arXiv subjects

S. Marmi

Publications and source records attributed to S. Marmi.

5 recordsLinked to original sources

arXiv2023

Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems

We investigate and prove the mathematical properties of a general class of one-dimensional unimodal smooth maps perturbed with a heteroscedastic noise. Specifically, we investigate the stability of the associated Markov chain, show the weak convergence of the unique stationary measure to the invariant measure of the map, and show that the average Lyapunov exponent depends continuously on the Markov chain parameters. Representing the Markov chain in terms of random transformation enables us to state and prove the Central Limit Theorem, the large deviation principle, and the Berry-Ess\`een inequality. We perform a multifractal analysis for the invariant and the stationary measures, and we prove Gumbel's law for the Markov chain with an extreme index equal to 1. In addition, we present an example linked to the financial concept of systemic risk and leverage cycle, and we use the model to investigate the finite sample properties of our asymptotic results.

math.DS↗

arXiv2000

An Introduction To Small Divisors

This is an introduction to small divisors problems. The material treated in this book was brought together for a PhD course I tought at the University of Pisa in the spring of 1999. Here is a Table of Contents: Part I One Dimensional Small Divisors. Yoccoz's Theorems 1. Germs of Analytic Diffeomorphisms. Linearization 2. Topological Stability vs. Analytic Linearizability 3. The Quadratic Polynomial: Yoccoz's Proof of the Siegel Theorem 4. Douady-Ghys' Theorem. Continued Fractions and the Brjuno Function 5. Siegel-Brjuno Theorem, Yoccoz's Theorem. Some Open Problems 6. Small Divisors and Loss of Differentiability Part II Implicit Function Theorems and KAM Theory 7. Hamiltonian Systems and Integrable Systems 8. Quasi-Integrable Hamiltonian Systems 9. Nash-Moser's Implicit Function Theorem 10. From Nash-Moser's Theorem to KAM: Normal Form of Vector Fields on the Torus Appendices A1. Uniformization, Distorsion and Quasi-conformal maps A2. Continued Fractions A3. Distributions, Hyperfunctions. Hypoellipticity and Diophantine Conditions

math.DS↗

arXiv2000

Linearization of analytic and non--analytic germs of diffeomorphisms of $({\mathbb C},0)$

We study Siegel's center problem on the linearization of germs of diffeomorphisms in one variable. In addition of the classical problems of formal and analytic linearization, we give sufficient conditions for the linearization to belong to some algebras of ultradifferentiable germs closed under composition and derivation, including Gevrey classes. In the analytic case we give a positive answer to a question of J.-C. Yoccoz on the optimality of the estimates obtained by the classical majorant series method. In the ultradifferentiable case we prove that the Brjuno condition is sufficient for the linearization to belong to the same class of the germ. If one allows the linearization to be less regular than the germ one finds new arithmetical conditions, weaker than the Brjuno condition. We briefly discuss the optimality of our results.

math.DS↗

arXiv1999

Complex Brjuno functions

The Brjuno function arises naturally in the study of one--dimensional analytic small divisors problems. It belongs to $\hbox{BMO}({\Bbb T}^{1})$ and it is stable under Hölder perturbations. It is related to the size of Siegel disks by various rigorous and conjectural results. In this work we show how to extend the Brjuno function to a holomorphic function on ${\Bbb H}/{\Bbb Z}$, the complex Brjuno function. This has an explicit expression in terms of a series of transformed dilogarithms under the action of the modular group. The extension is obtained using a complex analogue of the continued fraction expansion of a real number. Since our method is based on the use of hyperfunctions it applies to less regular functions than the Brjuno function and it is quite general. We prove that the harmonic conjugate of the Brjuno function is bounded. Its trace on ${\Bbb R}/{\Bbb Z}$ is continuous at all irrational points and has a jump of $π/q$ at each rational point $p/q\in {\Bbb Q}$.

math.CV↗

arXiv1999

Diophantine conditions and real or complex Brjuno functions

The continued fraction expansion of the real number $x=a_0+x_0, a_0\in {\ZZ},$ is given by $0\leq x_n<1, x_{n}^{-1}=a_{n+1}+ x_{n+1}, a_{n+1}\in {\NN},$ for $n\geq 0.$ The Brjuno function is then $B(x)=\sum_{n=0}^{\infty}x_0x_1... x_{n-1}\ln(x_n^{-1}),$ and the number $x$ satisfies the Brjuno diophantine condition whenever $B(x)$ is bounded. Invariant circles under a complex rotation persist when the map is analytically perturbed, if and only if the rotation number satisfies the Brjuno condition, and the same holds for invariant circles in the semi-standard and standard maps cases. In this lecture, we will review some properties of the Brjuno function, and give some generalisations related to familiar diophantine conditions. The Brjuno function is highly singular and takes value $+\infty$ on a dense set including rationals. We present a regularisation leading to a complex function holomorphic in the upper half plane. Its imaginary part tends to the Brjuno function on the real axis, the real part remaining bounded, and we also indicate its transformation under the modular group.

math.DS↗