A Driven Tagged Particle in Symmetric Exclusion Processes with Removals

We consider a driven tagged particle in a symmetric exclusion process on ℤ with a removal rule. In this process, untagged particles are removed once they jump to the left of the tagged particle. We investigate the behavior of the displacement of the tagged particle and prove limit theorems of it: an (annealed) law of large numbers, a central limit theorem, and a large deviation principle. We also characterize a class of ergodic measures for the environment process. Our approach is based on analyzing two auxiliary processes with associated martingales and a regenerative structure. © 2020 Wiley Periodicals LLC     

Asymptotic behavior of a tagged particle in simple exclusion processes

We review in this article central limit theorems for a tagged particle in the simple exclusion process. In the first two sections we present a general method to prove central limit theorems for additive functional of Markov processes. These results are then applied to the case of a tagged particle in the exclusion process. Related questions, such as smoothness of the diffusion coefficient and finite dimensional approximations, are considered in the last section.     

Non-Markovianity of the Boltzmann-Grad limit of a system of random obstacles in a given force field

In this paper we consider a particle moving in a random distribution of obstacles. Each obstacle is absorbing and a fixed force field is imposed. We show rigorously that certain (very smooth) fields prevent the process obtained by the Boltzmann-Grad limit from being Markovian. Then, we propose a slightly different setting which allows this difficulty to be removed.     

Nonequilibrium fluctuations for a tagged particle in mean-zero one-dimensional zero-range processes

We prove a non-equilibrium functional central limit theorem for the position of a tagged particle in mean-zero one-dimensional zero-range process. The asymptotic behavior of the tagged particle is described by a stochastic differential equation governed by the solution of the hydrodynamic equation.     

On particle transport processes: A potential theoretic approach

This article provides a potential theoretic approach to the study of particle transport stochastic processes (x ( t,w) ,Y (t ?L?:) ) where x i t ) is the temporal evolution of a non-Plarkovian particle motion and y (t) is a Markovian physical process in the medium that governs the scattering or jump of the particle.As opposed to the perturbation technique, our approach immensely enhances the applicatory value of transport processes. We begin with a sample path construction of a transport process and continue with the existence ofcertain invariant measures. Expressing the particle motion x(t) as an additive functional of the transport process (x(t),y(t)), we establish a law of large number and a functional centxal limit theorem,(a Brownian motion approximation),for the non-Markovian particle motion.     

A constructive approach to Euler hydrodynamics for attractive processes. Application to k-step exclusion

We derive by a constructive method the hydrodynamic behavior of attractive processes with irreducible jumps and product invariant measures. Our approach relies on (i) explicit construction of Riemann solutions without assuming convexity, which may lead to contact discontinuities and (ii) a general result which proves that the hydrodynamic limit for Riemann initial profiles implies the same for general initial profiles. The k-step exclusion process provides a simple example. We also give a law of large numbers for the tagged particle in a nearest neighbor asymmetric k-step exclusion process.     

马氏环境中可数马氏链的Poisson极限率

研究了马氏环境中的可数马氏链,主要证明了过程于小柱集上的回返次数是渐近地服从Poisson分布。为此,引入熵函数h,首先给出了马氏环境中马氏链的Shannon-Mc Millan-Breiman定理,还给出了一个非马氏过程Posson逼近的例子。当环境过程退化为一常数序列时,便得到可数马氏链的Poisson极限定理。这是有限马氏链Pitskel相应结果的拓广。     

On laws of large numbers for systems with mean-field interactions and Markovian switching

Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled by a continuous-time Markov chain. Different from the usual switching diffusions, the systems include mean-field interactions. Our effort is devoted to obtaining laws of large numbers for the underlying systems. One of the distinct features of the paper is the limit of the empirical measures is not deterministic but a random measure depending on the history of the Markovian switching process. A main difficulty is that the standard martingale approach cannot be used to characterize the limit because of the coupling due to the random switching process. In this paper, in contrast to the classical approach, the limit is characterized as the conditional distribution (given the history of the switching process) of the solution to a stochastic McKean–Vlasov differential equation with Markovian switching.     

Limit theorems for the position of a tagged particle in the stirring-exclusion process

Stirring-exclusion processes are exclusion processes with particles being stirred. We investigate a tagged particle among a Bernoulli product environment measure on the lattice ?d.We show the strong law of large numbers and the central limit theorem for the tagged particle. The proof of the central limit theorem is based on the method of martingale decomposition with a sector condition.     

Light traffic in a cellular system with mobile subscribers and its applications

This paper is concerned with a cellular system with mobile subscribers (customers). This system consists of a cell, called the tagged cell, and its adjacent cells. Each cell has some finite number of channels. The sojourn times of customers in the tagged cell have an exponential distribution. Customers in the adjacent cells move to the tagged cell according to a Poisson process whose rate depends on the number of customers in the tagged cell. Each customer without call in progress generates his call according to an exponential distribution and the channel holding times of calls at each cell have a common exponential distribution. We first show that under some restriction, the light traffic limit for the stationary state distribution in the tagged cell is given by a mixture of a Poisson and binominal distributions. Based on the limit, we develop formulae for evaluating the hand-off and blocking probabilities and the mean number of busy channels in the tagged cell. Several numerical examples are presented that demonstrate the practical usefulness of the formulae.     

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??The local limit theorems for the minimum of a random walk with Markovian increments is given, with using Presman's factorization theory. This result implies the asymptotic behaviour of the survival probability for a critical branching process in Markovian depended random environment.     

Nonequilibrium scaling limit for a tagged particle in the simple exclusion process with long jumps

We prove an invariance principle for a tagged particle in a simple exclusion process with long jumps out of equilibrium. © 2008 Wiley Periodicals, Inc.     

Distributions of a particle’s position and their asymptotics in the q-deformed totally asymmetric zero range process with site dependent jumping rates

In this paper we study the probability distribution of the position of a tagged particle in the $q$-deformed Totally Asymmetric Zero Range Process ($q$-TAZRP) with site dependent jumping rates. For a finite particle system, it is derived from the transition probability previously obtained by Wang and Waugh. We also provide the probability distribution formula for a tagged particle in the $q$-TAZRP with the so-called step initial condition in which infinitely many particles occupy one single site and all other sites are unoccupied. For the $q$-TAZRP with step initial condition, we provide a Fredholm determinant representation for the probability distribution function of the position of a tagged particle, and moreover we obtain the limiting distribution function as the time goes to infinity. Our asymptotic result for $q$-TAZRP with step initial condition is comparable to the limiting distribution function obtained by Tracy and Widom for the $k$th leftmost particle in the asymmetric simple exclusion process with step initial condition (Theorem 2 in Tracy and Widom (2009)).     

Positivity of the self-diffusion matrix of interacting Brownian particles with hard core

We prove the positivity of the self-diffusion matrix of interacting Brownian particles with hard core when the dimension of the space is greater than or equal to 2. Here the self-diffusion matrix is a coefficient matrix of the diffusive limit of a tagged particle. We will do this for all activities, z>0, of Gibbs measures; in particular, for large z– the case of high density particles. A typical example of such a particle system is an infinite amount of hard core Brownian balls. Received: 22 September 1997 / Revised version: 15 January 1998     

Finite buffer vacation models under E-limited with limit variation service and Markovian arrival process

We consider a finite-buffer single server queue with single (multiple) vacation(s) and Markovian arrival process. The service discipline is E-limited with limit variation (ELV). Several other service disciplines like, Bernoulli scheduling, nonexhaustive and E-limited service can be treated as special cases of the ELV service.     

Linear Kalman–Bucy Filter with Autoregressive Signal and Noise

In the Kalman—Bucy filter problem, the observed process consists of the sum of a signal and a noise. The filtration begins at the same moment as the observation process and it is necessary to estimate the signal. As a rule, this problem is studied for the scalar and vector Markovian processes. In this paper, the scalar linear problem is considered for the system in which the signal and noise are not Markovian processes. The signal and noise are independent stationary autoregressive processes with orders of magnitude higher than 1. The recurrent equations for the filter process, its error, and its conditional cross correlations are derived. These recurrent equations use previously found estimates and some last observed data. The optimal definition of the initial data is proposed. The algebraic equations for the limit values of the filter error (the variance) and cross correlations are found. The roots of these equations make possible the conclusions concerning the criterion of the filter process convergence. Some examples in which the filter process converges and does not converge are given. The Monte Carlo method is used to control the theoretical formulas for the filter and its error.     

Perturbation Theory for the Asymptotic Decay Rates in the Queues with Markovian Arrival Process and/or Markovian Service Process

Three kinds of queues with Markovian arrival process and/or Markovian service process, are considered in this paper. In great generality, their basic steady-state distributions have asymptotically exponential tails. We investigate the sensitivity of these asymptotic decay rates to the small entrywise perturbations in the parameter matrices of the Markovian arrival process.     

Transition phenomena for a Galton-Watson process with immigration in a Markovian environment

The behavior of a Galton-Watson process with state-dependent immigration in a Markovian random environment is investigated. We obtain a limit theorem in the near-critical case. Proceedings of the XVII Seminar on Stability Problems for Stochastic Models, Kazan, Russia, 1995, Part II.     

Asymptotics of particle trajectories in infinite one-dimensional systems with collisions

We investigate the asymptotic behavior of the trajectories of a tagged particle (tp) in an infinite one-dimensional system of point particles. The particles move independently when not in contact: the only interactions are Harris type generalized elastic collisions which prevent crossings. This is achieved by relabeling the independent trajectories when they cross. When these trajectories are differentiable, as in particles with velocities undergoing Ornstein-Uhlenbeck processes, collisions correspond to exchange of velocities. We prove very generally that the suitably scaled tp trajectory converges (weakly) to a simple Gaussian process. This extends the results of Spitzer for New tonian particles to very general non-crossing processes. The proof is based on the consideration of the simpler process which counts the crossings of the origin by the independent trajectories.     

Continuous Limits of Classical Repeated Interaction Systems

We consider the physical model of a classical mechanical system (called “small system”) undergoing repeated interactions with a chain of identical small pieces (called “environment”). This physical setup constitutes an advantageous way of implementing dissipation for classical systems; it is at the same time Hamiltonian and Markovian. This kind of model has already been studied in the context of quantum mechanical systems, where it was shown to give rise to quantum Langevin equations in the limit of continuous time interactions (Attal and Pautrat in Ann Henri Poincaré 7:59–104, 2006), but it has never been considered for classical mechanical systems yet. The aim of this article is to compute the continuous limit of repeated interactions for classical systems and to prove that they give rise to particular stochastic differential equations (SDEs) in the limit. In particular, we recover the usual Langevin equations associated with the action of heat baths. In order to obtain these results, we consider the discrete-time dynamical system induced by Hamilton’s equations and the repeated interactions. We embed it into a continuous-time dynamical system and compute the limit when the time step goes to 0. This way, we obtain a discrete-time approximation of SDE, considered as a deterministic dynamical system on the Wiener space, which is not exactly of the usual Euler scheme type. We prove the L ^p and almost sure convergence of this scheme. We end up with applications to concrete physical examples such as a charged particle in a uniform electric field or a harmonic interaction. We obtain the usual Langevin equation for the action of a heat bath when considering a damped harmonic oscillator as the small system.