We study evolutionary models of financial markets. In particular, we study an evolutionary market model with short-lived assets and an evolutionary model with long-lived assets. In the long-lived asset market, investors are allowed to use general dynamic investment strategies. We find sufficient conditions for the Kelly portfolio rule to dominate the market exponentially fast. Moreover, when investors use simple strategies but have incorrect beliefs, we show that the strategy which is "closer" to the Kelly rule cannot be driven out of the market. This means that this strategy will either dominate or at least survive, i.e., the relative market share does not converge to zero. In the market with short-lived assets, we study the dynamics when the states of the world are not identically distributed. This marks the first attempt to study the dynamics of the market when the probability of success changes according to the relative shares of investors. In this problem, we first study a skew product of the random dynamical system associates with the market dynamics. In particular, we compute the Lyapunov exponents of the skew product. This enables us to produce a "surviving" investment strategy, i.e., the investor who follows this rule will dominate the market or at least survive. All the mathematical tools in the thesis lie within the framework of random dynamical systems.

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In nature animal species often exist in groups. We talk of insect swarms, flocks of birds, packs of lions, herds of wildebeest etc. These are characterised by individuals interacting by following their own rules, privy only to local information. Robotic swarms or simulations can be used explore such interactions. Mathematical formulations can be constructed that encode similar ideas and allow us to explore the emergent group behaviours. Some behaviours show characteristics reminiscent of the phenomena of criticality. A bird flock may show near instantaneous collective shifts in direction: velocity changes that appear to correlated over distances much larger individual separations. Here we examine swarm systems inspired by flocks of birds and the role played by criticality. The first system, Particle Swarm Optimisation (PSO), is shown to behave optimally when operating close to criticality. The presence of a critical point in the algorithm’s operation is shown to derive from the swarm’s properties as a random dynamical system. Empirical results demonstrate that the optimality lies on or near this point. A modified PSO algorithm is presented which uses measures of the swarm’s diversity as a feedback signal to adjust the behaviour of the swarm. This achieves a statistically balanced mixture of exploration and exploitation behaviours in the resultant swarm. The problems of stagnation and parameter tuning often encountered in PSO are automatically avoided. The second system, Swarm Chemistry, consists of heterogeneous particles combined with kinetic update rules. It is known that, depending upon the parametric configuration, numerous structures visually reminiscent of biological forms are found in this system. The parameter set discovered here results in a cell-division-like behaviour (in the sense of prokaryotic fission). Extensions to the swarm system produces a swarm that shows repeated cell division. As such, this model demonstrates a behaviour of interest to theories regarding the origin of life.

L'objet de cette thèse est le développement d'un cadre unifié pour étudier la régularité de certains éléments caractéristiques des dynamiques chaotiques (pression/entropie topologique, mesure de Gibbs, exposants de Lyapunov) par rapport à la dynamique elle même. Le principal problème technique est la perte de régularité venant de l'utilisation d'un opérateur de composition, l'opérateur de transfert, dont les propriétés spectrales sont intimement liées aux "éléments caractéristiques" ci-dessus. Pour surmonter ce problème, nous établissons un théorème de régularité par rapport aux paramètres pour des points fixes, dans un esprit proche du théorème des fonctions implicites de Nash Moser. Nous appliquons ensuite cette approche "point fixe" au problème de la réponse linéaire (régularité de la mesure invariante du système par rapport aux paramètres) pour une famille de dynamiques uniformément dilatantes. Dans un second temps, nous étudions la régularité du plus grand exposant de Lyapunov d'un produit aléatoire d'applications dilatantes, s'appuyant sur notre théorème de régularité et la théorie des contractions de cônes. Nous en déduisons la régularité par rapport aux paramètres de la mesure stationnaire, de la variance dans le théorème limite central, et d'autres quantités dynamiques d'intérêt. / The aim of this thesis is the development of a unified framework to study the regularity of certain characteristics elements of chaotic dynamics (Topological presure/entropy, Gibbs measure, Lyapunov exponents) with respect to the dynamic itself. The main technical issue is the regularity loss occuring from the use of a composition operator, the transfer operator, whose spectral properties are intimately connected to the aformentionned "characteristics elements". To overcome this issue, we developped a regularity theorem for fixed points (with respect to parameter), in the spirit of the implicit function theorem of Nash and Moser. We then apply this "fixed point" approach to the linear response problem (studying the regularity of the system invariant measure w.r.t parameters) for a family of uniformly expanding maps. In a second time, we study the regularity of the top characteristic exponent of a random prduct of expanding maps, building from our regularity theorem and cone contraction theory. We deduce from this regularity w.r.t parameters for the stationanry measure, the variance in the central limit theorem, and other quantities of dynamical interest.

In this dissertation we focus on the application of thermodynamic formalism to non-autonomous and random dynamical systems. Specifically we use the thermodynamic formalism to investigate the dimension of various fractal constructions via the, now standard, technique of Bowen which he developed in his 1979 paper on quasi-Fuchsian groups. Bowen showed, roughly speaking, that the dimension of a fractal is equal to the zero of the relevant topological pressure function. We generalize the results of Rempe-Gillen and Urbanski on non-autonomous iterated function systems to the setting of non-autonomous graph directed Markov systems and then show that the Hausdorff dimension of the fractal limit set is equal to the zero of the associated pressure function provided the size of the alphabets at each time step do not grow too quickly. In trying to remove these growth restrictions, we present several other systems for which Bowen's formula holds, most notably ascending systems. We then use these various constructions to investigate the Hausdorff dimension of various subsets of the Julia set for different large classes of transcendental meromorphic functions of finite order which have been perturbed non-autonomously. In particular we find lower and upper bounds for the dimension of the subset of the Julia set whose points escape to infinity, and in many cases we find the exact dimension. While the upper bound was known previously in the autonomous case, the lower bound was not known in this setting, and all of these results are new in the non-autonomous setting. We also use transfer operator techniques to prove an almost sure invariance principle for random dynamical systems for which the thermodynamical formalism has been well established. In particular, we see that if a system exhibits a fiberwise spectral gap property and the base dynamical system is sufficiently well behaved, i.e. it exhibits an exponential decay of correlations, then the almost sure invariance principle holds. We then apply these results to uniformly expanding random systems like those studied by Mayer, Skorulski, and Urbanski and Denker and Gordin.

In this dissertation, we first prove that for a random differential equation with the multiplicative driving noise constructed from a Q-Wiener process and the Wiener shift, which is an approximation to a stochastic evolution equation, there exists a unique solution that generates a local dynamical system. There also exist a local center, unstable, stable, centerunstable, center-stable manifold, and a local stable foliation, an unstable foliation on the center-unstable manifold, and a stable foliation on the center-stable manifold, the smoothness of which depend on the vector fields of the equation. In the second half of the dissertation, we show that any two arbitrary local center manifolds constructed as above are conjugate. We also show the same conjugacy result holds for a stochastic evolution equation with the multiplicative Stratonovich noise term as u â—¦ dW

The existence of pathwise stationary solutions of this stochastic partial differential equation (SPDE, for abbreviation) is demonstrated. In Part II, a connection between certain kind of state constrained controlled Forward-Backward Stochastic Differential Equations (FBSDEs) and Hamilton-Jacobi-Bellman equations (HJB equations) are demonstrated. The special case provides a probabilistic representation of some geometric flows, including the mean curvature flows. Part II includes also a probabilistic proof of the finite time existence of the mean curvature flows.

In this thesis the Lyapunov exponents of random dynamical systems are presented and investigated. The main results are: 1. In the space of all unbounded linear cocycles satisfying a certain integrability condition, we construct an open set of linear cocycles have simple Lyapunov spectrum and no exponential separation. Thus, unlike the bounded case, the exponential separation property is nongeneric in the space of unbounded cocycles. 2. The multiplicative ergodic theorem is established for random difference equations as well as random differential equations with random delay. 3. We provide a computational method for computing an invariant measure for infinite iterated functions systems as well as the Lyapunov exponents of products of random matrices. / In den vorliegenden Arbeit werden Lyapunov-Exponented für zufällige dynamische Systeme untersucht. Die Hauptresultate sind: 1. Im Raum aller unbeschränkten linearen Kozyklen, die eine gewisse Integrabilitätsbedingung erfüllen, konstruieren wir eine offene Menge linearer Kyzyklen, die einfaches Lyapunov-Spektrum besitzen und nicht exponentiell separiert sind. Im Gegensatz zum beschränkten Fall ist die Eingenschaft der exponentiellen Separiertheit nicht generisch in Raum der unbeschränkten Kozyklen. 2. Sowohl für zufällige Differenzengleichungen, als auch für zufällige Differentialgleichungen, mit zufälligem Delay wird ein multiplikatives Ergodentheorem bewiesen. 3.Eine algorithmisch implementierbare Methode wird entwickelt zur Berechnung von invarianten Maßen für unendliche iterierte Funktionensysteme und zur Berechnung von Lyapunov-Exponenten für Produkte von zufälligen Matrizen.

In this thesis the Lyapunov exponents of random dynamical systems are presented and investigated. The main results are: 1. In the space of all unbounded linear cocycles satisfying a certain integrability condition, we construct an open set of linear cocycles have simple Lyapunov spectrum and no exponential separation. Thus, unlike the bounded case, the exponential separation property is nongeneric in the space of unbounded cocycles. 2. The multiplicative ergodic theorem is established for random difference equations as well as random differential equations with random delay. 3. We provide a computational method for computing an invariant measure for infinite iterated functions systems as well as the Lyapunov exponents of products of random matrices. / In den vorliegenden Arbeit werden Lyapunov-Exponented für zufällige dynamische Systeme untersucht. Die Hauptresultate sind: 1. Im Raum aller unbeschränkten linearen Kozyklen, die eine gewisse Integrabilitätsbedingung erfüllen, konstruieren wir eine offene Menge linearer Kyzyklen, die einfaches Lyapunov-Spektrum besitzen und nicht exponentiell separiert sind. Im Gegensatz zum beschränkten Fall ist die Eingenschaft der exponentiellen Separiertheit nicht generisch in Raum der unbeschränkten Kozyklen. 2. Sowohl für zufällige Differenzengleichungen, als auch für zufällige Differentialgleichungen, mit zufälligem Delay wird ein multiplikatives Ergodentheorem bewiesen. 3.Eine algorithmisch implementierbare Methode wird entwickelt zur Berechnung von invarianten Maßen für unendliche iterierte Funktionensysteme und zur Berechnung von Lyapunov-Exponenten für Produkte von zufälligen Matrizen.

In this dissertation, we study the complicated dynamics of two classes of systems: Anosov systems driven by an external force and partially hyperbolic systems driven by an external force. For smooth Anosov systems driven by an external force, we first study the random specification property, which is on the approximation of an N−spaced arbitrary long finite random orbit segments within given precision by a random periodic point. We prove that if such system is topological mixing on fibers, then it has the random specification property. Furthermore, we prove that the homeomorphism induced by such a system on the space of random probability measures also has the specification property. We note that the random specification property implies the positivity of topological fiber entropy. Secondly, we show that if the system is topological mixing on fibers, then its past and future random correlation for Hölder observable functions decay exponentially with respect to the system and the unique random SRB measure. For smooth partially hyperbolic systems driven by an external force, we prove the existence of the random Gibbs u−state, which has absolutely continuous conditional measure on the strong unstable manifolds.