Related papers: Hitting times distribution and extreme value law f…
We construct a zero-entropy weakly mixing finite-valued process with the exponential limit law for return resp. hitting times. This limit law is obtained in almost every point, taking the limit along the full sequence of cylinders around…
We consider the extreme value theory of a hyperbolic toral automorphism $T: \mathbb{T}^2 \to \mathbb{T}^2$ showing that if a H\"older observation $\phi$ which is a function of a Euclidean-type distance to a non-periodic point $\zeta$ is…
We analyse the probability densities of daily rainfall amounts at a variety of locations on the Earth. The observed distributions of the amount of rainfall fit well to a q-exponential distribution with exponent q close to q=1.3. We discuss…
We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…
We study a continuous time branching process where an individual splits into two daughters with rate b and dies with rate a, starting from a single individual at t=0. We show that the model can be mapped exactly to a random walk problem…
We construct a flow of continuous time and discrete state branching processes. Some scaling limit theorems for the flow are proved, which lead to the path-valued branching processes and nonlocal branching superprocesses over the positive…
We study the time-averaged flow in a model of particles that randomly hop on a finite directed graph. In the limit as the number of particles and the time window go to infinity but the graph remains finite, the large-deviation rate…
This paper extends a recent extreme value law for horocycle flows on the space of two-dimensional lattices, due to Kirsebom and Mallahi-Karai, to the simplest examples of rank-$k$ unipotent actions on the space of $n$-dimensional lattices.…
We consider some nonuniformly hyperbolic invertible dynamical systems which are modeled by a Gibbs-Markov-Young tower. We assume a polynomial tail for the inducing time and a polynomial control of hyperbolicity, as introduced by Alves,…
This paper considers a family of autoregressive processes with marginal distributions resembling the Cantor function. It is shown that the marginal distribution is in the domain of attraction of a max-semistable distribution. The main…
We extend the scope of the dynamical theory of extreme values to cover phenomena that do not happen instantaneously, but evolve over a finite, albeit unknown at the onset, time interval. We consider complex dynamical systems, composed of…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…
We use extreme value theory to estimate the probability of successive exceedances of a threshold value of a time-series of an observable on several classes of chaotic dynamical systems. The observables have either a Fr\'echet (fat-tailed)…
Equip the edges of the lattice $\mathbb{Z}^2$ with i.i.d. random capacities. We prove a law of large numbers for the maximal flow crossing a rectangle in $\mathbb{R}^2$ when the side lengths of the rectangle go to infinity. The value of the…
In this paper we study the system of two falling balls in continuous time. We modell the system by a suspension flow over a two dimensional, hyperbolic base map. By detailed analysis of the geometry of the system we identify special…
Asymptotic laws of records values have usually been investigated as limits in type. In this paper, we use functional representations of the tail of cumulative distribution functions in the extreme value domain of attraction to directly…
We prove an explicit formula of hitting times in terms of enumerations of spanning trees for random walks on general connected graphs. We apply the formula to improve Lawler's bound of hitting times for general graphs, prove a sharp bound…
This article is a continuation of earlier work [R.L. Huang and Y.H. Ye, On the second boundary value problem for a class of fully nonlinear flows I, to appear in International Mathematics Research Notices], where the long time existence and…
We consider random walks with finite second moment which drifts to $-\infty$ and have heavy tail. We focus on the events when the minimum and the final value of this walk belong to some compact set. We first specify the associated…