Exit Times from Equilateral Triangles

In this paper we obtain a closed form expression of the expected exit time of a Brownian motion from equilateral triangles. We consider first the analogous problem for a symmetric random walk on the triangular lattice and show that it is equivalent to the ruin problem of an appropriate three player game. A suitable scaling of this random walk allows us to exhibit explicitly the relation between the respective exit times. This gives us the solution of the related Poisson equation.     

Multiscale analysis of exit distributions for random walks in random environments

We present a multiscale analysis for the exit measures from large balls in , of random walks in certain i.i.d. random environments which are small perturbations of the fixed environment corresponding to simple random walk. Our main assumption is an isotropy assumption on the law of the environment, introduced by Bricmont and Kupiainen. Under this assumption, we prove that the exit measure of the random walk in a random environment from a large ball, approaches the exit measure of a simple random walk from the same ball, in the sense that the variational distance between smoothed versions of these measures converges to zero. We also prove the transience of the random walk in random environment. The analysis is based on propagating estimates on the variational distance between the exit measure of the random walk in random environment and that of simple random walk, in addition to estimates on the variational distance between smoothed versions of these quantities. Partially supported by NSF grant DMS-0503775.     

Two-boundary problems for a random walk

We solve main two-boundary problems for a random walk. The generating function of the joint distribution of the first exit time of a random walk from an interval and the value of the overshoot of the random walk over the boundary at exit time is determined. We also determine the generating function of the joint distribution of the first entrance time of a random walk to an interval and the value of the random walk at this time. The distributions of the supremum, infimum, and value of a random walk and the number of upward and downward crossings of an interval by a random walk are determined on a geometrically distributed time interval. We give examples of application of obtained results to a random walk with one-sided exponentially distributed jumps. __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 11, pp. 1485–1509, November, 2007.     

Isoperimetric Inequalities for Random Walks

In this paper some isoperimetric problems are studied, particularly the extremal property of the mean exit time of the random walk from finite sets. This isoperimetric problem is inserted into the set of equivalent conditions of the diagonal upper estimate of transition probability of random walks on weighted graphs.     

Simulation of exit times and positions for Brownian motions and Diffusions

We present in this note some variations of the Monte Carlo method for the random walk on spheres which allow to solve many elliptic and parabolic problems involving the Laplace operator or second-order differential operators. In these methods, the spheres are replaced by rectangles or parallelepipeds. Our first method constructs the exit time and the exit position of a rectangle for a Brownian motion. The second method exhibits a variance reduction technique. The main point is to reduce the problem only to the use of some distributions related to the standard one-dimensional Brownian motion. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Scaling limits of coupled continuous time random walks and residual order statistics through marked point processes

A continuous time random walk (CTRW) is a random walk in which both spatial changes represented by jumps and waiting times between the jumps are random. The CTRW is coupled if a jump and its preceding or following waiting time are dependent random variables (r.v.), respectively. The aim of this paper is to explain the occurrence of different limit processes for CTRWs with forward- or backward-coupling in Straka and Henry (2011) [37] using marked point processes. We also establish a series representation for the different limits. The methods used also allow us to solve an open problem concerning residual order statistics by LePage (1981) [20].     

Approximation of the expectation of the first exit time from an interval for a random walk

We obtain asymptotic expansions for the expectation of the first exit time from an expanding strip for a random walk trajectory. We suppose that the distribution of random walk jumps satisfies the Cramér condition on the existence of an exponential moment.     

A stopping rule for choosing the best of three coins

A recently proposed stopping rule for choosing the best of three coins is presented as the first exit time from a certain polygonal region by a two-dimensional random walk. A diffusion approximation to the expected value of this exit time is developed, using techniques of conformal mapping. An algebraic method for calculating the exact value of this expectation is also described.     

On the distribution of the first exit time and overshoot in a two-sided boundary crossing problem

We consider a random walk generated by a sequence of independent identically distributed random variables. We assume that the distribution function of a jump of the random walk equals an exponential polynomial on the negative half-axis. For double transforms of the joint distribution of the first exit time from an interval and overshoot, we obtain explicit expressions depending on finitely many parameters that, in turn, we can derive from the system of linear equations. The principal difference of the present article from similar results in this direction is the rejection of using factorization components and projection operators connected with them.     

Lower bounds for transition probabilities on graphs

The paper presents two results. The first one provides separate conditions for the upper and lower estimates of the distribution of the time of exit from balls of a random walk on a weighted graph. The main result of the paper is that the lower estimate follows from the elliptic Harnack inequality. The second result is an off-diagonal lower bound for the transition probability of the random walk.     

A continuity theorem in the ruin problem

For a random walk, we prove a continuity theorem for the exit time from a strip containing the abscissa axis, including the case of the exit time from a strip through an a priori chosen boundary. In particular, we compute the ruin probabilities for two classes of centered distributions.     

The Distribution of the Sojourn Time for the Brownian Excursion

The solutions of various problems in the theories of queuing processes, branching processes, random graphs and others require the determination of the distribution of the sojourn time (occupation time) for the Brownian excursion. However, no standard method is available to solve this problem. In this paper we approximate the Brownian excursion by a suitably chosen random walk process and determine the moments of the sojourn time explicitly. By using a limiting approach, we obtain the corresponding moments for the Brownian excursion. The moments uniquely determine the distribution, enabling us to derive an explicit formula.     

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.     

Random walks on trees

The classical gambler's ruin problem, i.e., a random walk along a line may be viewed graph theoretically as a random walk along a path with the endpoints as absorbing states. This paper is an investigation of the natural generalization of this problem to that of a particle walking randomly on a tree with the endpoints as absorbing barriers. Expressions in terms of the graph structure are obtained from the probability of absorption at an endpoint e in a walk originating from a vertex v, as well as for the expected length of the walk.     

Brownian Optimal Stopping and Random Walks

One way to compute the value function of an optimal stopping problem along Brownian paths consists of approximating Brownian motion by a random walk. We derive error estimates for this type of approximation under various assumptions on the distribution of the approximating random walk.     

Brownian Optimal Stopping and Random Walks

One way to compute the value function of an optimal stopping problem along Brownian paths consists of approximating Brownian motion by a random walk. We derive error estimates for this type of approximation under various assumptions on the distribution of the approximating random walk.     

Effective Polynomial Ballisticity Conditions for Random Walk in Random Environment

The conditions (T)_γ, γ ? (0,1), which were introduced by Sznitman in 2002, have had a significant impact on research in random walk in a random environment. Among others, these conditions entail a ballistic behavior as well as an invariance principle. They require the stretched exponential decay of certain slab exit probabilities for the random walk under the averaged measure and are asymptotic in nature. The main goal of this paper is to show that in all relevant dimensions (i.e., d ≥ 2), in order to establish the conditions (T)_γ, it is actually enough to check a corresponding condition (??) of polynomial type. In addition to only requiring an a priori weaker decay of the corresponding slab exit probabilities than (T)_γ, another advantage of the condition (??) is that it is effective in the sense that it can be checked on finite boxes. In particular, this extends the conjectured equivalence of the conditions (T)_γ, γ ? (0,1), to all relevant dimensions. © 2014 Wiley Periodicals, Inc.     

Random walks in cones: The case of nonzero drift

We consider multidimensional discrete valued random walks with nonzero drift killed when leaving general cones of the euclidean space. We find the asymptotics for the exit time from the cone and study weak convergence of the process conditioned on not leaving the cone. We get quasistationarity of its limiting distribution. Finally we construct a version of the random walk conditioned to never leave the cone.     

A Random Walk on Rectangles Algorithm

In this article, we introduce an algorithm that simulates efficiently the first exit time and position from a rectangle (or a parallelepiped) for a Brownian motion that starts at any point inside. This method provides an exact way to simulate the first exit time and position from any polygonal domain and then to solve some Dirichlet problems, whatever the dimension. This method can be used as a replacement or complement of the method of the random walk on spheres and can be easily adapted to deal with Neumann boundary conditions or Brownian motion with a constant drift. AMS 2000 Subject Classification 60C05, 65N     

A hybridized tabu search approach for the minimum weight vertex cover problem

The minimum weight vertex cover problem is a basic combinatorial optimization problem defined as follows. Given an undirected graph and positive weights for all vertices the objective is to determine a subset of the vertices which covers all edges such that the sum of the related cost values is minimized. In this paper we apply a modified reactive tabu search approach for solving the problem. While the initial concept of reactive tabu search involves a random walk we propose to replace this random walk by a controlled simulated annealing. Numerical results are presented outperforming previous metaheuristic approaches in most cases.