arXiv subjects

Jan M. Swart

Publications and source records attributed to Jan M. Swart.

At least 37 records · Page 2Linked to original sources

arXiv2018

A new characterization of endogeny

Aldous and Bandyopadhyay have shown that each solution to a recursive distributional equation (RDE) gives rise to recursive tree process (RTP), which is a sort of Markov chain in which time has a tree-like structure and in which the state of each vertex is a random function of its descendants. If the state at the root is measurable with respect to the sigma field generated by the random functions attached to all vertices, then the RTP is said to be endogenous. For RTPs defined by continuous maps, Aldous and Bandyopadhyay showed that endogeny is equivalent to bivariate uniqueness, and they asked if the continuity hypothesis can be removed. We introduce a higher-level RDE that through its $n$-th moment measures contains all $n$-variate RDEs. We show that this higher-level RDE has minimal and maximal fixed points with respect to the convex order, and that these coincide if and only if the corresponding RTP is endogenous. As a side result, this allows us to answer the question of Aldous and Bandyopadhyay positively.

math.PR↗

arXiv2018

How much market making does a market need?

We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequencies of buy limit orders below a given price level, respectively sell limit orders above a given level are described by fixed demand and supply functions. Buy (resp. sell) limit orders that arrive above (resp. below) the current ask (resp. bid) price are converted into market orders. There is no cancellation of limit orders. This model has independently been reinvented by several authors, including Stigler in 1964 and Luckock in 2003, who was able to calculate the equilibrium distribution of the bid and ask prices. We extend the model by introducing market makers that simultaneously place both a buy and sell limit order at the current bid and ask price. We show how the introduction of market makers reduces the spread, which in the original model is unrealistically large. In particular, we are able to calculate the exact rate at which market makers need to place orders in order to close the spread completely. If this rate is exceeded, we show that the price settles at a random level that in general does not correspond the Walrasian equilibrium price.

q-fin.MF↗

arXiv2018

The Algebraic Approach to Duality: An Introduction

This survey article gives an elementary introduction to the algebraic approach to Markov process duality, as opposed to the pathwise approach. In the algebraic approach, a Markov generator is written as the sum of products of simpler operators, which each have a dual with respect to some duality function. We discuss at length the recent suggestion by Giardinà, Redig, and others, that it may be a good idea to choose these simpler operators in such a way that they form an irreducible representation of some known Lie algebra. In particular, we collect the necessary background on representations of Lie algebras that is crucial for this approach. We also discuss older work by Lloyd and Sudbury on duality functions of product form and the relation between intertwining and duality.

math.PR↗

arXiv2017

A simple rank-based Markov chain with self-organized criticality

We introduce a self-reinforced point processes on the unit interval that appears to exhibit self-organized criticality, somewhat reminiscent of the well-known Bak-Sneppen model. The process takes values in the finite subsets of the unit interval and evolves according to the following rules. In each time step, a particle is added at a uniformly chosen position, independent of the particles that are already present. If there are any particles to the left of the newly arrived particle, then the left-most of these is removed. We show that all particles arriving to the left of $p_{\rm c}=1-e^{-1}$ are a.s. eventually removed, while for large enough time, particles arriving to the right of $p_{\rm c}$ stay in the system forever.

math.PR↗

arXiv2017

Rigorous results for the Stigler-Luckock model for the evolution of an order book

In 1964, G.J. Stigler introduced a stochastic model for the evolution of an order book on a stock market. This model was independently rediscovered and generalized by H. Luckock in 2003. In his formulation, traders place buy and sell limit orders of unit size according to independent Poisson processes with possibly different intensities. Newly arriving buy (sell) orders are either immediately matched to the best available matching sell (buy) order or stay in the order book until a matching order arrives. Assuming stationarity, Luckock showed that the distribution functions of the best buy and sell order in the order book solve a differential equation, from which he was able to calculate the position of two prices $J^{\rm c}_-<J^{\rm c}_+$ such that buy orders below $J^{\rm c}_-$ and sell orders above $J^{\rm c}_+$ stay in the order book forever while all other orders are eventually matched. We extend Luckock's model by adding market orders, i.e., with a certain rate traders arrive at the market that take the best available buy or sell offer in the order book, if there is one, and do nothing otherwise. We give necessary and sufficient conditions for such an extended model to be positive recurrent and show how these conditions are related to the prices $J^{\rm c}_-$ and $J^{\rm c}_+$ of Luckock.

math.PR↗

arXiv2017

The Brownian web, the Brownian net, and their universality

The Brownian web is a collection of one-dimensional coalescing Brownian motions starting from everywhere in space and time, and the Brownian net is a generalization that also allows branching. They appear in the diffusive scaling limits of many one-dimensional interacting particle systems with branching and coalescence. This article gives an introduction to the Brownian web and net, and how they arise in the scaling limits of various one-dimensional models, focusing mainly on coalescing random walks and random walks in i.i.d. space-time random environments. We will also briefly survey models and results connected to the Brownian web and net, including alternative topologies, population genetic models, true self-repelling motion, planar aggregation, drainage networks, oriented percolation, black noise and critical percolation. Some open questions are discussed at the end.

math.PR↗

arXiv2016

Pathwise duals of monotone and additive Markov processes

This paper develops a systematic treatment of monotonicity-based pathwise dualities for Markov processes taking values in partially ordered sets. We show that every Markov process that takes values in a finite partially ordered set and whose generator can be represented in monotone maps has a pathwise dual process. In the special setting of attractive spin systems this has been discovered earlier by Gray. We show that the dual simplifies a lot when the state space is a lattice (in the order-theoretic meaning of the word) and all monotone maps satisfy an additivity condition. This leads to a unified treatment of several well-known dualities, including Siegmund's dual for processes with a totally ordered state space, duality of additive spin systems, and a duality due to Krone for the two-stage contact process, and allows for the construction of new dualities as well. We show that the well-known representation of additive spin systems in terms of open paths in a graphical representation can be generalized to additive Markov processes taking values in general lattices, but for the process and its dual to be representable on the same underlying space, we need to assume that the lattice is distributive. In the final section, we show how our results can be generalized from finite state spaces to interacting particle systems with finite local state spaces.

math.PR↗

arXiv2016

A simple proof of exponential decay of subcritical contact processes

This paper gives a new, simple proof of the known fact that for contact processes on general lattices, in the subcritical regime the expected number of infected sites decays exponentially fast as time tends to infinity. The proof also yields an explicit bound on the survival probability below the critical recovery rate, which shows that the critical exponent associated with this function is bounded from below by its mean-field value. The main idea of the proof is that if the expected number of infected sites decays slower than exponentially, then this implies the existence of a harmonic function that can be used to show that the process survives for any lower value of the recovery rate.

math.PR↗

arXiv2015

A particle system with cooperative branching and coalescence

In this paper, we introduce a one-dimensional model of particles performing independent random walks, where only pairs of particles can produce offspring ("cooperative branching"), and particles that land on an occupied site merge with the particle present on that site ("coalescence"). We show that the system undergoes a phase transition as the branching rate is increased. For small branching rates, the upper invariant law is trivial, and the process started with finitely many particles a.s. ends up with a single particle. Both statements are not true for high branching rates. An interesting feature of the process is that the spectral gap is zero even for low branching rates. Indeed, if the branching rate is small enough, then we show that for the process started in the fully occupied state, the particle density decays as one over the square root of time, and the same is true for the decay of the probability that the process still has more than one particle at a later time if it started with two particles.

math.PR↗

arXiv2013

Entropy-driven phase transition in low-temperature antiferromagnetic Potts models

We prove the existence of long-range order at sufficiently low temperatures, including zero temperature, for the three-state Potts antiferromagnet on a class of quasi-transitive plane quadrangulations, including the diced lattice. More precisely, we show the existence of (at least) three infinite-volume Gibbs measures, which exhibit spontaneous magnetization in the sense that vertices in one sublattice have a higher probability to be in one state than in either of the other two states. For the special case of the diced lattice, we give a good rigorous lower bound on this probability, based on computer-assisted calculations that are not available for the other lattices.

math-ph↗

arXiv2013

Subcritical contact processes seen from a typical infected site

What is the long-time behavior of the law of a contact process started with a single infected site, distributed according to counting measure on the lattice? This question is related to the configuration as seen from a typical infected site and gives rise to the definition of so-called eigenmeasures, which are possibly infinite measures on the set of nonempty configurations that are preserved under the dynamics up to a multiplicative constant. In this paper, we study eigenmeasures of contact processes on general countable groups in the subcritical regime. We prove that in this regime, the process has a unique spatially homogeneous eigenmeasure. As an application, we show that the exponential growth rate is continuously differentiable and strictly decreasing as a function of the recovery rate, and we give a formula for the derivative in terms of the eigenmeasures of the contact process and its dual.

math.PR↗

arXiv2013

Stochastic flows in the Brownian web and net

Certain one-dimensional nearest-neighbor random walks in i.i.d. random space-time environments are known to have diffusive scaling limits. In the continuum limit, the random environment is represented by a `stochastic flow of kernels', which is a collection of random kernels that can be loosely interpreted as the transition probabilities of a Markov process in a random environment. The theory of stochastic flows of kernels was introduced by Le Jan and Raimond, who showed that each such flow is characterized by its n-point motions. We focus on a class of stochastic flows of kernels with Brownian n-point motions which, after their inventors, will be called Howitt-Warren flows. We give a graphical construction of general Howitt-Warren flows, where the underlying random environment takes on the form of a suitably marked Brownian web. Alternatively, we show that a special subclass of the Howitt-Warren flows can be constructed as random flows of mass in a Brownian net. Using these constructions, we prove some new results for the Howitt-Warren flows. In particular, we show that the kernels spread with a finite speed and have a locally finite support at deterministic times if and only if the flow is embeddable in a Brownian net. We show that the kernels are always purely atomic at deterministic times, but with the exception of a special subclass known as the erosion flows, exhibit random times when the kernels are purely non-atomic. We moreover prove ergodic statements for a class of measure-valued processes induced by the Howitt-Warren flows. Along the way, we also prove some new results for the Brownian web and net.

math.PR↗

arXiv2013

Noninvadability implies noncoexistence for a class of cancellative systems

There exist a number of results proving that for certain classes of interacting particle systems in population genetics, mutual invadability of types implies coexistence. In this paper we prove a sort of converse statement for a class of one-dimensional cancellative systems that are used to model balancing selection. We say that a model exhibits strong interface tightness if started from a configuration where to the left of the origin all sites are of one type and to the right of the origin all sites are of the other type, the configuration as seen from the interface has an invariant law in which the number of sites where both types meet has finite expectation. We prove that this implies noncoexistence, i.e., all invariant laws of the process are concentrated on the constant configurations. The proof is based on special relations between dual and interface models that hold for a large class of one-dimensional cancellative systems and that are proved here for the first time.

math.PR↗

arXiv2013

Two-dimensional Potts antiferromagnets with a phase transition at arbitrarily large q

We exhibit infinite families of two-dimensional lattices (some of which are triangulations or quadrangulations of the plane) on which the q-state Potts antiferromagnet has a finite-temperature phase transition at arbitrarily large values of q. This unexpected result is proven rigorously by using a Peierls argument to measure the entropic advantage of sublattice long-range order. Additional numerical data are obtained using transfer matrices, Monte Carlo simulation, and a high-precision graph-theoretic method.

cond-mat.stat-mech↗

arXiv2010

Intertwining of birth-and-death processes

It has been known for a long time that for birth-and-death processes started in zero the first passage time of a given level is distributed as a sum of independent exponentially distributed random variables, the parameters of which are the negatives of the eigenvalues of the stopped process. Recently, Diaconis and Miclo have given a probabilistic proof of this fact by constructing a coupling between a general birth-and-death process and a process whose birth rates are the negatives of the eigenvalues, ordered from high to low, and whose death rates are zero, in such a way that the latter process is always ahead of the former, and both arrive at the same time at the given level. In this note, we extend their methods by constructing a third process, whose birth rates are the negatives of the eigenvalues ordered from low to high and whose death rates are zero, which always lags behind the original process and also arrives at the same time.

math.PR↗

arXiv2010

Numerical analysis of the rebellious voter model

The rebellious voter model, introduced by Sturm and Swart (2008), is a variation of the standard, one-dimensional voter model, in which types that are locally in the minority have an advantage. It is related, both through duality and through the evolution of its interfaces, to a system of branching annihilating random walks that is believed to belong to the `parity-conservation' universality class. This paper presents numerical data for the rebellious voter model and for a closely related one-sided version of the model. Both models appear to exhibit a phase transition between noncoexistence and coexistence as the advantage for minority types is increased. For the one-sided model (but not for the original, two-sided rebellious voter model), it appears that the critical point is exactly a half and two important functions of the process are given by simple, explicit formulas, a fact for which we have no explanation.

math.PR↗

arXiv2009

Correction to: Branching-coalescing particle systems

In the article titled "Branching-Coalescing Particle Systems" published in Probability Theory and Related Fields 131(3), pages 376-414, (2005), Theorem 7 as stated there is incorrect. Indeed, we show by counterexample that the equality that we claimed there to hold for all time, in general holds only for almost every time with respect to Lebesgue measure. We prove a weaker version of the theorem that is still sufficient for our applications in the mentioned paper.

math.PR↗

arXiv2009

Survival of contact processes on the hierarchical group

We consider contact processes on the hierarchical group, where sites infect other sites at a rate depending on their hierarchical distance, and sites become healthy with a constant recovery rate. If the infection rates decay too fast as a function of the hierarchical distance, then we show that the critical recovery rate is zero. On the other hand, we derive sufficient conditions on the speed of decay of the infection rates for the process to exhibit a nontrivial phase transition between extinction and survival. For our sufficient conditions, we use a coupling argument that compares contact processes on the hierarchical group with freedom two with contact processes on a renormalized lattice. An interesting novelty in this renormalization argument is the use of a result due to Rogers and Pitman on Markov functionals.

math.PR↗