Xiaotao Zheng

Ziting Pei, Xingye Yue, Xiaotao Zheng

G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation approach within the G-expectation environment, yielding a nonlinear generalization of the Black-Scholes model, termed the G-Black-Scholes equation. To enhance computational efficiency and reduce numerical cost, we introduce a logarithmic transformation of the asset price, which yields an alternative nonlinear PDE. Based on this transformed formulation, we design both explicit and implicit finite difference schemes that are rigorously demonstrated to be consistent, stable, monotone, and convergent to the viscosity solution. Numerical examples confirm that the proposed schemes achieve high accuracy, while the logarithmic transformation relaxes the stability constraints of explicit schemes and improves computational efficiency.

Xin Li, Xiaotao Zheng, Zhihong Xia

XNet is a single-layer neural network architecture that leverages Cauchy integral-based activation functions for high-order function approximation. Through theoretical analysis, we show that the Cauchy activation functions used in XNet can achieve arbitrary-order polynomial convergence, fundamentally outperforming traditional MLPs and Kolmogorov-Arnold Networks (KANs) that rely on increased depth or B-spline activations. Our extensive experiments on function approximation, PDE solving, and reinforcement learning demonstrate XNet's superior performance - reducing approximation error by up to 50000 times and accelerating training by up to 10 times compared to existing approaches. These results establish XNet as a highly efficient architecture for both scientific computing and AI applications.