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S. Vaienti

Publications and source records attributed to S. Vaienti.

18 recordsLinked to original sources

Extreme Value theory and Poisson statistics for discrete time samplings of stochastic differential equations

We investigate the distribution and multiple occurrences of extreme events stochastic processes constructed by sampling the solution of a Stochastic Differential Equation on $\mathbb{R}^n$. We do so by studying the action of an annealead transfer operators on ad-hoc spaces of probability densities. The spectral properties of such operators are obtained by employing a mixture of techniques coming from SDE theory and a functional analytic approach to dynamical systems.

math.DS

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

Targets and Holes

We address the extreme value problem of a one-dimensional dynamical system approaching a fixed target while constrained to avoid a fixed set which can be thought of as a small hole. The presence of the latter influences the extremal index which will now depend explicitly on the escape rate.

math.DS

Limiting entry times distribution for arbitrary null sets SETS

We describe an approach that allows us to deduce the limiting return times distribution for arbitrary sets to be compound Poisson distributed. We establish a relation between the limiting return times distribution and the probability of the cluster sizes, where clusters consist of the portion of points that have finite return times in the limit where random return times go to infinity. In the special case of periodic points we recover the known Pólya-Aeppli distribution which is associated with geometrically distributed cluster sizes. We apply this method to several examples the most important of which is synchronisation of coupled map lattices. For the invariant absolutely continuous measure we establish that the returns to the diagonal is compound Poisson distributed where the coefficients are given by certain integrals along the diagonal.

math.DS

On the computation of the extremal index for time series

The extremal index is a quantity introduced in extreme value theory to measure the presence of clusters of exceedances. In the dynamical systems framework, it provides important information about the dynamics of the underlying systems. In this paper we provide a review of the meaning of the extremal index in dynamical systems. Depending on the observables used, this quantity can inform on local properties of attractors such as periodicity, stability and persistence in phase space, or on global properties such as the Lyapunov exponents. We also introduce a new estimator of the extremal index and shows its relation with those previously introduced in the statistical literature. We reserve a particular focus to the systems perturbed with noise as they are a good paradigm of many natural phenomena. Different kind of noises are investigated in the annealed and quenched situations. Applications to climate data are also presented.

math.DS

A spectral approach for quenched limit theorems for random hyperbolic dynamical systems

We extend the recent spectral approach for quenched limit theorems developed for piecewise expanding dynamics under general random driving [DrFrGTVa18] to quenched random piecewise hyperbolic dynamics including some classes of billiards. For general ergodic sequences of maps in a neighbourhood of a hyperbolic map we prove a quenched large deviations principle (LDP), central limit theorem (CLT), and local central limit theorem (LCLT).

math.DS

Extreme value theory for synchronization of coupled map lattices,

We show that the probability of appearance of synchronisation in chaotic coupled map lattices is related to the distribution of the maximum of a certain observable evaluated along almost all orbit. We show that such distribution belongs to the family of extreme value laws, whose parameters, namely the extremal index, allow us to get a detailed description of the probability of synchronisation. Theoretical results are supported by robust numerical computations that allow to go beyond the theoretical framework provided and are potentially applicable to physically relevant systems.

math.DS

Extreme Value Theory for Piecewise Contracting Maps with Randomly Applied Stochastic Perturbations

We consider globally invertible and piecewise contracting maps in higher dimensions and we perturb them with a particular kind of noise introduced by Lasota and Mackey. We got random transformations which are given by a stationary process: in this framework we develop an extreme value theory for a few classes of observables and we show how to get the (usual) limiting distributions together with an extremal index depending on the strength of the noise.

math.DS

Almost sure invariance principle for sequential and non-stationary dynamical systems

We establish almost sure invariance principles, a strong form of approximation by Brownian motion, for non-stationary time-series arising as observations on dynamical systems. Our examples include observations on sequential expanding maps, perturbed dynamical systems, non-stationary sequences of functions on hyperbolic systems as well as applications to the shrinking target problem in expanding systems.

math.DS

A note on Borel--Cantelli lemmas for non-uniformly hyperbolic dynamical systems

Let $(B_{i})$ be a sequence of measurable sets in a probability space $(X,\mathcal{B}, μ)$ such that $\sum_{n=1}^{\infty} μ(B_{i}) = \infty$. The classical Borel-Cantelli lemma states that if the sets $B_{i}$ are independent, then $μ(\{x \in X : x \in B_{i} \text{infinitely often (i.o.)}) = 1$. Suppose $(T,X,μ)$ is a dynamical system and $(B_i)$ is a sequence of sets in $X$. We consider whether $T^i x\in B_i$ for $μ$ a.e.\ $x\in X$ and if so, is there an asymptotic estimate on the rate of entry. If $T^i x\in B_i$ infinitely often for $μ$ a.e.\ $x$ we call the sequence $B_i$ a Borel--Cantelli sequence. If the sets $B_i:= B(p,r_i)$ are nested balls about a point $p$ then the question of whether $T^i x\in B_i$ infinitely often for $μ$ a.e.\ $x$ is often called the shrinking target problem. We show, under certain assumptions on the measure $μ$, that for balls $B_i$ if $μ(B_i)\ge i^{-γ}$, $0<γ<1$, then a sufficiently high polynomial rate of decay of correlations for Lipschitz observations implies that the sequence is Borel-Cantelli. If $μ(B_i)\ge \frac{C\log i}{i}$ then exponential decay of correlations implies that the sequence is Borel-Cantelli. If it is only assumed that $μ(B_i) \ge \frac{1}{i}$ then we give conditions in terms of return time statistics which imply that for $μ$ a.e.\ $p$ sequences of nested balls $B(p,1/i)$ are Borel-Cantelli. Corollaries of our results are that for planar dispersing billiards and Lozi maps $μ$ a.e.\ $p$ sequences of nested balls $B(p,1/i)$ are Borel-Cantelli. We also give applications of these results to a variety of non-uniformly hyperbolic dynamical systems.

math.DS

The compound Poisson distribution and return times in dynamical systems

Previously it has been shown that some classes of mixing dynamical systems have limiting return times distributions that are almost everywhere Poissonian. Here we study the behaviour of return times at periodic points and show that the limiting distribution is a compound Poissonian distribution. We also derive error terms for the convergence to the limiting distribution. We also prove a very general theorem that can be used to establish compound Poisson distributions in many other settings.

math.DS

Hitting and return times in ergodic dynamical systems

Given an ergodic dynamical system $(X,T,μ)$, and $U\subset X$ measurable with $μ(U)>0$, let $μ(U)τ_U(x)$ denote the normalized hitting time of $x\in X$ to $U$. We prove that given a sequence $(U_n)$ with $μ(U_n)\to 0$, the distribution function of the normalized hitting times to $U_n$ converges weakly to some sub-probability distribution $F$ if and only if the distribution function of the normalized return time converges weakly to some distribution function $\tilde F$, and that in the converging case, $$ F(t)=\int_0^t(1-\tilde F(s))ds, t\ge 0.\tag$\diamondsuit$ $$ This in particular characterizes asymptotics for hitting times, and shows that the asymptotics for return times is exponential if and only if the one for hitting times is too.

math.DS

Recurrence and lyapunov exponents

We prove two inequalities between the Lyapunov exponents of a diffeomorphism and its local recurrence properties. We give examples showing that each of the inequalities is optimal.

math.DS

Multifractal properties of return time statistics

Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets of dimensions is established. Theoretical analysis and numerical examples of dynamical systems in the class of Iterated Functions are presented.

nlin.CD