Convergence of marked point processes of excesses for dynamical systems

• Tipo: Artigo em Revista Científica Internacional
• Data: 2018

Autores

Ana Cristina Moreira Freitas (Autor) FEP; Jorge Milhazes Freitas (Autor) FCUP; Magalhaes, M (Autor) Outra

Revista

Título: Journal of the European Mathematical Society

Vol. 20

Páginas: 2131-2179

ISSN: 1435-9855

Editora: European Mathematical Society Publishing House

Indexação

ISI Web of Knowledge - 8 Citações

Scopus - 8 Citações

Outras Informações

ID Authenticus: P-00P-DVQ

DOI: 10.4171/jems/808

Abstract (EN): We consider stochastic processes arising from dynamical systems simply by evaluating an observable function along the orbits of the system and study marked point processes associated to extremal observations of such time series corresponding to exceedances of high thresholds. Each exceedance is marked by a quantity intended to measure the severity of the exceedance. In particular, we consider marked point processes measuring the aggregate damage by adding all the excesses over the threshold that mark each exceedance (AOT) or simply by adding the largest excesses in a cluster of exceedances (POT). We provide conditions for the convergence of such marked point processes to a compound Poisson process, for whose multiplicity distribution we give an explicit formula. These conditions are shown to follow from a strong form of decay of correlations of the system. Moreover, we prove that the convergence of the marked point processes for a 'nice' first return induced map can be carried over to the original system. The systems considered include non-uniformly expanding maps (in one or higher dimensions) and maps with intermittent fixed points or non-recurrent critical points. For a general class of examples, the compound Poisson limit process is computed explicitly, and in particular in the POT case we obtain a generalised Pareto multiplicity distribution.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 49