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Sandro Vaienti

Publications and source records attributed to Sandro Vaienti.

At least 19 recordsLinked to original sources

Thermodynamic formalism for hyperbolic random dynamical systems

We develop thermodynamic formalism for random Anosov maps and uniformly H\"older random potentials. We assume uniform fibre hyperbolicity given by deterministic invariant cone fields, a one-dimensional stable direction, and a fibrewise mixing condition whose mixing time may depend on the base point. To do so, we construct adapted projective cones for the random Perron--Frobenius cocycle and prove that the cocycle contracts the associated Hilbert projective metrics. This allows us to construct a $\mathbb P$-relative equilibrium state, prove its uniqueness, and establish quenched exponential decay of correlations.

math.DS

Metastability of random maps: a resolvent approach

We present a general framework to study the metastability of random perturbations of dynamical systems. It integrates techniques from the theory of Markov processes, in particular the resolvent approach to metastability, with the spectral analysis of transfer operators associated to the dynamics. The proposed framework is applied to study the metastability of one-dimensional dynamical systems generated by a map randomly perturbed by sub-Gaussian noise.

math.DS

Quenched invariance principle with a rate for random dynamical systems

In this paper, we consider the quenched invariance principle for random Young towers driven by an ergodic system. In particular, we obtain the Wassertein convergence rate in the quenched invariance principle. As a key ingredient, we derive a new martingale-coboundary decomposition for the random tower map, which provides a good control over sums of squares of the approximating martingale. We apply our results to a class of random dynamical systems that admit a random Young tower, such as independent and identically distributed (i.i.d.) translations of Viana maps, intermittent maps of the interval and small random perturbations of Anosov maps with an ergodic driving system.

math.DS

Filtering and Statistical Properties of Unimodal Maps Perturbed by Heteroscedastic Noises

We propose a theory of unimodal maps perturbed by an heteroscedastic Markov chain noise and experiencing another heteroscedastic noise due to uncertain observation. We address and treat the filtering problem showing that by collecting more and more observations, one would predict the same distribution for the state of the underlying Markov chain no matter one's initial guess. Moreover we give other limit theorems, emphasizing in particular concentration inequalities and extreme value and Poisson distributions. Our results apply to a family of maps arising from a model of systemic risk in finance.

math.ST

Compound Poisson distributions for random dynamical systems using probabilistic approximations

We obtain quenched hitting distributions to be compound Poissonian for a certain class of random dynamical systems. The theory is general and designed to accommodate non-uniformly expanding behavior and targets that do not overlap much with the region where uniformity breaks. Based on annealed and quenched polynomial decay of correlations, our quenched result adopts annealed Kac-type time-normalization and finds limits to be noise-independent. The technique involves a probabilistic blockapproximation where the quenched hit-counting function up to annealed Kac-normalized time is split into equally sized blocks which are mimicked by an independency of random variables distributed just like each of them. The theory is made operational due to a result that allows certain hitting quantities to be recovered from return quantities. Our application is to a class of random piecewise expanding one-dimensional systems, casting new light on the well-known deterministic dichotomy between periodic and aperiodic points, their usual extremal index formula EI=1-1/JT^p(x_0) , and recovering the PolyaAeppli case for general Bernoulli-driven systems, but distinct behavior otherwise. Future and on-going investigations aim to produce and accommodate examples of bonafide nonuniformly expanding random systems and targets approaching their neutral points.

math.DS

A statistical physics and dynamical systems perspective on geophysical extreme events

Statistical physics and dynamical systems theory are key tools to study high-impact geophysical events such as temperature extremes, cyclones, thunderstorms, geomagnetic storms and many more. Despite the intrinsic differences between these events, they all originate as temporary deviations from the typical trajectories of a geophysical system, resulting in well-organised, coherent structures at characteristic spatial and temporal scales. While statistical extreme value analysis techniques are capable to provide return times and probabilities of occurrence of certain geophysical events, they are not apt to account for their underlying physics. Their focus is to compute the probability of occurrence of events that are large or small with respect to some specific observable (e.g. temperature, precipitation, solar wind), rather than to relate rare or extreme phenomena to the underlying anomalous geophysical regimes. This paper outlines this knowledge gap, presenting some related challenges, new formalisms and briefly commenting on how stochastic approaches tailored to the study of extreme geophysical events can help to advance their understanding.

physics.ao-ph

Compound Poisson statistics for dynamical systems via spectral perturbation

We consider random transformations $T_\omega^n:=T_{\sigma^{n-1}\omega}\circ\cdots\circ T_{\sigma\omega}\circ T_\omega,$ where each map $T_{\omega}$ acts on a complete metrizable space $M$. The randomness comes from an invertible ergodic driving map $\sigma:\Omega\to\Omega$ acting on a probability space $(\Omega,\mathcal{F},m).$ For a family of random target sets $H_{\omega, n}\subset M$ that shrink as $n\to\infty$, we consider quenched compound Poisson statistics of returns of random orbits to these random targets. We develop a spectral approach to such statistics: associated with the random map cocycle is a transfer operator cocycle $\mathcal{L}^{n}_{\omega,0}:=\mathcal{L}_{\sigma^{n-1}\omega,0}\circ\cdots\circ\mathcal{L}_{\sigma\omega,0}\circ\mathcal{L}_{\omega,0}$, where $\mathcal{L}_{\omega,0}$ is the transfer operator for the map $T_\omega$. We construct a perturbed cocycle with generator $\mathcal{L}_{\omega,n,s}(\cdot):=\mathcal{L}_{\omega,0}(\cdot e^{is\mathbb{1}_{H_{\omega,n}}})$ and an associated random variable $S_{\omega,n,k}(x):=\sum_{j=0}^{k-1}\mathbb{1}_{H_{\sigma^j\omega,n}}(T_\omega^jx)$, which counts the number of visits to random targets in an orbit of length $k$. Under suitable assumptions, we show that in the $n\to\infty$ limit, the random variables $S_{\omega,n,n}$ converge in distribution to a compound Poisson distributed random variable. We provide several explicit examples for piecewise monotone interval maps in both the deterministic and random settings.

math.DS

Thermodynamic Formalism and Perturbation Formulae for Quenched Random Open Dynamical Systems

We develop a quenched thermodynamic formalism for open random dynamical systems generated by finitely branched, piecewise-monotone mappings of the interval. The openness refers to the presence of holes in the interval, which terminate trajectories once they enter. Our random driving is generated by an invertible, ergodic, measure-preserving transformation on a probability space $(\Omega,\mathscr{F},m)$. For each $\omega$ we associate a piecewise-monotone, surjective map $T_\omega$ and a hole $H_\omega\subset [0,1]$; the map and the hole generate the corresponding open transfer operator. In the first chapter we prove, for a contracting potential, that there exists a unique random conformal measure $\nu_\omega$ supported on the survivor set. We also prove the existence of a unique random invariant density $\phi_\omega$. These provide an ergodic random invariant measure $\mu=\nu \phi$ supported on the global survivor set. Further, we prove quasi-compactness of the transfer operator cocycle and exponential decay of correlations for $\mu$. The escape rate of $\nu$ is given by the difference of the expected pressures for the closed and open random systems. Finally, we prove that the Hausdorff dimension of the surviving set is equal to the unique zero of the expected pressure function for almost every fiber. In the second chapter we consider quasi-compact linear operator cocycles and their small perturbations. We prove an abstract fiberwise first-order formula for the leading Lyapunov multipliers. Our new machinery is deployed to create a spectral approach for a quenched extreme value theory that considers random dynamics and random observations. Finally, we prove quenched statistical limit theorems for random equilibrium states arising from contracting potentials. We illustrate the above theory with a variety of examples.

math.DS

Topological synchronisation or a simple attractor?

A few recent papers introduced the concept of topological synchronisation. We refer in particular to \cite{TS}, where the theory was illustrated by means of a skew product system, coupling two logistic maps. In this case, we show that the topological synchronisation could be easily explained as the birth of an attractor for increasing values of the coupling strength and the mutual convergence of two marginal empirical measures. Numerical computations based on a careful analysis of the Lyapunov exponents suggest that the attractor supports an absolutely continuous physical measure (acpm). We finally show that for some unimodal maps such acpm exhibit a multifractal structure.

math.DS

Perturbation formulae for quenched random dynamics with applications to open systems and extreme value theory

We consider quasi-compact linear operator cocycles $\mathcal{L}^{n}_ω:=\mathcal{L}_{σ^{n-1}ω}\circ\cdots\circ\mathcal{L}_{σω}\circ \mathcal{L}_ω$ driven by an invertible ergodic process $σ:Ω\toΩ$, and their small perturbations $\mathcal{L}_{ω,ε}^{n}$. We prove an abstract $ω$-wise first-order formula for the leading Lyapunov multipliers. We then consider the situation where $\mathcal{L}_ω^{n}$ is a transfer operator cocycle for a random map cocycle $T_ω^{n}:=T_{σ^{n-1}ω}\circ\cdots\circ T_{σω}\circ T_ω$ and the perturbed transfer operators $\mathcal{L}_{ω,ε}$ are defined by the introduction of small random holes $H_{ω,ε}$ in $[0,1]$, creating a random open dynamical system. We obtain a first-order perturbation formula in this setting, which reads $λ_{ω,ε}=λ_ω-θ_ωμ_ω(H_{ω,ε})+o(μ_ω(H_{ω,ε})),$ where $μ_ω$ is the unique equivariant random measure (and equilibrium state) for the original closed random dynamics. Our new machinery is then deployed to create a spectral approach for a quenched extreme value theory that considers random dynamics with general ergodic invertible driving, and random observations. An extreme value law is derived using the first-order terms $θ_ω$. Further, in the setting of random piecewise expanding interval maps, we establish the existence of random equilibrium states and conditionally invariant measures for random open systems via a random perturbative approach. Finally we prove quenched statistical limit theorems for random equilibrium states arising from contracting potentials. We illustrate the theory with a variety of explicit examples.

math.DS

Number of visits in arbitrary sets for $ϕ$-mixing dynamics

It is well-known that, for sufficiently mixing dynamical systems, the number of visits to balls and cylinders of vanishing measure is approximately Poisson compound distributed in the Kac scaling. Here we extend this kind of results when the target set is an arbitrary set with vanishing measure in the case of $ϕ$-mixing systems. The error of approximation in total variation is derived using Stein-Chen method. An important part of the paper is dedicated to examples to illustrate the assumptions, as well as applications to temporal synchronisation of $g$-measures

math.DS

Equilibrium states for non-transitive random open and closed dynamical systems

We prove a random Ruelle--Perron--Frobenius theorem and the existence of relative equilibrium states for a class of random open and closed interval maps, without imposing transitivity requirements, such as mixing and covering conditions, which are prevalent in the literature. This theorem provides existence and uniqueness of random conformal and invariant measures with exponential decay of correlations, and allows us to expand the class of examples of (random) dynamical systems amenable to multiplicative ergodic theory and the thermodynamic formalism. Applications include open and closed non-transitive random maps, and a connection between Lyapunov exponents and escape rates through random holes. We are also able to treat random intermittent maps with geometric potentials.

math.DS

Thermodynamic Formalism for Random Weighted Covering Systems

We develop a quenched thermodynamic formalism for random dynamical systems generated by countably branched, piecewise-monotone mappings of the interval that satisfy a random covering condition. Given a random contracting potential $φ$ (in the sense of Liverani-Saussol-Vaienti), we prove there exists a unique random conformal measure $ν_φ$ and unique random equilibrium state $μ_φ$. Further, we prove quasi-compactness of the associated transfer operator cocycle and exponential decay of correlations for $μ_φ$. Our random driving is generated by an invertible, ergodic, measure-preserving transformation $σ$ on a probability space $(Ω,\mathscr{F},m)$; for each $ω\inΩ$ we associate a piecewise-monotone, surjective map $T_ω:I\to I$. We consider general potentials $φ_ω:I\to\mathbb R\cup\{-\infty\}$ such that the weight function $g_ω=e^{φ_ω}$ is of bounded variation. We provide several examples of our general theory. In particular, our results apply to linear and non-linear systems including random $β$-transformations, randomly translated random $β$-transformations, random Gauss-Renyi maps, random non-uniformly expanding maps such as intermittent maps and maps with contracting branches, and a large class of random Lasota-Yorke maps.

math.DS

Sharp Statistical Properties for a Family of Multidimensional NonMarkovian Nonconformal Intermittent Maps

Intermittent maps of Pomeau-Manneville type are well-studied in one-dimension, and also in higher dimensions if the map happens to be Markov. In general, the nonconformality of multidimensional intermittent maps represents a challenge that up to now is only partially addressed. We show how to prove sharp polynomial bounds on decay of correlations for a class of multidimensional intermittent maps. In addition we show that the optimal results on statistical limit laws for one-dimensional intermittent maps hold also for the maps considered here. This includes the (functional) central limit theorem and local limit theorem, Berry-Esseen estimates, large deviation estimates, convergence to stable laws and Lévy processes, and infinite measure mixing.

math.DS

Analysis of bank leverage via dynamical systems and deep neural networks

We consider a model of a simple financial system consisting of a leveraged investor that invests in a risky asset and manages risk by using Value-at-Risk (VaR). The VaR is estimated by using past data via an adaptive expectation scheme. We show that the leverage dynamics can be described by a dynamical system of slow-fast type associated with a unimodal map on [0,1] with an additive heteroscedastic noise whose variance is related to the portfolio rebalancing frequency to target leverage. In absence of noise the model is purely deterministic and the parameter space splits in two regions: (i) a region with a globally attracting fixed point or a 2-cycle; (ii) a dynamical core region, where the map could exhibit chaotic behavior. Whenever the model is randomly perturbed, we prove the existence of a unique stationary density with bounded variation, the stochastic stability of the process and the almost certain existence and continuity of the Lyapunov exponent for the stationary measure. We then use deep neural networks to estimate map parameters from a short time series. Using this method, we estimate the model in a large dataset of US commercial banks over the period 2001-2014. We find that the parameters of a substantial fraction of banks lie in the dynamical core, and their leverage time series are consistent with a chaotic behavior. We also present evidence that the time series of the leverage of large banks tend to exhibit chaoticity more frequently than those of small banks.

q-fin.MF

Thermodynamic Formalism for Random Interval Maps with Holes

We develop a quenched thermodynamic formalism for open random dynamical systems generated by finitely branched, piecewise-monotone mappings of the interval. The openness refers to the presence of holes in the interval, which terminate trajectories once they enter; the holes may also be random. Our random driving is generated by an invertible, ergodic, measure-preserving transformation $σ$ on a probability space $(Ω,\mathscr{F},m)$. For each $ω\inΩ$ we associate a piecewise-monotone, surjective map $T_ω:I\to I$, and a hole $H_ω\subset I$; the map $T_ω$, the random potential $φ_ω$, and the hole $H_ω$ generate the corresponding open transfer operator $\mathcal{L}_ω$. For a contracting potential, under a condition on the open random dynamics in the spirit of Liverani--Maume-Deschamps, we prove there exists a unique random probability measure $ν_ω$ supported on the survivor set ${X}_{ω,\infty}$ satisfying $ν_{σ(ω)}(\mathcal{L}_ωf)=λ_ων_ω(f)$. We also prove the existence of a unique random family of functions $q_ω$ that satisfy $\mathcal{L}_ωq_ω=λ_ωq_{σ(ω)}$. These yield an ergodic random invariant measure $μ=νq$ supported on the global survivor set, while $q$ combined with the random closed conformal measure yields a unique random absolutely continuous conditional invariant measure (RACCIM) $η$ supported on $I$. We prove quasi-compactness of the transfer operator cocycle and exponential decay of correlations for $μ$. Finally, the escape rates of the random closed conformal measure and the RACCIM $η$ coincide, and are given in terms of the expected pressure, as is the Hausdorff dimension of the surviving set $X_{ω,\infty}$. We provide examples of our general theory, including random $β$-transformations and random Lasota-Yorke maps.

math.DS

Extreme value distributions of observation recurrences

We study analytically and numerically the extreme value distribution of observables defined along the temporal evolution of a dynamical system. The convergence to the Gumbel law of observable recurrences gives information on the fractal structure of the image of the invariant measure by the observable. We provide illustrations on idealized and physical systems.

math.DS

Stochastic stability of the classical Lorenz flow under impulsive type forcing

We introduce a novel type of random perturbation for the classical Lorenz flow in order to better model phenomena slowly varying in time such as anthropogenic forcing in climatology and prove stochastic stability for the unperturbed flow. The perturbation acts on the system in an impulsive way, hence is not of diffusive type as those already discussed in \cite{Ki}, \cite{Ke}, \cite{Me}. Namely, given a cross-section $\mathcal{M}$ for the unperturbed flow, each time the trajectory of the system crosses $\mathcal{M}$ the phase velocity field is changed with a new one sampled at random from a suitable neighborhood of the unperturbed one. The resulting random evolution is therefore described by a piecewise deterministic Markov process. The proof of the stochastic stability for the umperturbed flow is then carryed on working either in the framework of the Random Dynamical Systems or in that of semi-Markov processes.

math.DS