Related papers: Hitting times distribution and extreme value law f…
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in…
We prove the equivalence between the existence of a non-trivial hitting time statistics law and Extreme Value Laws in the case of dynamical systems with measures which are not absolutely continuous with respect to Lebesgue. This is a…
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…
Consider the empirical spectral distribution of complex random $n\times n$ matrix whose entries are independent and identically distributed random variables with mean zero and variance $1/n$. In this paper, via applying potential theory in…
We explain the connection between the Gumbel limit for diffusion exit times and the theory of extreme values.
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…
We show that for planar dispersing billiards the return times distribution is, in the limit, Poisson for metric balls almost everywhere w.r.t. the SRB measure. Since the Poincar\'e return map is piecewise smooth but becomes singular at the…
We study the duration of "high-flow states" in freeway traffic, defined as the time periods for which traffic flows exceed a given flow threshold. Our empirical data are surprisingly well represented by a power law. Moreover, the power law…
We propose an approach to compute the conditional moments of fat-tailed phenomena that, only looking at data, could be mistakenly considered as having infinite mean. This type of problems manifests itself when a random variable Y has a…
There is a natural connection between two types of recurrence law: hitting times to shrinking targets, and hitting times to a fixed target (usually seen as escape through a hole). We show that for systems which mix exponentially fast, one…
For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…
We investigate the limiting distribution of geometric Brownian motion conditional on its running maximum taking large values. We show that the conditional distribution of the geometric Brownian motion converges after a suitable…
We show that the probability of appearance of synchronisation in chaotic coupled map lattices is related to the distribution of the maximum of a certain observable evaluated along almost all orbit. We show that such distribution belongs to…
We study convergence of return- and hitting-time distributions of small sets $E_{k}$ with $\mu(E_{k})\rightarrow0$ in recurrent ergodic dynamical systems preserving an infinite measure $\mu$. Some properties which are easy in finite measure…
We study an extreme value distribution for the unipotent flow on the modular surface $\mathrm{SL}_2(\mathbb{R})/\mathrm{SL}_2(\mathbb{Z})$. Using tools from homogenous dynamics and geometry of numbers we prove the existence of a continuous…
Many events in biology are triggered when a diffusing searcher finds a target, which is called a first passage time (FPT). The overwhelming majority of FPT studies have analyzed the time it takes a single searcher to find a target. However,…
We consider the superposition of symmetric simple exclusion dynamics speeded-up in time, with spin-flip dynamics in a one-dimensional interval with periodic boundary conditions. We show that the mixing time has an exponential lower bound in…
We present the first rates of convergence to an $N$-dimensional Brownian motion when $N\ge2$ for discrete and continuous time dynamical systems. Additionally, we provide the first rates for continuous time in any dimension. Our results hold…
This study provides a summary of the theory which enables the analysis of extreme values, i.e., of measurements acquired from the observation of extraordinary/rare physical phenomena. The formalism is developed in a transparent way,…
We show that for systems that allow a Young tower construction with polynomially decaying correlations the return times to metric balls are in the limit Poisson distributed. We also provide error terms which are powers of logarithm of the…