Exponential chi squared distributions in infinite ergodic theory

We prove distributional limit theorems for random walk adic transformations obtaining ergodic distributional limits of exponential chi squared form.Comment: Keywords: Infinite ergodic theory, distributional convergence, random walk adic transformatio

Heavy tailed solutions of multivariate smoothing transforms

Let $N > 1$ be a fixed integer and $(C_1,..., C_N,Q)$ a random element of $GL(d, \R)^N x \R^d$. We consider solutions of multivariate smoothing transforms, i.e. random variables $R$ satisfying R \eqdist \sum_{i=1}^N C_i R_i +Q where \eqdist denotes equality in distribution, and $R, R_1,..., R_N$ are independent identically distributed $\R^d$-valued random variables, and independent of $(C_1,..., C_N, Q)$. We briefly review conditions for the existence of solutions, and then study their asymptotic behaviour. We show that under natural conditions, these solutions exhibit heavy tails. Our results also cover the case of complex valued weights $(C_1,..., C_N)$.Comment: 35 page

Symmetric spaces of higher rank do not admit differentiable compactifications

Any nonpositively curved symmetric space admits a topological compactification, namely the Hadamard compactification. For rank one spaces, this topological compactification can be endowed with a differentiable structure such that the action of the isometry group is differentiable. Moreover, the restriction of the action on the boundary leads to a flat model for some geometry (conformal, CR or quaternionic CR depending of the space). One can ask whether such a differentiable compactification exists for higher rank spaces, hopefully leading to some knew geometry to explore. In this paper we answer negatively.Comment: 13 pages, to appear in Mathematische Annale

Flag Structures on Seifert Manifolds

We consider faithful projective actions of a cocompact lattice of SL(2,R) on the projective plane, with the following property: there is a common fixed point, which is a saddle fixed point for every element of infinite order of the the group. Typical examples of such an action are linear actions, ie, when the action arises from a morphism of the group into GL(2,R), viewed as the group of linear transformations of a copy of the affine plane in RP^{2}. We prove that in the general situation, such an action is always topologically linearisable, and that the linearisation is Lipschitz if and only if it is projective. This result is obtained through the study of a certain family of flag structures on Seifert manifolds. As a corollary, we deduce some dynamical properties of the transversely affine flows obtained by deformations of horocyclic flows. In particular, these flows are not minimal.Comment: Published by Geometry and Topology at http://www.maths.warwick.ac.uk/gt/GTVol5/paper7.abs.htm

On the embeddability of certain infinitely divisible probability measures on Lie groups

We describe certain sufficient conditions for an infinitely divisible probability measure on a class of connected Lie groups to be embeddable in a continuous one-parameter convolution semigroup of probability measures. (Theorem 1.3). This enables us in particular to conclude the embeddability of all infinitely divisible probability measures on certain Lie groups, including the so called Walnut group (Corollary 1.5). The embeddability is concluded also under certain other conditions (Corollary 1.4 and Theorem 1.6).Comment: 24 page

Contracting automorphisms and L^p-cohomology in degree one

We characterize those Lie groups, and algebraic groups over a local field of characteristic zero, whose first reduced L^p-cohomology is zero for all p>1, extending a result of Pansu. As an application, we obtain a description of Gromov-hyperbolic groups among those groups. In particular we prove that any non-elementary Gromov-hyperbolic algebraic group over a non-Archimedean local field of zero characteristic is quasi-isometric to a 3-regular tree. We also extend the study to semidirect products of a general locally compact group by a cyclic group acting by contracting automorphisms.Comment: 27 pages, no figur

Exponential inequalities for martingales and asymptotic properties of the free energy of directed polymers in random environment

The objective of the present paper is to establish exponential large deviation inequalities, and to use them to show exponential concentration inequalities for the free energy of a polymer in general random environment, its rate of convergence, and an expression of its limit value in terms of those of some multiplicative cascades.Comment: 25 page

A local limit theorem for a transient chaotic walk in a frozen environment

This paper studies particle propagation in a one-dimensional inhomogeneous medium where the laws of motion are generated by chaotic and deterministic local maps. Assuming that the particle's initial location is random and uniformly distributed, this dynamical system can be reduced to a random walk in a one-dimensional inhomogeneous environment with a forbidden direction. Our main result is a local limit theorem which explains in detail why, in the long run, the random walk's probability mass function does not converge to a Gaussian density, although the corresponding limiting distribution over a coarser diffusive space scale is Gaussian.Comment: 26 pages, 2 figures. To appear in Stochastic Processes and their Application

Extreme values and fat tails of multifractal fluctuations

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 such data. We show that because of strong correlations, standard extreme value approach is not valid and classical tail exponent estimators should be interpreted cautiously. Extreme statistics associated with multifractal random processes turn out to be characterized by non self-averaging properties. Our considerations rely upon some analogy between random multiplicative cascades and the physics of disordered systems and also on recent mathematical results about the so-called multifractal formalism. Applied to financial time series, our findings allow us to propose an unified framemork that accounts for the observed multiscaling properties of return fluctuations, the volatility clustering phenomenon and the observed ``inverse cubic law'' of the return pdf tails

Convergence to stable laws for multidimensional stochastic recursions: the case of regular matrices

Given a sequence $(M_{n},Q_{n})_{n\ge 1}$ of i.i.d.\ random variables with generic copy $(M,Q) \in GL(d, \R) \times \R^d$, we consider the random difference equation (RDE) $$R_{n}=M_{n}R_{n-1}+Q_{n},$$ $n\ge 1$, and assume the existence of $\kappa >0$ such that \lim_{n \to \infty}(\E{\norm{M_1 ... M_n}^\kappa})^{\frac{1}{n}} = 1 . We prove, under suitable assumptions, that the sequence $S_n = R_1 + ... + R_n$, appropriately normalized, converges in law to a multidimensional stable distribution with index $\kappa$. As a by-product, we show that the unique stationary solution $R$ of the RDE is regularly varying with index $\kappa$, and give a precise description of its tail measure. This extends the prior work http://arxiv.org/abs/1009.1728v3 .Comment: 15 page