Random Measures and Applications

Abstract

A mapping Z(·) from a δ-ring ?₀(?) into the vector space of random variables L ^p (P) is a vector-valued measure if it is σ-additive in the metric of its range. It is a vector measure if the range is a Banach space and a random measure if also its values are independent on disjoint sets. An important reason for this study is to construct integrals relative to such Zs, which typically do not have finite variation. For this, it is essential to find a controlling (σ-finite) measure for Z that is not available if 0 <p < 1, and here the random measure is taken to be p-stable and utilize properties of infinitely divisible distributions. In the case of p = 2, Z(·) induces a bimeasure, and if p > 2 is an integer it induces a polymeasure, either of which need not be (signed) measures on product spaces. Important applications lead to all these possibilities. In all those cases, a detailed analysis of vector-valued set functions is presented, with special focus for the cases of 0 <p < 1 and p = 2 where probability and Bochner's L ^{2, 2} boundedness plays a key role. Specialization if Z is stationary, harmonizable, and/or isotropic are discussed using the group structure of ? ⁿ , n ≥ 1, extending it for an lca group G. If Z is Banach valued or a quasi-martingale measure, methods of obtaining integrals are outlined in the last section, and open problems motivated by applications are pointed out at various places.     

直线上的独立随机环境中可逗留的随机游动

主要讨论直线上独立随机环境中可逗留的随机游动的常返性和非常返性,并进一步研究常返性中的正常返和零常返.     

Bisexual Galton-Watson Branching Processes in Random Environments

In this paper, we consider a bisexual Galton-Watson branching process whose offspring probability distribution is controlled by a random environment proccss. Some results for the probability generating functions associated with the process are obtained and sufficient conditions for certain extinction and for non-certain extinction are established.     

Random Probability Measures with Given Mean and Variance

This article describes several natural methods of constructing random probability measures with prescribed mean and variance, and focuses mainly on a technique which constructs a sequence of simple (purely discrete, finite number of atoms) distributions with the prescribed mean and with variances which increase to the desired variance. Basic properties of the construction are established, including conditions guaranteeing full support of the generated measures, and conditions guaranteeing that the final measure is discrete. Finally, applications of the construction method to optimization problems such as Plackett's Problem are mentioned, and to experimental determination of average-optimal solutions of certain control problems.     

Probability Distribution of the Median Taken on Partial Sums of a Simple Random Walk

This article gives formulas for the probability distribution of the median taken on partial sums of a simple random walk. We also present an example in economics, where the median is interpreted as the price of a security in an informationally inefficient market.     

Random trees and general branching processes

We consider a tree that grows randomly in time. Each time a new vertex appears, it chooses exactly one of the existing vertices and attaches to it. The probability that the new vertex chooses vertex x is proportional to w(deg(x)), a weight function of the actual degree of x. The weight function w : ℕ → ℝ₊ is the parameter of the model. In 4 and 11 the authors derive the asymptotic degree distribution for a model that is equivalent to the special case, when the weight function is linear. The proof therein strongly relies on the linear choice of w. Using well‐established results from the theory of general branching processes we give the asymptotical degree distribution for a wide range of weight functions. Moreover, we provide the asymptotic distribution of the tree itself as seen from a randomly selected vertex. The latter approach gives greater insight to the limiting structure of the tree. Our proof is robust and we believe that the method may be used to answer several other questions related to the model. It relies on the fact that considering the evolution of the random tree in continuous time, the process may be viewed as a general branching process, this way classical results can be applied. © 2006 Wiley Periodicals, Inc. Random Struct. Alg., 2007     

随机环境中多物种分枝游动质点密度矩阵的极限分布

本文研究了随机环境中的多物种分枝游动于时刻k,位置x的质点密度矩阵序列{M~(k)(x)}k>1的极限分布。我们在证明了M~(k)(x),k>1,x∈Z是k个独立同分布的矩阵值随机元的乘积的基础上,主要证明了随机序列{logM_(ij)~(k)(x)}k>1依某种意义规范后是渐近正态的。     

Scaling exponents of random walks in random sceneries

We compute the exact asymptotic normalizations of random walks in random sceneries, for various null recurrent random walks to the nearest neighbours, and for i.i.d., centered and square integrable random sceneries. In each case, the standard deviation grows like n with . Here, the value of the exponent is determined by the sole geometry of the underlying graph, as opposed to previous examples, where this value reflected mainly the integrability properties of the steps of the walk, or of the scenery. For discrete Bessel processes of dimension d[0;2[, the exponent is . For the simple walk on some specific graphs, whose volume grows like n^d for d[1;2[, the exponent is =1−d/4. We build a null recurrent walk, for which without logarithmic correction. Last, for the simple walk on a critical Galton–Watson tree, conditioned by its nonextinction, the annealed exponent is . In that setting and when the scenery is i.i.d. by levels, the same result holds with .     

随机环境下上临界分值过程的偏差不等式

令$\{Z_{n}, n\ge 0\}$为独立同分布随机环境下的上临界分支过程$\xi=(\xi_n)_{n\geq 0}$.本文给出了$\ln (Z_{n+n_{0}}/Z_{n_{0}})$的一些偏差不等式及其在构造置信区间上的一些应用.     

随机环境中有界跳幅随机游动常返性暂留性的另一证明

假定环境是平稳遍历的,对具有有限跳幅的随机环境中的随机游动,该文给出了其常返性暂留性的另一证明.Bremont(2002)的文章中,通过计算逃逸概率的方法给出了证明,而该文的证明采用了鞅收敛定理的方法.     

关于随机环境中的马尔可夫过程的简介——纪念李国平院士吴新谋教授诞辰100周年

该文系统地介绍随机环境中的马尔可夫过程. 共4章, 第一章介绍依时的随机环境中的马尔可夫链(MCTRE), 包括MCTRE的存在性及等价描述; 状态分类; 遍历理论及不变测度; p-θ 链的中心极限定理和不变原理. 第二章介绍依时的随机环境中的马尔可夫过程(MPTRE), 包括MPTRE的基本概念; 随机环境中的q -过程存在唯一性; 时齐的q -过程;MPTRE的构造及等价性定理.第三章介绍依时的随机环境中的分枝链(MBCRE), 包括有限维的和无穷维的MBCRE的模型和基本概念; 它们的灭绝概念;两极分化; 增殖率等.第四章介绍依时依空的随机环境中的马尔可夫链(MCSTRE), 包括MCSTRE的基本概念、构造; 依时依空的随机环境中的随机徘徊(RWSTRE)的中心极限定理、不变原理.     

Branching random walks I

A general method is developed with which various theorems on the mean square convergence of functionals of branching random walks are proven. The results cover extensions and generalizations of classical central limit analogues as well as a result of a different type.     

Branching random walks II

A general method is developed with which various theorems on the mean square convergence of functionals of branching random walks are proven. The results cover extensions and generalizations of classical central limit analogues as well as a result of a different type.     

Symmetric Distributions of Random Measures in Higher Dimensions

An infinite sequence of random variables X=(X ₁, X ₂,...) is said to be spreadable if all subsequences of X have the same distribution. Ryll-Nardzewski showed that X is spreadable iff it is exchangeable. This result has been generalized to various discrete parameter and higher dimensional settings. In this paper we show that a random measure on the tetrahedral space is spreadable, iff it can be extended to an exchangeable random measure on . The result is a continuous parameter version of a theorem by Kallenberg.     

Random walks on random simple graphs

This paper looks at random regular simple graphs and considers nearest neighbor random walks on such graphs. This paper considers walks where the degree d of each vertex is around (log n)^a where a is a constant which is at least 2 and where n is the number of vertices. By extending techniques of Dou, this paper shows that for most such graphs, the position of the random walk becomes close to uniformly distributed after slightly more than log n/log d steps. This paper also gets similar results for the random graph G(n, p), where p = d/(n − 1). © 1996 John Wiley & Sons, Inc.     

Random Lazy Random Walks on Arbitrary Finite Groups

This paper considers lazy random walks supported on a random subset of k elements of a finite group G with order n. If k=a log₂ n where a>1 is constant, then most such walks take no more than a multiple of log₂ n steps to get close to uniformly distributed on G. If k=log₂ n+f(n) where f(n) and f(n)/log₂ n0 as n, then most such walks take no more than a multiple of (log₂ n) ln(log₂ n) steps to get close to uniformly distributed. To get these results, this paper extends techniques of Erdös and Rényi and of Pak.     

半直线上的独立随机环境中可逗留的随机游动

主要研究了在随机环境独立的情况下,右半直线上随机环境中可逗留的随机游动的常返性和非常返性.     

Products of Random Rectangular Matrices

We study the asymptotic behaviour of points under matrix cocyles generated by rectangular matrices. In particular we prove a random Perron‐Frobenius and a Multiplicative Ergodic Theorem. We also provide an example where such products of random rectangular matrices arise in the theory of random walks in random environments and where the Multiplicative Ergodic Theorem can be used to investigate recurrence problems.     

平移不变的随机串测度

利用围道估计的方法，刻划在相变点处的平移不变随机串测度，证明了：对二维以上情况，当口充分大时，在临界点处，平移不变随机串测度有且只有两个极点，也即任一平移不变随机串测度都是这两个极点的凸组合．