Extreme Value Theory and Poisson Statistics for Discrete Time Samplings of Stochastic Differential Equations
We investigate the distribution and clustering of extreme events of stochastic processes constructed by sampling the solution of a Stochastic Differential Equation on $${\mathbb {R}}^n$$ . We do so by studying the action of an annealed transfer operators on suitable spaces of densities. The spectral properties of such operators are obtained by employing a mixture of techniques coming from SDE theory and a functional analytic approach to dynamical systems.
Authors
- Stefano Galatolo (ORCID: https://orcid.org/0000-0003-3934-5412)
- Paolo Giulietti (ORCID: https://orcid.org/0000-0001-9604-1699)
- Franco Flandoli (ORCID: https://orcid.org/0000-0003-2837-3784)
- Sandro Vaienti
Institutions
- University of Pisa (IT)
- Centre National de la Recherche Scientifique (FR)
- Université de Toulon (FR)
- Scuola Normale Superiore (IT)
Publication Details
- Journal
- Communications in Mathematical Physics
- Published
- 2025-09-01
- DOI
- https://doi.org/10.1007/s00220-025-05385-4
- Citations
- 1
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 2.21
Funders
- Stanley Medical Research Institute
- Aix-Marseille Université
- Scuola Normale Superiore
- Istituto Nazionale di Alta Matematica "Francesco Severi"
- University of New South Wales
- Ministero dell’Istruzione, dell’Università e della Ricerca
- Centre National de la Recherche Scientifique