Related papers: Extreme Value Laws for dynamical systems with coun…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a {\em stochastic maximal inequality} derived by using the formula for…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, $x(t)$, depends on the stochasticity of the return on…
In this paper we characterize the limiting behavior of sums of extreme values of long range dependent sequences defined as functionals of linear processes with finite variance. The extremal sums behave completely different by compared to…
Dynamic spectral risk measures define a claim's valuation bounds as supremum and infimum of expectations of the claim's payoff over a dominated set of measures. The measures at which such extrema are attained are called extreme measures. We…
Extreme environmental phenomena such as major precipitation events manifestly exhibit spatial dependence. Max-stable processes are a class of asymptotically-justified models that are capable of representing spatial dependence among extreme…
Motivated by observations that suggest the presence of extremely massive clusters at uncomfortably high redshifts for the standard cosmological model to explain, we develop a theoretical framework for the study of the most massive haloes,…
We study the limiting extremal and cluster point processes of branching Brownian motion. The former records the heights of all extreme values of the process, while the latter records the relative heights of extreme values in a genealogical…
Extreme events occur across the natural, engineering, and socioeconomic sciences, where rare but high-impact episodes can lead to disproportionate consequences that pose major challenges for prediction and risk management. Existing studies…
Extreme events are unusual and rare large-amplitude fluctuations that occur can unexpectedly in nonlinear dynamical systems. Events above the extreme event threshold of the probability distribution of a nonlinear process characterize…
The requirement that planetary systems be dynamically stable is often used to vet new discoveries or set limits on unconstrained masses or orbital elements. This is typically carried out via computationally expensive N-body simulations. We…
Dynamical systems of a new kind are described, which are motivated by the problem of constructing diffeomorphism invariant quantum theories. These are based on the extremization of a non-local and non-additive quantity that we call the…
The present paper studies the limiting behavior of the average score of a sequentially selected group of items or individuals, the underlying distribution of which, $F$, belongs to the Gumbel domain of attraction of extreme value…
The statistical modelling of spatial extremes has recently made major advances. Much of its focus so far has been on the modelling of the magnitudes of extreme events but little attention has been paid on the timing of extremes. To address…
Analysis of the rare and extreme values through statistical modeling is an important issue in economical crises, climate forecasting, and risk management of financial portfolios. Extreme value theory provides the probability models needed…
Entropy notions for $\varepsilon$-incremental practical stability and incremental stability of deterministic nonlinear systems under disturbances are introduced. The entropy notions are constructed via a set of points in state space which…
We consider stationary stochastic dynamical systems evolving on a compact metric space, by perturbing a deterministic dynamics with a random noise, added according to an arbitrary probabilistic distribution. We prove the maximal and…
We extend the notions of conditioned and controlled invariant spaces to linear dynamical systems over the max-plus or tropical semiring. We establish a duality theorem relating both notions, which we use to construct dynamic observers.…
We consider a class of systems over finite alphabets with linear internal dynamics, finite-valued control inputs and finitely quantized outputs. We motivate the need for a new notion of observability and propose three new notions of output…
Estimation of extreme conditional quantiles is often required for risk assessment of natural hazards in climate and geo-environmental sciences and for quantitative risk management in statistical finance, econometrics, and actuarial…