Eckstein-Ferris-Pennanen-Robinson duality revisited: paramonotonicity, total Fenchel-Rockafellar duality, and the Chambolle-Pock operator

This paper revisits the Eckstein-Ferris-Pennanen-Robinson duality framework to demonstrate how paramonotonicity ensures the alignment of saddle points with the solution set, characterizes total Fenchel-Rockafellar duality in the subdifferential setting, and derives projection formulas relevant to the Chambolle-Pock algorithm.

Heinz H. Bauschke, Walaa M. Moursi, Shambhavi SinghTue, 10 Ma🔢 math

Alternating Gradient-Type Algorithm for Bilevel Optimization with Inexact Lower-Level Solutions via Moreau Envelope-based Reformulation

This paper proposes the Alternating Gradient-type algorithm with Inexact Lower-level Solutions (AGILS), which leverages a Moreau envelope-based reformulation to efficiently solve convex composite bilevel optimization problems without requiring exact lower-level solutions, while establishing convergence guarantees and demonstrating effectiveness through numerical experiments.

Xiaoning Bai, Shangzhi Zeng, Jin Zhang, Lezhi ZhangTue, 10 Ma🔢 math

Rough differential equations for volatility

This paper introduces a canonical framework for jointly lifting Brownian motion and low-regularity stochastic rough paths to model rough volatility via a single rough differential equation, thereby extending existing partial rough path theories, providing a numerical approximation scheme for correlated settings, and demonstrating successful calibration to market data.

Ofelia Bonesini, Emilio Ferrucci, Ioannis Gasteratos, Antoine JacquierTue, 10 Ma🔢 math

Doubly-Robust Functional Average Treatment Effect Estimation

This paper introduces DR-FoS, a novel doubly-robust estimator for the Functional Average Treatment Effect (FATE) that ensures consistent estimation and valid simultaneous inference even when either the outcome or treatment assignment model is misspecified, demonstrating its effectiveness through simulations and a real-world application to the SHARE dataset.

Lorenzo Testa, Tobia Boschi, Francesca Chiaromonte, Edward H. Kennedy, Matthew ReimherrTue, 10 Ma🔢 math