Related papers: Polynomial escape rates via maximal large deviatio…
We prove a maximal-type large deviation principle for dynamical systems with arbitrarily slow polynomial mixing rates. Also several applications, particularly to billiard systems, are presented.
We consider multimodal maps with holes and study the evolution of the open systems with respect to equilibrium states for both geometric and H\"older potentials. For small holes, we show that a large class of initial distributions share the…
We provide escape rates formulae for piecewise expanding interval maps with `random holes'. Then we obtain rigorous approximations of invariant densities of randomly perturbed metabstable interval maps. We show that our escape rates…
We investigate the scaling of the escape rate from piecewise-linear dynamical systems displaying intermittency due to the presence of an indifferent fixed-point. Strong intermittent behaviour in the dynamics can result in the system…
We study the relation between escape rates and pressure in general dynamical systems with holes, where pressure is defined to be the difference between entropy and the sum of positive Lyapunov exponents. Central to the discussion is the…
We prove that for a sequence of nested sets $\{U_n\}$ with $\Lambda = \cap_n U_n$ a measure zero set, the localized escape rate converges to the extremal index of $\Lambda$, provided that the dynamical system is $\phi$-mixing at polynomial…
Borrowing and extending the method of images we introduce a theoretical framework that greatly simplifies analytical and numerical investigations of the escape rate in open dynamical systems. As an example, we explicitly derive the exact…
We obtain error terms on the rate of convergence to Extreme Value Laws for a general class of weakly dependent stochastic processes. The dependence of the error terms on the `time' and `length' scales is very explicit. Specialising to data…
We prove sharp asymptotic estimates for the rate of escape of the two-dimensional simple random walk conditioned to avoid a fixed finite set. We derive it from asymptotics available for the continuous analogue of this process (cf…
The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail…
We study the escape rate for the Farey map, an infinite measure preserving system, with a hole including the indifferent fixed point. Due to the ergodic properties of the map, the standard theoretical approaches to this problem cannot be…
We establish a comprehensive sample path large deviation principle (LDP) for log-processes associated with multivariate time-inhomogeneous stochastic volatility models. Examples of models for which the new LDP holds include Gaussian models,…
In this paper escape rates and local escape rates for special flows are sudied. In a general context the first result is that the escape rate depends monotonically on the ceiling function and fulfills certain scaling, invariance, and…
In this paper, we introduce a mathematical apparatus that is relevant for understanding a dynamical system with small random perturbations and coupled with the so-called transmutation process -- where the latter jumps from one mode to…
We develop a martingale approximation framework yielding quantitative maximal large deviations estimates for invertible dynamical systems. From suitable decay of correlations, we deduce these estimates and, as an application, we obtain…
The rate of noise-induced escape from a metastable state of a periodically modulated overdamped system is found for an arbitrary modulation amplitude $A$. The instantaneous escape rate displays peaks that vary with the modulation from…
The main results in this paper concern large deviations for families of non-Gaussian processes obtained as suitable perturbations of continuous centered multivariate Gaussian processes which satisfy a large deviation principle. We present…
In this paper we address the problem of systems under an external feedback. This is performed using a large deviation approach and rate distortion from information theory. In particular we define a lower boundary for the maximum entropy…
We study the Escape Problem for discrete-time linear dynamical systems over compact semialgebraic sets. We establish a uniform upper bound on the number of iterations it takes for every orbit of a rational matrix to escape a compact…
In this paper, we present a novel maximum entropy formulation of the Differential Dynamic Programming algorithm and derive two variants using unimodal and multimodal value functions parameterizations. By combining the maximum entropy…