A martingale approach to directed polymers in a random environment

The diffusive behavior for a system of directed polymers in a random environment was first rigorously discussed by Imbrie and Spencer, and then by Bolthausen. By means of some basic properties of martingales we extend some results due to Imbrie and Spencer concerning the asymptotic behaviour of the mean square displacement. We also obtain a Wiener process behaviour with probability one for this system. Bolthausen already used some martingale limit theorems to prove a central limit theorem for this system.Partly supported by AvH Foundation.     

Curious properties of simple random walks

A simple random walker on the line of integers shows remarkable similarities to relativistic particles.     

Boundary value problems in queueing theory

Recently complex function techniques have been developed for the analysis of queueing systems which need for their modelling a two dimensional state space. A variety of computer- and communication networks gives rise to such two-dimensional queueing systems and their analysis is needed for the performance evaluation of these aggregates. The present study reviews these developments     

Random walks on lattices. IV. Continuous-time walks and influence of absorbing boundaries

The general study of random walks on a lattice is developed further with emphasis on continuous-time walks with an asymmetric bias. Continuous time walks are characterized by random pauses between jumps, with a common pausing time distribution(t). An analytic solution in the form of an inverse Laplace transform for P(l, t), the probability of a walker being atl at timet if it started atl _o att=0, is obtained in the presence of completely absorbing boundaries. Numerical results for P(l, t) are presented for characteristically different (t), including one which leads to a non-Gaussian behavior for P(l, t) even for larget. Asymptotic results are obtained for the number of surviving walkers and the mean l showing the effect of the absorption at the boundary.This study was partially supported by ARPA and monitored by ONR(N00014-17-0308).     

q-Gaussians in the porous-medium equation: stability and time evolution

The stability of q-Gaussian distributions as particular solutions of the linear diffusion equation and its generalized nonlinear form, , the porous-medium equation, is investigated through both numerical and analytical approaches. An analysis of the kurtosis of the distributions strongly suggests that an initial q-Gaussian, characterized by an index q_i, approaches asymptotically the final, analytic solution of the porous-medium equation, characterized by an index q, in such a way that the relaxation rule for the kurtosis evolves in time according to a q-exponential, with a relaxation index q_rel ≡q_rel(q). In some cases, particularly when one attempts to transform an infinite-variance distribution (q_i ≥ 5/3) into a finite-variance one (q < 5/3), the relaxation towards the asymptotic solution may occur very slowly in time. This fact might shed some light on the slow relaxation, for some long-range-interacting many-body Hamiltonian systems, from long-standing quasi-stationary states to the ultimate thermal equilibrium state.     

On the exact asymptotic behaviour of the distribution of ladder epochs

Let T₊ denote the first increasing ladder epoch in a random walk with a typical step-length X. It is known that for a large class of random walks with E(X)=0,E(X²)=∞, and the right-hand tail of the distribution function of X asymptotically larger than the left-hand tail, $\text{P}\text{T}{}_{\mathrm{+}}\text{?n∽n}{}^{\mathrm{<mtext>1</mtext><mtext>\beta ?1</mtext>}}\text{L}{}_{\mathrm{+}}\text{(n)}$ as n→∞, with 1<β<2 and L₊ slowly varying, if and only if$\text{P}\text{{X?x}∽ 1/{x}{}^{\mathrm{\beta }}\text{L(x)}}$ as x→+∞, with L slowly varying. In this paper it is shown how the asymptotic behaviour of L determines the asymptotic behaviour of L₊ and vice versa. As a by-product, it follows that a certain class of random walks which are in the domain of attraction of one-sided stable laws is such that the down-going ladder height distribution has finite mean.     

Asymptotic properties of multistate random walks. I. Theory

A calculation is presented of the long-time behavior of various random walk properties (moments, probability of return to the origin, expected number of distinct sites visited) formultistate random walks on periodic lattices. In particular, we consider inhomogeneous periodic lattices, consisting of a periodically repeated unit cell which contains a finite number of internal states (sites). The results are identical to those for perfect lattices except for a renormalization of coefficients. For walks without drift, it is found that all the asymptotic random walk properties are determined by the diffusion coefficients for the multistate random walk. The diffusion coefficients can be obtained by a simple matrix algorithm presented here. Both discrete and continuous time random walks are considered. The results are not restricted to nearest-neighbor random walks but apply as long as the single-step probability distributions associated with each of the internal states have finite means and variances.     

Shortest expected delay routing for Erlang servers

The queueing problem with Poisson arrivals and two identical parallel Erlang servers is analyzed for the case of shortest expected delay routing. This problem may be represented as a random walk on the integer grid in the first quadrant of the plane. An important aspect of the random walk is that it is possible to make large jumps in the direction of the boundaries. This feature gives rise to complicated boundary behavior. Generating function approaches to analyze this type of random walk seem to be extremely complicated and have not been successful yet. The approach presented in this paper directly solves the equilibrium equations. It is shown that the equilibrium distribution of the random walk can be written as an infinite linear combination of products. This linear combination is constructed in a compensation procedure. The starting solutions for this procedure are found by solving the shortest expected delay problem with instantaneous jockeying. The results can be used for an efficient computation of performance criteria, such as the waiting time distribution and the moments of the waiting time and the queue lengths.     

Exact partition functions and correlation functions of multiple Hamiltonian walks on the Manhattan lattice

This is a general and exact study of multiple Hamiltonian walks (HAW) filling the two-dimensional (2D) Manhattan lattice. We generalize the original exact solution for a single HAW by Kasteleyn to a system ofmultiple closed walks, aimed at modeling a polymer melt. In 2D, two basic nonequivalent topological situations are distinguished. (1) the Hamiltonian loops are allrooted andcontractible to a point:adjacent one to another, and, on a torus,homotopic to zero. (2) the loops can encircle one another and, on a torus, canwind around it. Forcase 1, the grand canonical partition function and multiple correlation functions are calculated exactly as those of multiple rooted spanningtrees or of a massive 2Dfree field, critical at zero mass (zero fugacity). The conformally invariant continuum limit on a Manhattantorus is studied in detail. The melt entropy is calculated exactly. We also consider the relevant effect of free boundary conditions. The number of single HAWs on Manhattan lattices with other perimeter shapes (rectangular, Kagomé, triangular, and arbitrary) is studied and related to the spectral theory of the Dirichlet Laplacian. This allows the calculation of exact shape-dependent configuration exponents y. An exact surface critical exponent is obtained. Forcase 2, nested and winding Hamiltonian circuits are allowed. An exact equivalence to thecritical Q-state Potts model exists, whereQ ^1/2 is the walk fugacity. The Hamiltonian system is then always critical (forQ<-4). The exact critical exponents, in infinite numbers, are universal and identical to those of theO(n=Q ^1/2) model in its low-temperature phase, i.e. are those of dense polymers. The exact critical partition functions on the torus are given from conformai invariance theory. These models 1 and 2 yield the two first exactly solved models of polymer melts.