Explosion,implosion, and moments of passage times for continuous-time Markov chains: A semimartingale approach

We establish general theorems quantifying the notion of recurrence–through an estimation of the moments of passage times–for irreducible continuous-time Markov chains on countably infinite state spaces. Sharp conditions of occurrence of the phenomenon of explosion are also obtained. A new phenomenon of implosion is introduced and sharp conditions for its occurrence are proven. The general results are illustrated by treating models having a difficult behaviour even in discrete time.     

Large Deviations of Continuous Regular Conditional Probabilities

We study product regular conditional probabilities under measures of two coordinates with respect to the second coordinate that are weakly continuous on the support of the marginal of the second coordinate. Assuming that there exists a sequence of probability measures on the product space that satisfies a large deviation principle, we present necessary and sufficient conditions for the conditional probabilities under these measures to satisfy a large deviation principle. The arguments of these conditional probabilities are assumed to converge. A way to view regular conditional probabilities as a special case of product regular conditional probabilities is presented. This is used to derive conditions for large deviations of regular conditional probabilities. In addition, we derive a Sanov-type theorem for large deviations of the empirical distribution of the first coordinate conditioned on fixing the empirical distribution of the second coordinate.     

Some stochastic properties of “semi-magic” and “magic” Markov chains

Gustafson and Styan (Gustafson and Styan, Superstochastic matrices and Magic Markov chains, Linear Algebra Appl. 430 (2009) 2705-2715) examined the mathematical properties of superstochastic matrices, the transition matrices of “magic” Markov chains formed from scaled “magic squares”. This paper explores the main stochastic properties of such chains as well as “semi-magic” chains (with doubly-stochastic transition matrices). Stationary distribution, generalized inverses of Markovian kernels, mean first passage times, variances of the first passage times and expected times to mixing are considered. Some general results are developed, some observations from the chains generated by MATLAB are discussed, some conjectures are presented and some special cases, involving three and four states, are explored in detail.     

On the bidirectional vortex and other similarity solutions in spherical coordinates

The bidirectional vortex refers to the bipolar, coaxial swirling motion that can be triggered, for example, in cyclone separators and some liquid rocket engines with tangential aft-end injectors. In this study, we present an exact solution to describe the corresponding bulk motion in spherical coordinates. To do so, we examine both linear and nonlinear solutions of the momentum and vorticity transport equations in spherical coordinates. The assumption will be that of steady, incompressible, inviscid, rotational, and axisymmetric flow. We further relate the vorticity to some power of the stream function. At the outset, three possible types of similarity solutions are shown to fulfill the momentum equation. While the first type is incapable of satisfying the conditions for the bidirectional vortex, it can be used to accommodate other physical settings such as Hill’s vortex. This case is illustrated in the context of inviscid flow over a sphere. The second leads to a closed-form analytical expression that satisfies the boundary conditions for the bidirectional vortex in a straight cylinder. The third type is more general and provides multiple solutions. The spherical bidirectional vortex is derived using separation of variables and the method of variation of parameters. The three-pronged analysis presented here increases our repertoire of general mean flow solutions that rarely appear in spherical geometry. It is hoped that these special forms will permit extending the current approach to other complex fluid motions that are easier to capture using spherical coordinates.     

Isoperimetric Invariants For Product Markov Chains and Graph Products

Bounds on some isoperimetric constants of the Cartesian product of Markov chains are obtained in terms of related isoperimetric quantities of the individual chains.* Research supported in part by NSF Grants. Research supported by NSF Grant No. CCR-9503952 and DMS-9800351.     

An order-theoretic mixing condition for monotone Markov chains

We discuss the stability of discrete-time Markov chains satisfying monotonicity and an order-theoretic mixing condition that can be seen as an alternative to irreducibility. A chain satisfying these conditions has at most one stationary distribution. Moreover, if there is a stationary distribution, then the chain is stable in an order-theoretic sense.     

On geometric and algebraic transience for discrete-time Markov chains

General characterizations of ergodic Markov chains have been developed in considerable detail. In this paper, we study the transience for discrete-time Markov chains on general state spaces, including the geometric transience and algebraic transience. Criteria are presented through bounding the modified moment of the first return time and establishing the appropriate drift condition. Moreover, we apply the criteria to the random walk on the half line and the skip-free chain on nonnegative integers.     

Imprecise Markov chains with absorption

We consider convergence of Markov chains with uncertain parameters, known as imprecise Markov chains, which contain an absorbing state. We prove that under conditioning on non-absorption the imprecise conditional probabilities converge independently of the initial imprecise probability distribution if some regularity conditions are assumed. This is a generalisation of a known result from the classical theory of Markov chains by Darroch and Seneta [6].     

Distributed control for a class of non-Newtonian fluids

We consider control problems with a general cost functional where the state equations are the stationary, incompressible Navier-Stokes equations with shear-dependent viscosity. The equations are quasi-linear. The control function is given as the inhomogeneity of the momentum equation. In this paper, we study a general class of viscosity functions which correspond to shear-thinning or shear-thickening behavior. The basic results concerning existence, uniqueness, boundedness, and regularity of the solutions of the state equations are reviewed. The main topic of the paper is the proof of Gâteaux differentiability, which extends known results. It is shown that the derivative is the unique solution to a linearized equation. Moreover, necessary first-order optimality conditions are stated, and the existence of a solution of a class of control problems is shown.     

Long-term behaviour of a cyclic catalytic branching system

We investigate the long-term behaviour of a system of SDEs for d≥2 types, involving catalytic branching and mutation between types. In particular, we show that the overall sum of masses converges to zero but does not hit zero in finite time a.s. We shall then focus on the relative behaviour of types in the limit. We prove weak convergence to a unique stationary distribution that does not put mass on the set where at least one of the coordinates is zero. Finally, we provide a complete analysis of the case d=2.     

The cutoff phenomenon for Ehrenfest chains

We consider families of Ehrenfest chains and provide a simple criterion on the L^p$L^p$-cutoff and the L^p$L^p$-precutoff with specified initial states for 1≤p<∞$1\le p<\infty$. For the family with an L^p$L^p$-cutoff, a cutoff time is described and a possible window is given. For the family without an L^p$L^p$-precutoff, the exact order of the L^p$L^p$-mixing time is determined. The result is consistent with the well-known conjecture on cutoffs of Markov chains proposed by Peres in 2004, which says that a cutoff exists if and only if the multiplication of the spectral gap and the mixing time tends to infinity.     

A constructive generalised Goursat normal form

We provide necessary and sufficient conditions on the derived type of a vector field distribution V in order that it be locally equivalent to a partial prolongation of the contact distribution , on the 1st order jet bundle of maps from R to Rq, q?1. This result fully generalises the Goursat normal form from the theory of exterior differential systems. Our proof is constructive: it is proven that if V is locally equivalent to a partial prolongation of then the explicit construction of contact coordinates algorithmically depends upon the integration of a sequence of geometrically defined and algorithmically determined integrable Pfaffian systems on M. Though the tools required are rather different, our main theorem may be regarded as a generalisation of the work of R.B. Gardner and W.F. Shadwick on the feedback linearisation of autonomous nonlinear control systems.     

Stability of regime-switching diffusions

This work is devoted to stability of regime-switching diffusion processes. After presenting the formulation of regime-switching diffusions, the notion of stability is recalled, and necessary conditions for p$p$-stability are obtained. Then main results on stability and instability for systems arising in approximation are presented. Easily verifiable conditions are established. An example is examined as a demonstration. A remark on linear systems is also provided.     

Stationarity and geometric ergodicity of BEKK multivariate GARCH models

Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior of its support and that a certain matrix built from the GARCH coefficients has spectral radius smaller than one.To establish the results, semi-polynomial Markov chains are defined and analysed using algebraic geometry.     

Asymptotically one-dimensional diffusions on the Sierpinski gasket and theabc-gaskets

Summary Diffusion processes on the Sierpinski gasket and theabc-gaskets are constructed as limits of random walks. In terms of the associated renormalization group, the present method uses the inverse trajectories which converge to unstable fixed points corresponding to the random walks on one-dimensional chains. In particular, non-degenerate fixed points are unnecessary for the construction. A limit theorem related to the discrete-time multi-type non-stationary branching processes is applied.     

Markov processes associated with L p -resolvents and applications to stochastic differential equations on Hilbert space

We give general conditions on a generator of a C₀-semigroup (resp. of a C₀-resolvent) on L^p(E,μ), p ≥ 1, where E is an arbitrary (Lusin) topological space and μ a σ-finite measure on its Borel σ-algebra, so that it generates a sufficiently regular Markov process on E. We present a general method how these conditions can be checked in many situations. Applications to solve stochastic differential equations on Hilbert space in the sense of a martingale problem are given. Dedicated to Giuseppe Da Prato on the occasion of his 70th birthday     

A necessary and sufficient condition for noncertain extinction of a branching process in a random environment (BPRE)

It is known that a branching process in a random environment (BPRE) which is subcritical or critical either dies with probability one or, in the trivial case, corresponds to an immortal sterile population. In the supercritical case, various conditions are known to be necessary for noncertain extinction while other conditions are known to be sufficient. In this paper, a necessary and sufficient condition for noncertain extinction of a supercritical BPRE is given. In particular, it is shown that a supercritical BPRE has noncertain extinction if and only if there exists a random truncation, depending only on the environmental sequence, such that the truncated BPRE is supercritical and such that the sequence of truncation points grows more slowly than any exponential sequence.     

State-dependent Foster–Lyapunov criteria for subgeometric convergence of Markov chains

We consider a form of state-dependent drift condition for a general Markov chain, whereby the chain subsampled at some deterministic time satisfies a geometric Foster–Lyapunov condition. We present sufficient criteria for such a drift condition to exist, and use these to partially answer a question posed in Connor and Kendall (2007) [2] concerning the existence of so-called ‘tame’ Markov chains. Furthermore, we show that our ‘subsampled drift condition’ implies the existence of finite moments for the return time to a small set.     

Ornstein-Uhlenbeck operators and unitarizing measures in the Poincaré disk

We discuss in polar coordinates the relation between unitarizing measures and invariant measures for the Ornstein-Uhlenbeck operator in the Poincaré disk. Then we study the Ornstein-Uhlenbeck operator in terms of the vector fields of the modular representation.