Extreme value theory for moving average processes with light-tailed innovations

We consider stationary infinite moving average processes of the form $Y_n = \sum c_i Z_{n+i}$, where the sum ranges over the integers, (Z_i) is a sequence of iid random variables with ``light tails'' and (c_i) is a sequence of positive and summable coefficients. By light tails we mean that Z_0 has a bounded density $f(t)$ behaving asymptotically like $v(t) \exp (-g(t) )$, where v(t) behaves roughly like a constant as t goes to infinity, and g(t) is strictly convex satisfying certain asymptotic regularity conditions. We show that the iid sequence associated with Y_0 is in the maximum domain of attraction of the Gumbel distribution. Under additional regular variation conditions on g, it is shown that the stationary sequence (Y_n) has the same extremal behaviour as its associated iid sequence. This generalizes results of Rootz\'en (1986, 1987), where $g(t) = t^p$ and $v(t)=c t^d$ for p > 1, positive c and a real constant d

Non-Abelian Discrete Groups from the Breaking of Continuous Flavor Symmetries

We discuss the possibility of obtaining a non-abelian discrete flavor symmetry from an underlying continuous, possibly gauged, flavor symmetry SU(2) or SU(3) through spontaneous symmetry breaking. We consider all possible cases, where the continuous symmetry is broken by small representations. "Small" representations are these which couple at leading order to the Standard Model fermions transforming as two- or three-dimensional representations of the flavor group. We find that, given this limited representation content, the only non-abelian discrete group which can arise as a residual symmetry is the quaternion group D_2'.Comment: 15 page

Extremal behavior of stochastic volatility models

Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels. We investigate classical and non-classical stochastic volatility models with respect to their extreme behavior. We show that classical stochastic volatility models driven by Brownian motion can model heavy tails, but obviously they are not able to model volatility jumps. Such phenomena can be modelled by Levy driven volatility processes as, for instance, by Levy driven Ornstein-Uhlenbeck models. They can capture heavy tails and volatility jumps. Also volatility clusters can be found in such models, provided the driving Levy process has regularly varying tails. This results then in a volatility model with similarly heavy tails. As the last class of stochastic volatility models, we investigate a continuous time GARCH(1,1) model. Driven by an arbitrary Levy process it exhibits regularly varying tails, volatility upwards jumps and clusters on high levels

Saffman-Taylor instability in a non-Brownian suspension: finger selection and destabilization

We study the Saffman-Taylor instability in a non-Brownian suspension by injection of air. We find that flow structuration in the Hele-Shaw cell can be described by an effective viscosity depending on the volume fraction. When this viscosity is used to define the control parameter of the instability, the classical finger selection for Newtonian fluids is recovered. However, this picture breaks down when the cell thickness is decreased below approximatively 10 grain sizes. The discrete nature of the grains plays also a determinant role in the the early destabilization of the fingers observed. The grains produce a perturbation at the interface proportional to the grain size and can thus be considered as a "controlled noise". The finite amplitude instability mechanism proposed earlier by Bensimon et al. allows to link this perturbation to the actual values of the destabilization threshold.Comment: 4 pages, 4 figures, submitted to PR

Leptogenesis in models with keV sterile neutrino dark matter

We analyze leptogenesis in gauge extensions of the Standard Model with keV sterile neutrino dark matter. We find that both the observed dark matter abundance and the correct baryon asymmetry of the Universe can simultaneously emerge in these models. Both the dark matter abundance and the leptogenesis are controlled by the out of equilibrium decays of the same heavy right handed neutrino.Comment: 6 pages, 1 figur

Systematic approach to leptogenesis in nonequilibrium QFT: self-energy contribution to the CP-violating parameter

In the baryogenesis via leptogenesis scenario the self-energy contribution to the CP-violating parameter plays a very important role. Here, we calculate it in a simple toy model of leptogenesis using the Schwinger-Keldysh/Kadanoff-Baym formalism as starting point. We show that the formalism is free of the double-counting problem typical for the canonical Boltzmann approach. Within the toy model, medium effects increase the CP-violating parameter. In contrast to results obtained earlier in the framework of thermal field theory, the medium corrections are linear in the particle number densities. In the resonant regime quantum corrections lead to modified expressions for the CP-violating parameter and for the decay width. Most notably, in the maximal resonant regime the Boltzmann picture breaks down and an analysis in the full Kadanoff-Baym formalism is required.Comment: 28 pages, 14 figure