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Yuri Kifer

Publications and source records attributed to Yuri Kifer.

At least 37 records · Page 2Linked to original sources

Ergodic Theorems for Nonconventional Arrays and an Extension of the Szemeredi Theorem

The paper is primarily concerned with the asymptotic behavior as $N\to\infty$ of averages of nonconventional arrays having the form $N^{-1}\sum_{n=1}^N\prod_{j=1}^\ell T^{P_j(n,N)}f_j$ where $f_j$'s are bounded measurable functions, $T$ is an invertible measure preserving transformation and $P_j$'s are polynomials of $n$ and $N$ taking on integer values on integers. It turns out that when $T$ is weakly mixing and $P_j(n,N)=p_jn+q_jN$ are linear or, more generally, have the form $P_j(n,N)=P_j(n)+Q_j(N)$ for some integer valued polynomials $P_j$ and $Q_j$ then the above averages converge in $L^2$ but for general polynomials $P_j$ the $L^2$ convergence can be ensured even in the case $\ell=1$ only when $T$ is strongly mixing. Studying also weakly mixing and compact extensions and relying on Furstenberg's structure theorem we derive an extension of Szemer\' edi's theorem saying that for any subset of integers $Λ$ with positive upper density there exists a subset $\mathcal N_Λ$ of positive integers having uniformly bounded gaps such that for $N\in\mathcal N_Λ$ and at least $\varepsilon N,\,\varepsilon>0$ of $n$'s all numbers $p_jn+q_jN,\, j=1,...,\ell$ belong to $Λ$. We obtain also a version of these results for several commuting transformations which yields a corresponding extension of the multidimensional Szemer\' edi theorem.

math.DS↗

Functional Erdös-Rényi law of large numbers for nonconventional sums under weak dependence

We obtain a functional Erd\H os-R\' enyi law of large numbers for "nonconventional" sums of the form $\Sig_n=\sum_{m=1}^nF(X_m,X_{2m},...,X_{\ell m})$ where $X_1,X_2,...$ is a sequence of exponentially fast $ψ$-mixing random vectors and $F$ is a Borel vector function extendin in several directions our previous result concerning i.i.d. random variables $X_1,X_2,...$.

math.PR↗

Erdös-Rényi law of large numbers in the averaging setup

We extend the Erd\H os-R\' enyi law of large numbers to the averaging setup both in discrete and continuous time cases. We consider both stochastic processes and dynamical systems as fast motions whenever they are fast mixing and satisfy large deviations estimates. In the continuous time case we consider flows with large deviations estimates which allow a suspension representation and it turns out that fast mixing of corresponding base transformation suffices for our results.

math.PR↗

An Erd\" os-R\' enyi law for nonconventional sums

We obtain rge Erd\" os-R\' enyi type law of large numbers for "nonconventional" sums of the form $S_n=\sum^n_{m=1}F(X_m,X_{2m},...,X_{\ell m})$ where $X_1,X_2,...$ is a sequence of i.i.d. random variables and $F$ is a bounded Borel function. The proof relies on nonconventional large deviations obtained in [8].

math.PR↗

Tails of polynomials of random variables and stable limits for nonconventional sums

We obtain first decay rates of probabilities of tails of multivariate polynomials built on independent random variables with heavy tails. Then we derive stable limit theorems for nonconventional sums of the form $\sum_{Nt\geq n\geq 1}F(X(q_1(n)),...,X(q_\ell(n)))$ where $F$ is a polynomial, $1\leq q_1(n)<\cdots <q_\ell(n)$ are integer valued increasing functions satisfying certain conditions and $X(n),\, n\geq 0$ is a sequence of independent random variables with heavy tails.

math.PR↗

Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs

We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a fixed transaction costs. We prove that in the continuous time Black--Scholes (BS) model, there exists a trading strategy which minimizes the shortfall risk. Furthermore, we use binomial models in order to provide numerical schemes for the calculation of the shortfall risk and the corresponding optimal portfolio in the BS model.

q-fin.MF↗

Nonconventional limit theorems in discrete and continuous time via martingales

We obtain functional central limit theorems for both discrete time expressions of the form $1/\sqrt{N}\sum_{n=1}^{[Nt]}(F(X(q_1(n)),\ldots, X(q_{\ell}(n)))-\bar{F})$ and similar expressions in the continuous time where the sum is replaced by an integral. Here $X(n),n\geq0$ is a sufficiently fast mixing vector process with some moment conditions and stationarity properties, $F$ is a continuous function with polynomial growth and certain regularity properties, $\bar{F}=\int F\,d(μ\times\cdots\timesμ)$, $μ$ is the distribution of $X(0)$ and $q_i(n)=in$ for $i\le k\leq\ell$ while for $i>k$ they are positive functions taking on integer values on integers with some growth conditions which are satisfied, for instance, when $q_i$'s are polynomials of increasing degrees. These results decisively generalize [Probab. Theory Related Fields 148 (2010) 71-106], whose method was only applicable to the case $k=2$ under substantially more restrictive moment and mixing conditions and which could not be extended to convergence of processes and to the corresponding continuous time case. As in [Probab. Theory Related Fields 148 (2010) 71-106], our results hold true when $X_i(n)=T^nf_i$, where $T$ is a mixing subshift of finite type, a hyperbolic diffeomorphism or an expanding transformation taken with a Gibbs invariant measure, as well as in the case when $X_i(n)=f_i({Υ}_n)$, where ${Υ}_n$ is a Markov chain satisfying the Doeblin condition considered as a stationary process with respect to its invariant measure. Moreover, our relaxed mixing conditions yield applications to other types of dynamical systems and Markov processes, for instance, where a spectral gap can be established. The continuous time version holds true when, for instance, $X_i(t)=f_i(ξ_t)$, where $ξ_t$ is a nondegenerate continuous time Markov chain with a finite state space or a nondegenerate diffusion on a compact manifold. A partial motivation for such limit theorems is due to a series of papers dealing with nonconventional ergodic averages.

math.PR↗

Nonconventional Large Deviations Theorems

We obtain large deviations theorems for nonconventional sums with underlying process being a Markov process satisfying the Doeblin condition or a dynamical system such as subshift of finite type or hyperbolic or expanding transformation.

math.PR↗

Poisson and Compound Poisson Approximations in a Nonconventional Setup

We show that for all $ψ$-mixing shifts distributions of the numbers of multiple recurrencies to shrinking cylindrical neighborhoods of all points are close either to Poisson or to compound Poisson distributions. We also describe completely the asymptotic behavior of these distributions.

math.PR↗

Dynkin Games and Israeli Options

We start briefly surveying research on optimal stopping games since their introduction by E.B.Dynkin more than 40 years ago. Recent renewed interest to dynkin's games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs and other questions.

q-fin.PR↗

Nonconventional Poisson Limit Theorems

The classical Poisson theorem says that if $ξ_1,ξ_2,...$ are i.i.d. 0--1 Bernoulli random variables taking on 1 with probability $p_n\equiv \la/n$ then the sum $S_n=\sum_{i=1}^nξ_i$ is asymptotically in $n$ Poisson distributed with the parameter $\la$. It turns out that this result can be extended to sums of the form $S_n=\sum_{i=1}^nξ_{q_1(i)}... ξ_{q_\ell(i)}$ where now $p_n\equiv(\la/n)^{1/\ell}$ and $1\leq q_1(i) <... <q_\ell(i)$ are integer valued increasing functions. We obtain also Poissonian limit for numbers of arrivals to small sets of $\ell$-tuples $X_{q_1(i)},...,X_{q_\ell(i)}$ for some Markov chains $X_n$ and for numbers of arrivals of $T^{q_1(i)}x,...,T^{q_\ell(i)}x$ to small cylinder sets for typical points $x$ of a subshift of finite type $T$.

math.PR↗

Nonconventional limit theorems in averaging

We consider "nonconventional" averaging setup in the form $\frac {dX^ε(t)}{dt}=εB\big(X^ε(t),ξ(q_1(t)), ξ(q_2(t)),...,ξ(q_\ell(t))\big)$ where $ξ(t),t\geq 0$ is either a stochastic process or a dynamical system (i.e. then $ξ(t)=F^tx$) with sufficiently fast mixing while $q_j(t)=\al_jt,\,\al_1<\al_2<...<\al_k$ and $q_j,\, j=k+1,...,\ell$ grow faster than linearly. We show that the properly normalized error term in the "nonconventional" averaging principle is asymptotically Gaussian.

math.PR↗