Related papers: Conditional Ergodic Averages for Asymptotically Ad…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
This article provides an introduction to the asymptotic analysis of covariance parameter estimation for Gaussian processes. Maximum likelihood estimation is considered. The aim of this introduction is to be accessible to a wide audience and…
One of the few accepted dynamical foundations of non-additive "non-extensive") statistical mechanics is that the choice of the appropriate entropy functional describing a system with many degrees of freedom should reflect the rate of growth…
We study the asymptotic properties of the trajectories of a discrete-time random dynamical system in an infinite-dimensional Hilbert space. Under some natural assumptions on the model, we establish a multiplica-tive ergodic theorem with an…
We study asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In…
We consider Bourgain's ergodic theorem regarding arithmetic averages in the cases where quantitative mixing is present in the dynamical system. Focusing on the case of the horocyclic flow, those estimates allows us to bound from above the…
In this article we consider the ergodic optimization for hyperbolic flows and Lorenz attractors with respect to both continuous and Holder continuous observables. In the context of hyperbolic flows we prove that a Baire generic subset of…
We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the asset price process $X$, which depends on an additional…
We survey an area of recent development, relating dynamics to theoretical computer science. We discuss the theoretical limits of simulation and computation of interesting quantities in dynamical systems. We will focus on central objects of…
During the last years, asymptotic (or sequential) constraint qualifications, which postulate upper semicontinuity of certain set-valued mappings and provide a natural companion of asymptotic stationarity conditions, have been shown to be…
If $\mathcal{A}$ is a finite set (alphabet), the shift dynamical system consists of the space $\mathcal{A}^{\mathbb{N}}$ of sequences with entries in $\mathcal{A}$, along with the left shift operator $S$. Closed $S$-invariant subsets are…
Growth-fragmentation processes describe the evolution of systems of cells which grow continuously and fragment suddenly; they are used in models of cell division and protein polymerisation. Typically, we may expect that in the long run, the…
In this paper, we show that for several interesting systems beyond uniform hyperbolicity, any generic continuous function has a unique maximizing measure with zero entropy. In some cases, we also know that the maximizing measure has full…
This doctoral thesis undertakes an in-depth exploration of limiting shape theorems across diverse mathematical structures, with a specific focus on subadditive processes within finitely generated groups exhibiting polynomial growth rates,…
We investigate the ergodicity of 2D large scale quasigeostrophic flows under random wind forcing. We show that the quasigeostrophic flows are ergodic under suitable conditions on the random forcing and on the fluid domain, and under no…
We propose a nonparametric method for estimating the conditional quantile function that admits a generalized additive specification with an unknown link function. This model nests single-index, additive, and multiplicative quantile…
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global…
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization…
We introduce modes of instantaneous optimal growth of free energy for the fully electromagnetic gyrokinetic equations. We demonstrate how these "optimal modes" arise naturally from the free energy balance equation, allowing its convenient…
We introduce the concepts of Baire Ergodicity and Ergodic Formalism, employing them to study topological and statistical attractors. Specifically, we establish the existence and finiteness of such attractors and provide applications for…