Modified Massive Arratia Flow and Wasserstein Diffusion

Extending previous work by the first author we present a variant of the Arratia flow, which consists of a collection of coalescing Brownian motions starting from every point of the unit interval. The important new feature of the model is that individual particles carry mass that aggregates upon coalescence and that scales the diffusivity of each particle in an inverse proportional way. In this work we relate the induced measure-valued process to the Wasserstein diffusion of von Renesse and Sturm. First, we present the process as a martingale solution to an SPDE similar to that of von Renesse and Sturm. Second, as our main result we show a Varadhan formula 42 for short times that is governed by the quadratic Wasserstein distance. © 2018 Wiley Periodicals, Inc.     

A superprocess involving both branching and coalescing

We consider a superprocess with coalescing Brownian spatial motion. We first point out a dual relationship between two systems of coalescing Brownian motions. In consequence we can express the Laplace functionals for the superprocess in terms of coalescing Brownian motions, which allows us to obtain some explicit results. We also point out several connections between such a superprocess and the Arratia flow. A more general model is discussed at the end of this paper.     

Large deviation for stochastic line integrals as L p -currents

The large deviation principle for stochastic line integrals along Brownian paths on a compact Riemannian manifold is studied. We regard them as a random map on a Sobolev space of 1-forms. We show that the differentiability order of the Sobolev space can be chosen to be almost independent of the dimension of the underlying space by assigning higher integrability on 1-forms. The large deviation is formulated for the joint distribution of stochastic line integrals and the empirical distribution of a Brownian path. As the result, the rate function is given explicitly.     

On some limit theorems related to the phase separation line in the two-dimensional ising model

Summary We prove that at low enough temperatures the phase separation line, when it is suitably normalized, converges almost surely in a suitable probability space to the path of a one-dimensional Brownian bridge. The convergence is in the sense of the distance between compact sets in [0, 1] ×R ¹.Dedicated to Professor Leopold Schmetterer on the occasion of his 60th birthday     

Path Collapse for an Inhomogeneous Random Walk

On an open interval we follow the paths of a Brownian motion which returns to a fixed point as soon as it reaches the boundary and restarts afresh indefinitely. We determine that two paths starting at different points either cannot collapse or they do so almost surely. The problem can be modelled as a spatially inhomogeneous random walk on a group and contrasts sharply with the higher dimensional case in that if two paths may collapse they do so almost surely.     

Kazhdan's Property (T) for the unitary group of aseparable Hilbert space

We show that the unitary group of a separable Hilbert space has Kazhdan's Property (T), when it is equipped with the strong operator topology. More precisely, for every integer m 2, we give an explicit Kazhdan set consisting of m unitary operators and determine an optimal Kazhdan constant for this set. Moreover, we show that a locally compact group with Kazhdan's Property (T) has a finite Kazhdan set if and only if its Bohr compactification has a finite Kazhdan set. As a consequence, if a locally compact group with Property (T) is minimally almost periodic, then it has a finite Kazhdan set.     

An Integral Test on Time-Dependent Local Extinction for Super-coalescing Brownian Motion with Lebesgue Initial Measure

This paper concerns the almost sure time-dependent local extinction behavior for super-coalescing Brownian motion X with (1+β)-stable branching and Lebesgue initial measure on ?. We first give a representation of X using excursions of a continuous-state branching process and Arratia’s coalescing Brownian flow. For any nonnegative, nondecreasing, and right-continuous function g, let $$\tau:=\sup\bigl\{t\geq0: X_t\bigl(\bigl[-g(t),g(t)\bigr]\bigr )>0 \bigr \}.$$ We prove that ?{τ=∞}=0 or 1 according as the integral $\int_{1}^{\infty}\! g(t)t^{-1-1/\beta} dt$ is finite or infinite.     

Coalescing Particles on an Interval

At time 0, we begin with a particle at each integer in [0, n]. At each positive integer time, one of the particles remaining in [1, n] is chosen at random and moved one to the left, coalescing with any particle that might already be there. How long does it take until all particles coalesce (at 0)?     

Global divergence of spatial coalescents

We study several fundamental properties of a class of stochastic processes called spatial Λ-coalescents. In these models, a number of particles perform independent random walks on some underlying graph G. In addition, particles on the same vertex merge randomly according to a given coalescing mechanism. A remarkable property of mean-field coalescent processes is that they may come down from infinity, meaning that, starting with an infinite number of particles, only a finite number remains after any positive amount of time, almost surely. We show here however that, in the spatial setting, on any infinite and bounded-degree graph, the total number of particles will always remain infinite at all times, almost surely. Moreover, if ${G\,=\,\mathbb{Z}^d}$ , and the coalescing mechanism is Kingman’s coalescent, then starting with N particles at the origin, the total number of particles remaining is of order (log* N) ^d at any fixed positive time (where log* is the inverse tower function). At sufficiently large times the total number of particles is of order (log* N) ^d-2, when d?>?2. We provide parallel results in the recurrent case d?=?2. The spatial Beta-coalescents behave similarly, where log log N is replacing log* N.     

Stochastic cohomology of Chen–Souriau and line bundle over the Brownian bridge

We define a stochastic cohomology theory related to a stochastic diffeology for the Hoelder loop space. We show that the stochastic de Rham cohomology groups are equal to the deterministic de Rham cohomology groups of the Hoelder loop space. As an application, we show that a stochastic line bundle over the Brownian bridge (with fiber almost surely defined) is isomorphic to a true line bundle over the Hoelder loop space. Received: 9 November 1998 / Revised version: 14 July 2000 / Published online: 26 April 2001     

How fast are the particles of super-Brownian motion?

In this paper we investigate fast particles in the range and support ofsuper-Brownian motion in the historical setting. In this setting eachparticle of super-Brownian motion alive at time t is represented by apath w:[0,t]→ℝ ^d and the state of historical super-Brownian motionis a measure on the set of paths. Typical particles have Brownian paths,however in the uncountable collection of particles in the range of asuper-Brownian motion there are some which at exceptional times movefaster than Brownian motion. We determine the maximal speed of allparticles during a given time period E, which turns out to be afunction of the packing dimension of E. A path w in the support ofhistorical super-Brownian motion at time t is called a-fast if . Wecalculate the Hausdorff dimension of the set of a-fast paths in thesupport and the range of historical super-Brownian motion. A valuabletool in the proofs is a uniform dimension formula for the Browniansnake, which reduces dimension problems in the space of stopped paths to dimension problems on the line. Received: 27 January 2000 / Revised version: 28 August 2000 / Published online: 24 July 2001     

The periodic points and the invariant set of an ϵ-contractive map

It is shown that the invariant set of an ϵ-contractive map f on a compact metric space X is the same as the set of periodic points of f. Furthermore, the set of periodic points of f is finite and, only assuming that X is locally compact, there is at most one periodic point in each component X. The theorems are applied to prove a known fixed-point theorem, a result concerning inverse limits, a result about periodic points of compositions, and a result showing that ϵ-contractive maps on continua are really contraction maps with a change in metric. It is shown that all our results hold for locally contractive maps on compact metric spaces.     

Lokalkreisförmige Vektorgruppen

We define locally circled vector groups as topological vector spaces over the discrete real or complex numberfield with a neighbourhoodbase of zero consisting of circled sets. Every topological vector space is a locally circled vector group. Topological vector groups and especially locally circled vector groups have useful applications to topological vector spaces and this paper is intended as an introduction to the theory of locally circled vector groups. Continuations including applications to topological vector spaces will follow. Here we study the structure of finite dimensional and locally compact vector groups, describe those locally circled vector groups which have a generating precompact circled set and finally prove some theorems about convex sets in these spaces.     

Perturbed Brownian motions

Summary. We study `perturbed Brownian motions', that can be, loosely speaking, described as follows: they behave exactly as linear Brownian motion except when they hit their past maximum or/and maximum where they get an extra `push'. We define with no restrictions on the perturbation parameters a process which has this property and show that its law is unique within a certain `natural class' of processes. In the case where both perturbations (at the maximum and at the minimum) are self-repelling, we show that in fact, more is true: Such a process can almost surely be constructed from Brownian paths by a one-to-one measurable transformation. This generalizes some results of Carmona-Petit-Yor and Davis. We also derive some fine properties of perturbed Brownian motions (Hausdorff dimension of points of monotonicity for example). Received: 17 May 1996 / In revised form: 21 January 1997     

Graph-like continua, augmenting arcs, and Menger’s theorem

We show that an adaptation of the augmenting path method for graphs proves Menger’s Theorem for wide classes of topological spaces. For example, it holds for locally compact, locally connected, metric spaces, as already known. The method lends itself particularly well to another class of spaces, namely the locally arcwise connected, hereditarily locally connected, metric spaces. Finally, it applies to every space where every point can be separated from every closed set not containing it by a finite set, in particular to every subspace of the Freudenthal compactification of a locally finite, connected graph. While closed subsets of such a space behave nicely in that they are compact and locally connected (and therefore locally arcwise connected), the general subspaces do not: They may be connected without being arcwise connected. Nevertheless, they satisfy Menger’s Theorem. This work was carried out while Antoine Vella was a Marie Curie Fellow at the Technical University of Denmark, as part of the research project TOPGRAPHS (Contract MEIF-CT-2005-009922), under the supervision of Carsten Thomassen.     

Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients

In traditional works on numerical schemes for solving stochastic differential equations (SDEs), the globally Lipschitz assumption is often assumed to ensure different types of convergence. In practice, this is often too strong a condition. Brownian motion driven SDEs used in applications sometimes have coefficients which are only Lipschitz on compact sets, but the paths of the SDE solutions can be arbitrarily large. In this paper, we prove convergence in probability and a weak convergence result under a less restrictive assumption, that is, locally Lipschitz and with no finite time explosion. We prove if a numerical scheme converges in probability uniformly on any compact time set (UCP) with a certain rate under a global Lipschitz condition, then the UCP with the same rate holds when a globally Lipschitz condition is replaced with a locally Lipschitz plus no finite explosion condition. For the Euler scheme, weak convergence of the error process is also established. The main contribution of this paper is the proof of $\sqrt{n}$ weak convergence of the normalized error process and the limit process is also provided. We further study the boundedness of the second moments of the weak limit process and its running supremum under both global Lipschitz and locally Lipschitz conditions.     

Rate of growth of the coalescent set in a coalescing stochastic flow

Consider an isotropic stochastic flow in R_d (i.e. a simultaneous random, correlated motion of all points in space), where d=l,2 or 3, such that the joint law of the motion of two particles allows the particles to meet and coalesce in finite time. The coalescent set J _t is a random subset of R_d consisting of the initial positions of particles which have coalesced by time t with the particle which started at 0. We show that the expected volume of J t grows at a rate proportional to when d=1, and at rates close to proportional to t/log t (resp. t) when d = 2 (resp. d=3). We give an example of a coalescing stochastic flow when d = 3. These results are analogous to growth rates of expected population size of a surviving type in the "invasion process" described by Clifford and Sudbury     

Typical Martingale Diverges at a Typical Point

We investigate convergence of martingales adapted to a given filtration of finite \(\sigma \)-algebras. To any such filtration, we associate a canonical metrizable compact space \(K\) such that martingales adapted to the filtration can be canonically represented on \(K\). We further show that (except for trivial cases) typical martingale diverges at a comeager subset of \(K\). ‘Typical martingale’ means a martingale from a comeager set in any of the standard spaces of martingales. In particular, we show that a typical \(L^1\)-bounded martingale of norm at most one converges almost surely to zero and has maximal possible oscillation on a comeager set.     

Critical branching Brownian motion with absorption: survival probability

We consider branching Brownian motion on the real line with absorption at zero, in which particles move according to independent Brownian motions with the critical drift of \(-\sqrt{2}\) . Kesten (Stoch Process 7:9–47, 1978) showed that almost surely this process eventually dies out. Here we obtain upper and lower bounds on the probability that the process survives until some large time \(t\) . These bounds improve upon results of Kesten (Stoch Process 7:9–47, 1978), and partially confirm nonrigorous predictions of Derrida and Simon (EPL 78:60006, 2007).     

Spectral localization for quantum Hamiltonians with weak random delta interaction

We consider a negative Laplacian in multi-dimensional Euclidean space (or a multi-dimensional layer) with a weak disorder random perturbation. The perturbation consists of a sum of lattice translates of a delta interaction supported on a compact manifold of co-dimension one and modulated by coupling constants, which are independent identically distributed random variables times a small disorder parameter. We establish that the spectrum of the considered operator is almost surely a fixed set, characterize its minimum, give an initial length scale estimate and the Wegner estimate, and conclude that there is a small zone of a pure point spectrum containing the almost sure spectral bottom. The length of this zone is proportional to the small disorder parameter.