derive a selection criterion associated with the underlying regularization mechanism and, in turn, to characterize the nonconservative interface layer. In addition, we identify a new criterion that selects double-waved solutions that are also continuous at the interface. We conclude by providing some evidence that such solutions can be non-unique when dealing with non-convex flux-functions., Comment: 29 pages

We study nonlinear hyperbolic conservation laws with non-convex flux in one space dimension and, for a broad class of numerical methods based on summation by parts operators, we compute numerically the kinetic functions associated with each scheme. As established by LeFloch and collaborators, kinetic functions (for continuous or discrete models) uniquely characterize the macro-scale dynamics of small-scale dependent, undercompressive, nonclassical shock waves. We show here that various entropy-dissipative numerical schemes can yield nonclassical solutions containing classical shocks, including Fourier methods with (super-) spectral viscosity, finite difference schemes with artificial dissipation, discontinuous Galerkin schemes with or without modal filtering, and TeCNO schemes. We demonstrate numerically that entropy stability does not imply uniqueness of the limiting numerical solutions for scalar conservation laws in one space dimension, and we compute the associated kinetic functions in order to distinguish between these schemes. In addition, we design entropy-dissipative schemes for the Keyfitz-Kranzer system whose solutions are measures with delta shocks. This system illustrates the fact that entropy stability does not imply boundedness under grid refinement.

Cosmological bounces occur in many gravity theories. We define singularity scattering maps relating large scale geometries before and after the bounce (assuming no BKL oscillations) and encoding microscopic details of the theory. By classifying all suitably local maps we uncover three universal laws: scaling of Kasner exponents, canonical transformation of matter, directional metric scaling. These are indeed obeyed by Bianchi I bounces in string theory, loop quantum cosmology and modified matter models; our classification then determines how inhomogeneities and anisotropies traverse bounces, and precisely extracts model-dependent degrees of freedom., Comment: 6 pages; updated presentation of the three laws

We consider a class of Fuchsian equations that, for instance, describes the evolution of compressible fluid flows on a cosmological spacetime. Using the method of lines, we introduce a numerical algorithm for the singular initial value problem when data are imposed on the cosmological singularity and the evolution is performed from the singularity hypersurface. We approximate the singular Cauchy problem of Fuchsian type by a sequence of regular Cauchy problems, which we next discretize by pseudo-spectral and Runge-Kutta techniques. Our main contribution is a detailed analysis of the numerical error which has two distinct sources, and our main proposal here is to keep in balance the errors arising at the continuum and at the discrete levels of approximation. We present numerical experiments which strongly support our theoretical conclusions. This strategy is finally applied to applied to compressible fluid flows evolving on a Kasner spacetime, and we numerically demonstrate the nonlinear stability of such flows, at least in the so-called sub-critical regime identified earlier by the authors., Comment: 30 pages

For spacetimes containing quiescent singularity hypersurfaces we propose a general notion of junction conditions based on a prescribed singularity scattering map, as we call it, and we introduce the notion of a cyclic spacetime (also called a multiverse) consisting of spacetime domains bounded by spacelike or timelike singularity hypersurfaces, across which our scattering map is applied. A local existence theory is established here while, in a companion paper, we construct plane-symmetric cyclic spacetimes. We study the singularity data space consisting of the suitably rescaled metric, extrinsic curvature, and matter fields which can be prescribed on each side of the singularity, and for the class of so-called quiescent singularities we establish restrictions that a singularity scattering map must satisfy. We obtain a full characterization of all scattering maps that are covariant and ultralocal, in a sense we define and, in particular, we distinguish between, on the one hand, three laws of bouncing cosmology of universal nature and, on the other hand, model-dependent junction conditions. The theory proposed in this paper applies to spacelike and timelike hypersurfaces and without symmetry restriction. It encompasses bouncing-cosmology scenarios, both in string theory and in loop quantum cosmology, and puts strong restrictions on their possible explicit realizations., Comment: 54 pages. v2: Construction of plane-symmetric cyclic spacetimes moved to arXiv:2106.09666. v3: Version published in JHEP

We consider an isothermal compressible fluid evolving on a cosmological background which may be either expanding or contracting toward the future. The Euler equations governing such a flow consist of two nonlinear hyperbolic balance laws which we treat in one and in two space dimensions. We design a finite volume scheme which is fourth-order accurate in time and second-order accurate in space. This scheme allows us to compute weak solutions containing shock waves and, by design, is well-balanced in the sense that it preserves exactly a special class of solutions. Using this scheme, we investigate the asymptotic structure of the fluid when the time variable approaches infinity (in the expanding regime) or approaches zero (in the contracting regime). We study these two limits by introducing a suitable rescaling of the density and velocity variables and, in turn, we analyze the effects induced by the geometric terms (of expanding or contracting nature) and the nonlinear interactions between shocks. Extensive numerical experiments in one and in two space dimensions are performed in order to support our observations., Comment: 41 pages

We consider the Einstein equations in T2 symmetry, either for vacuum spacetimes or coupled to the Euler equations for a compressible fluid, and we introduce the notion of T2 areal flows on T3 with finite total energy. By uncovering a hidden structure of the Einstein equations, we establish a compensated compactness framework and solve the global evolution problem for vacuum spacetimes as well as for self-gravitating compressible fluids. We study the stability and instability of such flows and prove that, when the initial data are well-prepared, any family of T2 areal flows is sequentially compact in a natural topology. In order to handle general initial data we propose a relaxed notion of T2 areal flows endowed with a corrector stress tensor (as we call it) which is a bounded measure generated by geometric oscillations and concentrations propagating at the speed of light. This generalizes a result for vacuum spacetimes in: Le Floch B. and LeFloch P.G., Arch. Rational Mech. Anal. 233 (2019), 45-86. In addition, we determine the global geometry of the corresponding future Cauchy developments and we prove that the area of the T2 orbits generically approaches infinity in the future-expanding regime. In the future-contracting regime, the volume of the T3 spacelike slices approaches zero and, for generic initial data, the area of the orbits of symmetry approaches zero in Gowdy symmetric matter spacetimes and in T2 vacuum spacetimes., Comment: 6 pages

Given a first-order nonlinear hyperbolic system of conservation laws endowed with a convex entropy-entropy flux pair, we can consider the class of weak solutions containing shock waves depending upon some small scale parameters. In this Note, we define and derive several classes of entropy-dissipating augmented models, as we call them, which involve (possibly nonlinear) second- and third-order augmentation terms. Such terms typically arise in continuum physics and model the viscosity and capillarity effects in a fluid, for instance. By introducing a new notion of positive entropy production that concerns general functions (rather than solutions) we can easily check the entropy-dissipating property for a broad class of augmented models. The weak solutions associated with the zero diffusion/dispersion limit may contain (nonclassical undercompressive) shocks whose selection is determined from these diffusive and dispersive effects (for instance by using traveling wave solutions), and having a classification of the models, as we propose, is essential for developing a general theory., Comment: 6 pages

We study the cosmological Burgers model, as we call it, which is a nonlinear hyperbolic balance law (in one and two spatial variables) posed on an expanding or contracting background. We design a finite volume scheme that is fourth-order in time and second-order in space, and allows us to compute weak solutions containing shock waves. Our main contribution is the study of the asymptotic structure of the solutions as the time variable approaches infinity (in the expanding case) or zero (in the contracting case). We discover that a saddle competition is taking place which involves, on one hand, the geometrical effects of expanding or contracting nature and, on the other hand, the nonlinear interactions between shock waves., Comment: 32 pages

We review a numerical technique, referred to as the Transport-based Mesh-free Method (TMM), and we discuss its applications to mathematical finance. We recently introduced this method from a numerical standpoint and investigated the accuracy of integration formulas based on the Monte-Carlo methodology: quantitative error bounds were discussed and, in this short note, we outline the main ideas of our approach. The techniques of transportation and reproducing kernels lead us to a very efficient methodology for numerical simulations in many practical applications, and provide some light on the methods used by the artificial intelligence community. For applications in the finance industry, our method allows us to compute many types of risk measures with an accurate and fast algorithm. We propose theoretical arguments as well as extensive numerical tests in order to justify sharp convergence rates, leading to rather optimal computational times. Cases of direct interest in finance support our claims and the importance of the problem of the curse of dimensionality in finance applications is briefly discussed., Comment: 7 pages

We are interested in mesh-free formulas based on the Monte-Carlo methodology for the approximation of multi-dimensional integrals, and we investigate their accuracy when the functions belong to a reproducing-kernel space. A kernel typically captures regularity and qualitative properties of functions "beyond" the standard Sobolev regularity class. We are interested in the issue whether quantitative error bounds can be a priori guaranteed in applications (e.g. mathematical finance but also scientific computing and machine learning). Our main contribution is a numerical study of the error discrepancy function based on a comparison between several numerical strategies, when one varies the choice of the kernel, the number of approximation points, and the dimension of the problem. We consider two strategies in order to localize to a bounded set the standard kernels defined in the whole Euclidian space (exponential, multiquadric, Gaussian, truncated), namely, on one hand the class of periodic kernels defined via a discrete Fourier transform on a lattice and, on the other hand, a class of transport-based kernels. First of all, relying on a Poisson formula on a lattice, together with heuristic arguments, we discuss the derivation of theoretical bounds for the discrepancy function of periodic kernels. Second, for each kernel of interest, we perform the numerical experiments that are required in order to generate the optimal distributions of points and the discrepancy error functions. Our numerical results allow us to validate our theoretical observations and provide us with quantitative estimates for the error made with a kernel-based strategy as opposed to a purely random strategy., Comment: 33 pages