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Christian Houdré

Publications and source records attributed to Christian Houdré.

At least 37 records · Page 2Linked to original sources

On the Limiting Shape of Young Diagrams Associated With Markov Random Words

Let $(X_n)_{n \ge 0}$ be an irreducible, aperiodic, homogeneous Markov chain, with state space a totally ordered finite alphabet of size $m$. Using combinatorial constructions and weak invariance principles, we obtain the limiting shape of the associated RSK Young diagrams as a multidimensional Brownian functional. Since the length of the top row of the Young diagrams is also the length of the longest weakly increasing subsequences of $(X_k)_{1\le k \le n}$, the corresponding limiting law follows. We relate our results to a conjecture of Kuperberg by providing, under a cyclic condition, a spectral characterization of the Markov transition matrix precisely characterizing when the limiting shape is the spectrum of the $m \times m$ traceless GUE. For each $m \ge 4$, this characterization identifies a proper, non-trivial class of cyclic transition matrices producing such a limiting shape. However, for $m=3$, all cyclic Markov chains have such a limiting shape, a fact previously only known for $m=2$. For $m$ arbitrary, we also study reversible Markov chains and obtain a characterization of symmetric Markov chains for which the limiting shape is the spectrum of the traceless GUE. To finish, we explore, in this general setting, connections between various limiting laws and spectra of Gaussian random matrices, focusing in particular on the relationship between the terminal points of the Brownian motions, the diagonal terms of the random matrix, and the scaling of its off-diagonal terms, a scaling we conjecture to be a function of the spectrum of the covariance matrix governing the Brownian motion.

math.PR↗

Iterated Jackknives and Two-Sided Variance Inequalities

We consider the variance of a function of $n$ independent random variables and provide new inequalities which, in particular, extend previous results obtained for symmetric functions in the i.i.d.~setting. For instance, we obtain various upper and lower variance bounds based on iterated jackknives statistics that can be considered as generalizations of the Efron-Stein inequality.

math.ST↗

On Stein's Method for Multivariate Self-Decomposable Laws

This work explores and develops elements of Stein's method of approximation, in the infinitely divisible setting, and its connections to functional analysis. It is mainly concerned with multivariate self-decomposable laws without finite first moment and, in particular, with $α$-stable ones, $α\in (0,1]$. At first, several characterizations of these laws via covariance identities are presented. In turn, these characterizations lead to integro-differential equations which are solved with the help of both semigroup and Fourier methodologies. Then, Poincaré-type inequalities for self-decomposable laws having finite first moment are revisited. In this non-local setting, several algebraic quantities (such as the carré du champs and its iterates) originating in the theory of Markov diffusion operators are computed. Finally, rigidity and stability results for the Poincaré-ratio functional of the rotationally invariant $α$-stable laws, $α\in (1,2)$, are obtained; and as such they recover the classical Gaussian setting as $α\to 2$.

math.PR↗

Lower bounds for fluctuations in first-passage percolation for general distributions

In first-passage percolation (FPP), one assigns i.i.d.~weights to the edges of the cubic lattice $\mathbb{Z}^d$ and analyzes the induced weighted graph metric. If $T(x,y)$ is the distance between vertices $x$ and $y$, then a primary question in the model is: what is the order of the fluctuations of $T(0,x)$? It is expected that the variance of $T(0,x)$ grows like the norm of $x$ to a power strictly less than 1, but the best lower bounds available are (only in two dimensions) of order $\log \|x\|$. This result was found in the '90s and there has not been any improvement since. In this paper, we address the problem of getting stronger fluctuation bounds: to show that $T(0,x)$ is with high probability not contained in an interval of size $o(\log \|x\|)^{1/2}$, and similar statements for FPP in thin cylinders. Such statements have been proved for special edge-weight distributions, and here we obtain such bounds for general edge-weight distributions. The methods involve inducing a fluctuation in the number of edges in a box whose weights are of "hi-mode" (large).

math.PR↗

On the rate of convergence for the length of the longest common subsequences in hidden Markov models

Let $(X, Y) = (X_n, Y_n)_{n \geq 1}$ be the output process generated by a hidden chain $Z = (Z_n)_{n \geq 1}$, where $Z$ is a finite state, aperiodic, time homogeneous, and irreducible Markov chain. Let $LC_n$ be the length of the longest common subsequences of $X_1, \ldots, X_n$ and $Y_1, \ldots, Y_n$. Under a mixing hypothesis, a rate of convergence result is obtained for $\mathbb{E}[LC_n]/n$.

math.PR↗

On the Variance of the Length of the Longest Common Subsequences in Random Words With an Omitted Letter

We investigate the variance of the length of the longest common subsequences of two independent random words of size $n$, where the letters of one word are i.i.d. uniformly drawn from $\{α_1, α_2, \cdots, α_m\}$, while the letters of the other word are i.i.d. drawn from $\{α_1, α_2, \cdots, α_m, α_{m+1}\}$, with probability $p > 0$ to be $α_{m+1}$, and $(1-p)/m > 0$ for all the other letters. The order of the variance of this length is shown to be linear in $n$.

math.PR↗

On Stein's Method for Multivariate Self-Decomposable Laws With Finite First Moment

We develop a multidimensional Stein methodology for non-degenerate self-decomposable random vectors in $\mathbb{R}^d$ having finite first moment. Building on previous univariate findings, we solve an integro-partial differential Stein equation by a mixture of semigroup and Fourier analytic methods. Then, under a second moment assumption, we introduce a notion of Stein kernel and an associated Stein discrepancy specifically designed for infinitely divisible distributions. Combining these new tools, we obtain quantitative bounds on smooth-Wasserstein distances between a probability measure in $\mathbb{R}^d$ and a non-degenerate self-decomposable target law with finite second moment. Finally, under an appropriate spectral gap assumption, we investigate, via variational methods, the existence of Stein kernels. In particular, this leads to quantitative versions of classical results on characterizations of probability distributions by variational functionals.

math.PR↗

On the limiting law of the length of the longest common and increasing subsequences in random words

Let $X=(X_i)_{i\ge 1}$ and $Y=(Y_i)_{i\ge 1}$ be two sequences of independent and identically distributed (iid) random variables taking their values, uniformly, in a common totally ordered finite alphabet. Let LCI$_n$ be the length of the longest common and (weakly) increasing subsequence of $X_1\cdots X_n$ and $Y_1\cdots Y_n$. As $n$ grows without bound, and when properly centered and normalized, LCI$_n$ is shown to converge, in distribution, towards a Brownian functional that we identify.

math.PR↗

On Stein's Method for Infinitely Divisible Laws With Finite First Moment

We present, in a unified way, a Stein methodology for infinitely divisible laws (without Gaussian component) having finite first moment. Based on a correlation representation, we obtain a characterizing non-local Stein operator which boils down to classical Stein operators in specific examples. Thanks to this characterizing operator, we introduce various extensions of size bias and zero bias distributions and prove that these notions are closely linked to infinite divisibility. Combined with standard Fourier techniques, these extensions also allow obtaining explicit rates of convergence for compound Poisson approximation in particular towards the symmetric $α$-stable distribution. Finally, in the setting of non-degenerate self-decomposable laws, by semigroup techniques, we solve the Stein equation induced by the characterizing non-local Stein operator and obtain quantitative bounds in weak limit theorems for sums of independent random variables going back to the work of Khintchine and Lévy.

math.PR↗

Concentration of Geodesics in Directed Bernoulli Percolation

For directed Bernoulli last passage percolation with i.i.d.~weights on vertices over a $n\times n$ grid and for $n$ large enough, the geodesics are shown to be concentrated in a cylinder, centered on the main diagonal and of width of order $n^{(2κ+2)/(2κ+3)}\sqrt{\ln n}$, where $1\leκ<\infty$ is the curvature power of the shape function at $(1,1)$. The methodology of proof is robust enough to also apply to directed Bernoulli first passage site percolation, and further to longest common subsequences in random words.

math.PR↗

Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model

A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY Lévy model is derived, and is then extended to a model with an additional independent Brownian component. The asymptotic regime considered, in which the strike is made to converge to the spot stock price as the maturity approaches zero, is relevant in applications since the most liquid options have strikes that are close to the spot price. Our results shed new light on the connection between both the volatility of the continuous component and the jump parameters and the behavior of option prices near expiration when the strike is close to the spot price. In particular, a new type of transition phenomenon is uncovered in which the third order term exhibits two distinct asymptotic regimes depending on whether $Y\in(1,3/2)$ or $Y\in(3/2,2)$. Unlike second order approximations, the expansions herein are shown to be remarkably accurate so that they can actually be used for calibrating some model parameters. For illustration, we calibrate the volatility $σ$ of the Brownian component and the jump intensity $C$ of the CGMY model to actual option prices.

q-fin.PR↗

A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain

We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to satisfy the Dynamic Programming Principle. These properties directly lead to the conclusion that the value function is a viscosity solution to the Hamilton-Jacobi-Bellman equation. Uniqueness of the solution is then also established.

math.PR↗

On a Generalization of the Arcsine Law

The gaps between the times, in a Weyl chamber, at which the sum of the increments of independent Brownian motions attains its maximum has a Dirichlet distribution.

math.PR↗

Simulations, Computations, and Statistics for Longest Common Subsequences

The length of the longest common subsequences (LCSs) is often used as a similarity measurement to compare two (or more) random words. Below we study its statistical behavior in mean and variance using a Monte-Carlo approach from which we then develop a hypothesis testing method for sequences similarity. Finally, theoretical upper bounds are obtained for the Chvátal-Sankoff constant of multiple sequences.

math.PR↗

Lower Bounds on the Generalized Central Moments of the Optimal Alignments Score of Random Sequences

We present a general approach to the problem of determining tight asymptotic lower bounds for generalized central moments of the optimal alignment score of two independent sequences of i.i.d. random variables. At first, these are obtained under a main assumption for which sufficient conditions are provided. When the main assumption fails, we nevertheless develop a "uniform approximation" method leading to asymptotic lower bounds. Our general results are then applied to the length of the longest common subsequence of binary strings, in which case asymptotic lower bounds are obtained for the moments and the exponential moments of the optimal score. As a byproduct, a local upper bound on the rate function associated with the length of the longest common subsequences of two binary strings is also obtained.

math.PR↗

On the Variance of the Optimal Alignments Score for Binary Random Words and an Asymmetric Scoring Function

We investigate the order of the variance of the optimal alignments score of two independent iid binary random words having the same length. The letters are equiprobable, but the scoring function is such that one letter has a larger score than the other. In this setting, we prove that the order of variance is linear in the common length. Optimal alignments constitute a generalization of longest common subsequences, they can be represented as optimal paths in a two-dimensional last passage percolation setting with dependent weights.

math.PR↗