Exponential functionals of two random walks and stationary measures of discrete growth processes

Zikun Ouyang

Home/Archive/arXiv

arXiv · 2610.19673

Exponential functionals of two random walks and stationary measures of discrete growth processes

Zikun Ouyang

View original source ↗Read source document ↗Export metadata ↓

Abstract

We study random walks with geometric or log-gamma increments, reweighted by certain exponential functionals. We establish precise asymptotics for all moments of exponential functionals, revealing a phase transition as the drifts of the walks vary. To describe the large time limit of reweighted random walks, we introduce a discrete $T$ transformation on random walk paths and establish Girsanov relations. As a corollary, we show that the stationary measures of geometric last passage percolation and the log-gamma polymer on a strip converge to their half-space counterparts as the strip width tends to infinity. In the log-gamma case, this provides an alternative proof of a recent result in arXiv:2607.17030.

Explore related subjects

math.PR math-ph math.MP

Keep this discovery

Explore connections, maps & timelines

BibTeX RIS

Zikun Ouyang. 2026-10-14. Exponential functionals of two random walks and stationary measures of discrete growth processes. https://arxiv.org/abs/2610.19673

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Loglinear Hawkes processes: existence, nonexplosion, stability and moment bounds

This paper discusses a special class of nonlinear Hawkes processes, where the rate function is the exponential function. We call these processes loglinear Hawkes processes. Such processes are used with success in computational neuroscience and we provide a mathematical background for them. After obtaining existence from a standard Poisson embedding, we give sufficient conditions for explosion and nonexplosion that cover a large class of memory functions. In order to give sufficient stability conditions, we construct an autoregressive integer-valued time series that gives pathwise upper bounds for the bin counts of a loglinear Hawkes process. From here, a Markov chain argument shows that the regeneration time for a loglinear Hawkes process has finite expectation if the memory function is negative enough in a neighborhood of zero. Stability in total variation follows. Finally, we show that both the loglinear Hawkes process under a large class of initial conditions and its stationary version have finite exponential moments.

math.PR↗

arXiv2026

Eddy viscosity by Lévy transport noises

We consider stochastic linear transport equations in dimension $d\geq 2$ and stochastic 2D Euler equations with $L^2$-initial condition, both driven by Lévy transport noise in the Marcus sense. Under a suitable scaling limit of the noises, we prove that the solutions to the stochastic linear transport equations converge to the solution of the deterministic heat equation, while weak solutions to the stochastic 2D Euler equations converge weakly to the unique solution of the deterministic 2D Navier--Stokes equation. These results show that small-scale jump noises generate eddy viscosity, extending the recent studies on Itô--Stratonovich diffusion limits to the discontinuous setting.

math.PR↗

arXiv2026

Triggered urn models for frequently asked questions (FAQ)

We investigate a nonclassic urn model with triggers that increase the number of colors. The scheme has emerged as a model for web services that set up frequently asked questions (FAQ). We present a thorough asymptotic analysis of the FAQ urn scheme in generality that covers a large number of special cases, such as Simon's urn. For instance, we consider time dependent triggering probabilities. We identify regularity conditions on these probabilities that classify the schemes into those where the number of colors in the urn remains almost surely finite or increases to infinity and conditions that tell us whether all the existing colors are observed infinitely often or not. We determine the rank curve, too. In view of the broad generality of the trigger probabilities, a spectrum of limit distributions appears, from central limit theorems to Poisson approximation, to power-laws, revealing connections to Heaps exponent and Zipf's law. A combinatorial approach to the Simon urn is presented to indicate the possibility of such exact analysis, which is important for short-term predictions. Extensive simulations on real datasets (from Amazon sales) as well as computer-generated data clearly indicate that the asymptotic and exact theory developed agrees with practice.

math.PR↗