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We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic…

Risk Management · Quantitative Finance 2024-03-14 Yuyu Chen , Paul Embrechts , Ruodu Wang

An algorithm to characterize collective motion is presented, with the introduction of ``collective Lyapunov exponent'', as the orbital instability at a macroscopic level. By applying the algorithm to a globally coupled map, existence of…

chao-dyn · Physics 2009-10-31 Tatsuo Shibata , Kunihiko Kaneko

We study a class of discrete-time random walks in $\mathbb{R}^d$ whose conditional drift decays polynomially in time and grows polynomially with the distance from the origin to the current position. This class is related to several models…

Probability · Mathematics 2026-05-19 Ngo P. N. Ngoc , Tuan-Minh Nguyen

A well-behaved adjoint sensitivity technique for chaotic dynamical systems is presented. The method arises from the specialisation of established variational techniques to the unstable periodic orbits of the system. On such trajectories,…

Chaotic Dynamics · Physics 2018-03-12 Davide Lasagna

We uncover and characterize different chaotic transport scenarios on perfect periodic surfaces by controlling the chaotic dynamics of particles subjected to periodic external forces in the absence of a ratchet effect. After identifying…

Chaotic Dynamics · Physics 2010-03-26 R. Chacon , A. M. Lacasta

We study some new universal aspects of diffusion in chaotic systems, especially such having very large Lyapunov coefficients on the chaotic (indecomposable, topologically transitive) component. We do this by discretizing the chaotic…

We investigate the spatiotemporal dynamics of a network of coupled chaotic maps, with varying degrees of randomness in coupling connections. While strictly nearest neighbour coupling never allows spatiotemporal synchronization in our…

Chaotic Dynamics · Physics 2007-05-23 Sudeshna Sinha

We introduce range-controlled random walks with hopping rates depending on the range $\mathcal{N}$, that is, the total number of previously distinct visited sites. We analyze a one-parameter class of models with a hopping rate…

Statistical Mechanics · Physics 2023-10-16 L. Régnier , O. Bénichou , P. L. Krapivsky

The important phenomenon of "stickiness" of chaotic orbits in low dimensional dynamical systems has been investigated for several decades, in view of its applications to various areas of physics, such as classical and statistical mechanics,…

Chaotic Dynamics · Physics 2023-06-16 Tassos Bountis , Konstantinos Kaloudis , Helen Christodoulidi

We study the statistical and dynamical properties of the quantum triangle map, whose classical counterpart can exhibit ergodic and mixing dynamics, but is never chaotic. Numerical results show that ergodicity is a sufficient condition for…

Chaotic Dynamics · Physics 2022-05-19 Jiaozi Wang , Giuliano Benenti , Giulio Casati , Wen-ge Wang

We introduce a model of randomly connected neural populations and study its dynamics by means of the dynamical mean-field theory and simulations. Our analysis uncovers a rich phase diagram, featuring high- and low-dimensional chaotic…

Biological Physics · Physics 2025-05-01 Łukasz Kuśmierz , Ulises Pereira-Obilinovic , Zhixin Lu , Dana Mastrovito , Stefan Mihalas

We consider the extreme value statistics of centrally-biased random walks with asymptotically-zero drift in the ergodic regime. We fully characterize the asymptotic distribution of the maximum for this class of Markov chains lacking…

Statistical Mechanics · Physics 2022-11-28 Roberto Artuso , Manuele Onofri , Gaia Pozzoli , Mattia Radice

Every student in statistics or data science learns early on that when the sample size largely exceeds the number of variables, fitting a logistic model produces estimates that are approximately unbiased. Every student also learns that there…

Statistics Theory · Mathematics 2022-06-08 Pragya Sur , Emmanuel J. Candes

We consider the multinomial logistic bandit problem in which a learner interacts with an environment by selecting actions to maximize expected rewards based on probabilistic feedback from multiple possible outcomes. In the binary setting,…

Machine Learning · Statistics 2026-02-25 Pierre Boudart , Pierre Gaillard , Alessandro Rudi

The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample averages to their means. At the same time, regulatory capital…

Risk Management · Quantitative Finance 2026-05-19 Max Nendel

Large deviations in chaotic dynamics have potentially significant and dramatic consequences. We study large deviations of series of finite lengths $N$ generated by chaotic maps. The distributions generally display an exponential decay with…

Chaotic Dynamics · Physics 2022-10-21 Naftali R. Smith

We show that the dynamical and entropic properties at the chaos threshold of the logistic map are naturally linked through the nonextensive expressions for the sensitivity to initial conditions and for the entropy. We corroborate…

Statistical Mechanics · Physics 2009-11-10 Fulvio Baldovin , Alberto Robledo

We consider a recurrent random walk (RW) in random environment (RE) on a strip. We prove that if the RE is i. i. d. and its distribution is not supported by an algebraic subsurface in the space of parameters defining the RE then the RW…

Probability · Mathematics 2009-11-13 Erwin Bolthausen , Ilya Goldsheid

We numerically study the two-dimensional, area preserving, web map. When the map is governed by ergodic behavior, it is, as expected, correctly described by Boltzmann-Gibbs statistics, based on the additive entropic functional $S_{BG}[p(x)]…

Statistical Mechanics · Physics 2017-11-08 Guiomar Ruiz , Ugur Tirnakli , Ernesto P. Borges , Constantino Tsallis

A finite ergodic Markov chain is said to exhibit cutoff if its distance to stationarity remains close to 1 over a certain number of iterations and then abruptly drops to near 0 on a much shorter time scale. Discovered in the context of card…

Probability · Mathematics 2015-04-10 Anna Ben-Hamou , Justin Salez
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