Extreme Value theory and Poisson statistics for discrete time samplings of stochastic differential equations
arxiv(2023)
摘要
We investigate the distribution and multiple occurrences of extreme events
stochastic processes constructed by sampling the solution of a Stochastic
Differential Equation on ℝ^n. We do so by studying the action of an
annealead transfer operators on ad-hoc spaces of probability 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.
更多查看译文
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要