Brownian analogues of Burke's theorem

We discuss Brownian analogues of a celebrated theorem, due to Burke, which states that the output of a (stable, stationary) M/M/1 queue is Poisson, and the related notion of quasireversibility. A direct analogue of Burke's theorem for the Brownian queue was stated and proved by Harrison (Brownian Motion and Stochastic Flow Systems, Wiley, New York, 1985). We present several different proofs of this and related results. We also present an analogous result for geometric functionals of Brownian motion. By considering series of queues in tandem, these theorems can be applied to a certain class of directed percolation and directed polymer models. It was recently discovered that there is a connection between this directed percolation model and the GUE random matrix ensemble. We extend and give a direct proof of this connection in the two-dimensional case. In all of the above, reversibility plays a key role.     

Sublinear Variance for Directed Last-Passage Percolation

A range of first-passage percolation type models are believed to demonstrate the related properties of sublinear variance and superdiffusivity. We show that directed last-passage percolation with Gaussian vertex weights has a sublinear variance property. We also consider other vertex weight distributions. Corresponding results are obtained for the ground state of the ??directed polymers in a random environment?? model.     

Attractiveness of Brownian queues in tandem

Consider a sequence of n bi-infinite and stationary Brownian queues in tandem. Assume that the arrival process entering the first queue is a zero mean ergodic process. We prove that the departure process from the n-th queue converges in distribution to a Brownian motion as n goes to infinity. In particular this implies that the Brownian motion is an attractive invariant measure for the Brownian queueing operator. Our proof exploits the relationship between Brownian queues in tandem and the last-passage Brownian percolation model, developing a coupling technique in the second setting. The result is also interpreted in the related context of Brownian particles acting under one-sided reflection.

     

On the local fluctuations of last-passage percolation models

Using the fact that the Airy process describes the limiting fluctuations of the Hammersley last-passage percolation model, we prove that it behaves locally like a Brownian motion. Our method is quite straightforward, and it is based on a certain monotonicity and good control over the equilibrium measures of the Hammersley model (local comparison).     

Concentration for multidimensional diffusions and their boundary local times

We prove that probability laws of certain multidimensional semimartingales which includes time-inhomogenous diffusions, under suitable assumptions, satisfy quadratic transportation cost inequality under the uniform metric. From this we derive concentration properties of Lipschitz functions of process paths that depend on the entire history. In particular, we estimate concentration of boundary local time of reflected Brownian motions on a polyhedral domain. We work out explicit applications of consequences of measure concentration for the case of Brownian motion with rank-based drifts.     

On Lundh’s percolation diffusion

A collection of spherical obstacles in the unit ball in Euclidean space is said to be avoidable for Brownian motion if there is a positive probability that Brownian motion diffusing from some point in the ball will avoid all the obstacles and reach the boundary of the ball. The centres of the spherical obstacles are generated according to a Poisson point process while the radius of an obstacle is a deterministic function. If avoidable configurations are generated with positive probability, Lundh calls this percolation diffusion. An integral condition for percolation diffusion is derived in terms of the intensity of the point process and the function that determines the radii of the obstacles.     

Universality for conformally invariant intersection exponents

We construct a class of conformally invariant measures on sets (or paths) and we study the critical exponents called intersection exponents associated to these measures. We show that these exponents exist and that they correspond to intersection exponents between planar Brownian motions. More precisely, using the definitions and results of our paper [27], we show that any set defined under such a conformal invariant measure behaves exactly as a pack (containing maybe a non-integer number) of Brownian motions as far as all intersection exponents are concerned. We show how conjectures about exponents for two-dimensional self-avoiding walks and critical percolation clusters can be reinterpreted in terms of conjectures on Brownian exponents. Received June 4, 1999 / final version received June 20, 2000?Published online September 7, 2000     

Baxter-Guttmann-Jensen conjecture for power series in directed percolation problem

A probabilistic model of a flow of fluid through a random medium,percolation model, provides a typical example of statistical mechanical problems which are easy to describe but difficult to solve. While the percolation problem on undirected planar lattices is exactly solved as a limit of the Potts models, there still has been no exact solution for the directed lattices. The most reliable method to provide good approximations is a numerical estimation using finite power-series expansion data of the infinite formal power series for percolation probability. In order to calculate higher-order terms in power series, Baxter and Guttmann [6] and Jensen and Guttmann [33] proposed an extrapolation procedure based on an assumption that thecorrection terms, which show the difference between the exact infinite power series and approximate finite series, are expressed as linear combinations of the Catalan numbers.In this paper, starting from a brief review on the directed percolation problem and the observation by Baxter, Guttmann, and Jensen, we state some theorems in which we explain the reason why the combinatorial numbers appear in the correction terms of power series. In the proof of our theorems, we show several useful combinatorial identities for the ballot numbers, which become the Catalan numbers in a special case. These identities ensure that a summation of products of the ballot numbers with polynomial coefficients can be expanded using the ballot numbers. There is still a gap between our theorems and the Baxter-Guttmann-Jensen observation, and we also give some conjectures.As a generalization of the percolation problem on a directed planar lattice, we present two topics at the end of this paper: The friendly walker problem and the stochastic cellular automata in higher dimensions. We hope that these two topics as well as the directed percolation problem will be of much interest to researchers of combinatorics.     

广义α-Stable过程的像集和图集的一致维数

研究了未必具有随机一致Holder条件的N指标d维广义α-stable过程的像集和图集的一致维数问题,并在一定条件下得到了N指标d维广义α-stable过程像集约一致Hausdorff维数和一致Packing维数的上、下界,图集的一致Hausdorff维数和一致Packing维数的上界,包含了多指标α-stable过程和广义布朗单相应的结果．     

Passive Advection in a Percolation Process: Two-Loop Approximation

Theoretical and Mathematical Physics - We study an instructive model of the directed percolation process near its second-order phase transition between absorbing and active states. We first express...     

Lower Bounds for the Distribution of Suprema of Brownian Increments and Brownian Motion Normalized by the Corresponding Modulus Functions

The Lévy–Ciesielski construction of Brownian motion is used to determine non-asymptotic estimates for the maximal deviation of increments of a Brownian motion process \((W_{t})_{t\in \left[ 0,T\right] }\) normalized by the global modulus function, for all positive \(\varepsilon \) and \(\delta \). Additionally, uniform results over \(\delta \) are obtained. Using the same method, non-asymptotic estimates for the distribution function for the standard Brownian motion normalized by its local modulus of continuity are obtained. Similar results for the truncated Brownian motion are provided and play a crucial role in establishing the results for the standard Brownian motion case.     

SOME CENTRAL LIMIT THEOREMS FOR SUPER BROWNIAN MOTION

The author proves a central limit theorem for the critical super Brownian motion, which leads to a Gaussian random field. In the transient case the limitingfield is the same as that obtained by Dawson (1977). In the recurrent case it is aspatially uniform field. The author also give a central limit theorem for the weightedoccupation time of the super Brownian motion with underlying dimension numberd 3, completing the results of Iscoe (1986).     

SOME CENTRAL LIMIT THEOREMS FOR SUPER BROWNIAN MOTION

1IntroductionLimittheoremsconstituteanimportantpartofthebranchingprocesstheory.Itisalwaysinterestingtofindconditionsunderwhichanon-degeneratelimitlawexists.SinceGaltonWatsonprocessesareunstable,peoplehavederivedlimittheoremsforthemthroughdevicessucllasmodifyingfactors,conditioning,immigration,etc.AunifiedtreatmentofthelimittheoryofGallon--WatsonprocessesisgiveninAthreyaandNey(1972).Someoftheabovementionedtechniqueshavealsobeenusedinthemeasure-valuedsettingtogetlimittheoremsforDawson-Watana…     

Stationary directed polymers and energy solutions of the Burgers equation

We consider the stationary O’Connell–Yor model of semi-discrete directed polymers in a Brownian environment in the intermediate disorder regime and show convergence of the increments of the log-partition function to the energy solutions of the stochastic Burgers equation.The proof does not rely on the Cole–Hopf transform and avoids the use of spectral gap estimates for the discrete model. The key technical argument is a second-order Boltzmann–Gibbs principle.     

k-维Brown运动的泛函重对数定律

本文研究了k-维Brown运动的泛函样本轨道性质.利用了一致范数在高维连续函数空间生成的拓扑下建立大偏差公式的方法,获得了k-维Brown运动的泛函重对数定律.     

A Banach space-valued ergodic theorem for amenable groups and applications

In this paper, we study unimodular amenable groups. The first part of the paper is devoted to results on the existence of uniform families of ε-quasi tilings for these groups. First we extend constructions of Ornstein and Weiss by quantitative estimates for the covering properties of the corresponding decompositions. Then we apply the methods developed to obtain an abstract ergodic theorem for a class of functions mapping subsets of a countable amenable group into some Banach space. This result extends significantly and complements related results found in the literature. Further, using the Lindenstrauss ergodic theorem, we link our results to classical ergodic theory. We conclude with two important applications: uniform approximation of the integrated density of states on amenable Cayley graphs and almost-sure convergence of cluster densities in an amenable bond percolation model.     

On sojourn of Brownian motion inside moving boundaries

We investigate the large scale structure of certain sojourn sets of one dimensional Brownian motion within two-sided moving boundaries. The macroscopic Hausdorff dimension, upper mass dimension and logarithmic density of these sets, are computed. We also give a uniform macroscopic dimension result for the Brownian level sets.     

Brownian Paths Homogeneously Distributed in Space: Percolation Phase Transition and Uniqueness of the Unbounded Cluster

We consider a continuum percolation model on \(\mathbb {R}^d\), \(d\ge 1\). For \(t,\lambda \in (0,\infty )\) and \(d\in \{1,2,3\}\), the occupied set is given by the union of independent Brownian paths running up to time t whose initial points form a Poisson point process with intensity \(\lambda >0\). When \(d\ge 4\), the Brownian paths are replaced by Wiener sausages with radius \(r>0\). We establish that, for \(d=1\) and all choices of t, no percolation occurs, whereas for \(d\ge 2\), there is a non-trivial percolation transition in t, provided \(\lambda \) and r are chosen properly. The last statement means that \(\lambda \) has to be chosen to be strictly smaller than the critical percolation parameter for the occupied set at time zero (which is infinite when \(d\in \{2,3\}\), but finite and dependent on r when \(d\ge 4\)). We further show that for all \(d\ge 2\), the unbounded cluster in the supercritical phase is unique. Along the way a finite box criterion for non-percolation in the Boolean model is extended to radius distributions with an exponential tail. This may be of independent interest. The present paper settles the basic properties of the model and should be viewed as a springboard for finer results.     

Quenched invariance principle for simple random walk on percolation clusters

We consider the simple random walk on the (unique) infinite cluster of super-critical bond percolation in ℤ ^d with d≥2. We prove that, for almost every percolation configuration, the path distribution of the walk converges weakly to that of non-degenerate, isotropic Brownian motion. Our analysis is based on the consideration of a harmonic deformation of the infinite cluster on which the random walk becomes a square-integrable martingale. The size of the deformation, expressed by the so called corrector, is estimated by means of ergodicity arguments.     

N-d维广义Brownian单的像集一致Packing测度和一致Packing维数

我们获得了Ｎ－ｄ维广义Ｂｒｏｗｎｉａｎ单的像集的一致Ｐａｃｋｉｎｇ测度和一致Ｐａｃｋｉｎｇ维数。