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Krzysztof Burdzy

Publications and source records attributed to Krzysztof Burdzy.

At least 55 records · Page 3Linked to original sources
arXiv2017

Gravitation versus Brownian motion

We investigate the motion of an inert (massive) particle being impinged from below by a particle performing (reflected) Brownian motion. The velocity of the inert particle increases in proportion to the local time of collisions and decreases according to a constant downward gravitational acceleration. We study fluctuations and strong laws of the motion of the particles. We further show that the joint distribution of the velocity of the inert particle and the gap between the two particles converges in total variation distance to a stationary distribution which has an explicit product form.

math.PR↗
arXiv2016

Random reflections in a high dimensional tube

We consider light ray reflections in $n$-dimensional semi-infinite tube, for $n\geq 3$, made of Lambertian material. The source of light is placed far away from the exit, and the light ray is assumed to reflect so that the distribution of the direction of the reflected light ray has the density proportional to the cosine of the angle with the normal vector. We present new results on the exit distribution from the tube, and generalizations of some theorems from an earlier article, where the dimension was limited to $n=2$ and $3$.

math.PR↗
arXiv2016

A random flight process associated to a Lorentz gas with variable density in a gravitational field

We investigate the random flight process that arises as the Boltzmann-Grad limit of a random scatterer Lorentz gas with variable scatterer density in a gravitational field. For power function densities we show how the parameters of the model determine recurrence or transience of the vertical component of the trajectory. Finally, our methods show that, with appropriate scaling of space, time and the density of obstacles, the trajectory of the particle converges to a diffusion with explicitly given parameters.

math.PR↗
arXiv2016

Can one make a laser out of cardboard?

We consider two dimensional and three dimensional semi-infinite tubes made of "Lambertian" material, so that the distribution of the direction of a reflected light ray has the density proportional to the cosine of the angle with the normal vector. If the light source is far away from the opening of the tube then the exiting rays are (approximately) collimated in two dimensions but are not collimated in three dimensions. An observer looking into the three dimensional tube will see "infinitely bright" spot at the center of vision. In other words, in three dimensions, the light brightness grows to infinity near the center as the light source moves away.

math.PR↗
arXiv2015

Obliquely reflected Brownian motion in non-smooth planar domains

We construct obliquely reflected Brownian motions in all bounded simply connected planar domains, including non-smooth domains, with general reflection vector fields on the boundary. Conformal mappings and excursion theory are our main technical tools. A key intermediate step, which may be of independent interest, is an alternative characterization of reflected Brownian motions in smooth bounded planar domains with a given field of angles of oblique reflection on the boundary in terms of a pair of quantities, namely an integrable positive harmonic function, which represents the stationary distribution of the process, and a real number that represents, in a suitable sense, the asymptotic rate of rotation of the process around a reference point in the domain. Furthermore, we also show that any obliquely reflected Brownian motion in a simply connected Jordan domain can be obtained as a suitable limit of obliquely reflected Brownian motions in smooth domains.

math.PR↗
arXiv2015

The distribution of the spine of a Fleming-Viot type process

We show uniqueness of the spine of a Fleming-Viot particle system under minimal assumptions on the driving process. If the driving process is a continuous time Markov process on a finite space, we show that asymptotically, when the number of particles goes to infinity, the branching rate for the spine is twice that of a generic particle in the system, and every side branch has the distribution of the unconditioned generic branching tree.

math.PR↗
arXiv2015

On meteors, earthworms and WIMPs

We study a model of mass redistribution on a finite graph. We address the questions of convergence to equilibrium and the rate of convergence. We present theorems on the distribution of empty sites and the distribution of mass at a fixed vertex. These distributions are related to random permutations with certain peak sets.

math.PR↗
arXiv2014

Meteor process on ${\mathbb Z}^d$

The meteor process is a model for mass redistribution on a graph. The case of finite graphs was analyzed in \cite{BBPS}. This paper is devoted to the meteor process on ${\mathbb Z}^d$. The process is constructed and a stationary distribution is found. Convergence to this stationary distribution is proved for a large family of initial distributions. The first two moments of the mass distribution at a vertex are computed for the stationary distribution. For the one-dimensional lattice ${\mathbb Z}$, the net flow of mass between adjacent vertices is shown to have bounded variance as time goes to infinity. An alternative representation of the process on ${\mathbb Z}$ as a collection of non-crossing paths is presented. The distributions of a "tracer particle" in this system of non-crossing paths are shown to be tight as time goes to infinity.

math.PR↗
arXiv2014

Stirring two grains of sand

Consider two unit balls in a $d$-dimensional flat torus with edge length $r$, for $d\geq 2$. The balls do not move by themselves but they are pushed by a Brownian motion. The balls never intersect---they reflect if they touch. It is proved that the joint distribution of the processes representing the centers of the balls converges to the distribution of two independent Brownian motions when $r\to \infty$, assuming that we use a proper clock and proper scaling. The diffusion coefficient of the limit process depends on the dimension. The positions of the balls are asymptotically independent also in the following sense. The rescaled stationary distributions of the centers of the balls converge to the product of the stationary (hence uniform) distributions for each ball separately, as $r\to\infty$.

math.PR↗
arXiv2013

Comparison of quenched and annealed invariance principles for random conductance model: Part II

We show that there exists an ergodic conductance environment such that the weak (annealed) invariance principle holds for the corresponding continuous time random walk but the quenched invariance principle does not hold. In the present paper we give a proof of the full scaling limit for the weak invariance principle, improving the result in an earlier paper where we obtained a subsequential limit.

math.PR↗
arXiv2013

Brownian earthworm

We prove that the distance between two reflected Brownian motions, driven by the same white noise, outside a sphere in a 3-dimensional flat torus does not converge to 0, a.s., if the radius of the sphere is sufficiently small, relative to the size of the torus.

math.PR↗
arXiv2013

Reflecting random walk in fractal domains

In this paper, we show that reflecting Brownian motion in any bounded domain D can be approximated, as $k\to\infty$, by simple random walks on "maximal connected" subsets of $(2^{-k}\mathbb{Z}^d)\cap D$ whose filled-in interiors are inside of D.

math.PR↗
arXiv2013

Forward Brownian Motion

We consider processes which have the distribution of standard Brownian motion (in the forward direction of time) starting from random points on the trajectory which accumulate at $-\infty$. We show that these processes do not have to have the distribution of standard Brownian motion in the backward direction of time, no matter which random time we take as the origin. We study the maximum and minimum rates of growth for these processes in the backward direction. We also address the question of which extra assumptions make one of these processes a two-sided Brownian motion.

math.PR↗
arXiv2013

Shy couplings, CAT(0) spaces, and the lion and man

Two random processes X and Y on a metric space are said to be $\varepsilon$-shy coupled if there is positive probability of them staying at least a positive distance $\varepsilon$ apart from each other forever. Interest in the literature centres on nonexistence results subject to topological and geometric conditions; motivation arises from the desire to gain a better understanding of probabilistic coupling. Previous nonexistence results for co-adapted shy coupling of reflected Brownian motion required convexity conditions; we remove these conditions by showing the nonexistence of shy co-adapted couplings of reflecting Brownian motion in any bounded CAT(0) domain with boundary satisfying uniform exterior sphere and interior cone conditions, for example, simply-connected bounded planar domains with $C^2$ boundary. The proof uses a Cameron-Martin-Girsanov argument, together with a continuity property of the Skorokhod transformation and properties of the intrinsic metric of the domain. To this end, a generalization of Gauss' lemma is established that shows differentiability of the intrinsic distance function for closures of CAT(0) domains with boundaries satisfying uniform exterior sphere and interior cone conditions. By this means, the shy coupling question is converted into a Lion and Man pursuit-evasion problem.

math.PR↗
arXiv2012

Markov processes on time-like graphs

We study Markov processes where the "time" parameter is replaced by paths in a directed graph from an initial vertex to a terminal one. Along each directed path the process is Markov and has the same distribution as the one along any other directed path. If two directed paths do not interact, in a suitable sense, then the distributions of the processes on the two paths are conditionally independent, given their values at the common endpoint of the two paths. Conditions on graphs that support such processes (e.g., hexagonal lattice) are established. Next we analyze a particularly suitable family of Markov processes, called harnesses, which includes Brownian motion and other Lévy processes, on such time-like graphs. Finally we investigate continuum limits of harnesses on a sequence of time-like graphs that admits a limit in a suitable sense.

math.PR↗
arXiv2012

Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion

The purpose of this paper is to study the convergence in distribution of two subsequences of the signed cubic variation of the fractional Brownian motion with Hurst parameter $H=1/6$. We prove that, under some conditions on both subsequences, the limit is a two-dimensional Brownian motion whose components may be correlated and we find explicit formulae for its covariance function.

math.PR↗
arXiv2012

Permutations with given peak set

Let Sym_n denote the symmetric group of all permutations pi = a_1...a_n of {1,...,n}. An index i is a peak of pi if a_{i-1} < a_i > a_{i+1} and we let P(pi) be the set of peaks of pi. Given any set S of positive integers we define P(S;n) to be the set pi in Sym_n with P(pi)=S. Our main result is that for all fixed subsets of positive integers S and all sufficiently large n we have #P(S;n)= p(n) 2^{n-#S-1} for some polynomial p(n) depending on S. We explicitly compute p(n) for various S of probabilistic interest, including certain cases where S depends on n. We also discuss two conjectures, one about positivity of the coefficients of the expansion of p(n) in a binomial coefficient basis, and the other about sets S maximizing #P(S;n) when #S is fixed.

math.CO↗