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Krzysztof Burdzy

Publications and source records attributed to Krzysztof Burdzy.

At least 73 records · Page 4Linked to original sources
arXiv2012

Rubber Bands, Pursuit Games and Shy Couplings

In this paper, we consider pursuit-evasion and probabilistic consequences of some geometric notions for bounded and suitably regular domains in Euclidean space that are CAT(kappa) for some kappa > 0. These geometric notions are useful for analyzing the related problems of (a) existence/nonexistence of successful evasion strategies for the Man in Lion and Man problems, and (b) existence/nonexistence of shy couplings for reflected Brownian motions. They involve properties of rubber bands and the extent to which a loop in the domain in question can be deformed to a point without, in between, increasing its loop length. The existence of a stable rubber band will imply the existence of a successful evasion strategy but, if all loops in the domain are well-contractible, then no successful evasion strategy will exist and there can be no co-adapted shy coupling. For example, there can be no shy couplings in bounded and suitably regular star-shaped domains and so, in this setting, any two reflected Brownian motions must almost surely make arbitrarily close encounters as t tends to infinity.

math.PR↗
arXiv2012

Invisibility via reflecting coating

We construct a subset $A$ of the unit disc with the following properties. (i) The set $A$ is the finite union of disjoint line segments. (ii) The shadow of $A$ is arbitrarily close to the shadow of the unit disc in "most" directions. (iii) If the line segments are considered to be mirrors reflecting light according to the classical law of specular reflection then most light rays hitting the set emerge on the other side of the disc moving along a parallel line and shifted by an arbitrarily small amount. We also construct a set which reflects almost all light rays coming from one direction to another direction but its shadow is arbitrarily small in other directions, except for an arbitrarily small family of directions.

math.MG↗
arXiv2012

Deterministic approximations of random reflectors

Within classical optics, one may add microscopic "roughness" to a macroscopically flat mirror so that parallel rays of a given angle are reflected at different outgoing angles. Taking the limit (as the roughness becomes increasingly microscopic) one obtains a flat surface that reflects randomly, i.e., the transition from incoming to outgoing ray is described by a probability kernel (whose form depends on the nature of the microscopic roughness). We consider two-dimensional optics (a.k.a. billiards) and show that every random reflector on a line that satisfies a necessary measure-preservation condition (well established in the theory of billiards) can be approximated by deterministic reflectors in this way.

math.PR↗
arXiv2012

Archimedes' principle for Brownian liquid

We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many interesting implications, including an illustration of the Archimedes' principle. The analysis rests on constructing reflecting Brownian motion with drift in a general open connected domain and studying its stationary distribution. In dimension two we utilize known results about sphere packing.

math.PR↗
arXiv2011

Extinction of Fleming-Viot-type particle systems with strong drift

We consider a Fleming-Viot-type particle system consisting of independently moving particles that are killed on the boundary of a domain. At the time of death of a particle, another particle branches. If there are only two particles and the underlying motion is a Bessel process on $(0,\infty)$, both particles converge to 0 at a finite time if and only if the dimension of the Bessel process is less than 0. If the underlying diffusion is Brownian motion with a drift stronger than (but arbitrarily close to, in a suitable sense) the drift of a Bessel process, all particles converge to 0 at a finite time, for any number of particles.

math.PR↗
arXiv2011

Isolated zeros for Brownian motion with variable drift

It is well known that standard one-dimensional Brownian motion B(t) has no isolated zeros almost surely. We show that for any alpha<1/2 there are alpha-Hölder continuous functions f for which the process B-f has isolated zeros with positive probability. We also prove that for any continuous function f, the zero set of B-f has Hausdorff dimension at least 1/2 with positive probability, and 1/2 is an upper bound if f is 1/2-Hölder continuous or of bounded variation.

math.PR↗
arXiv2010

Crowding of Brownian spheres

We study two models consisting of reflecting one-dimensional Brownian "particles" of positive radius. We show that the stationary empirical distributions for the particle systems do not converge to the harmonic function for the generator of the individual particle process, unlike in the case when the particles are infinitely small.

math.PR↗
arXiv2010

A change of variable formula with Itô correction term

We consider the solution $u(x,t)$ to a stochastic heat equation. For fixed $x$, the process $F(t)=u(x,t)$ has a nontrivial quartic variation. It follows that $F$ is not a semimartingale, so a stochastic integral with respect to $F$ cannot be defined in the classical Itô sense. We show that for sufficiently differentiable functions $g(x,t)$, a stochastic integral $\int g(F(t),t)\,dF(t)$ exists as a limit of discrete, midpoint-style Riemann sums, where the limit is taken in distribution in the Skorokhod space of cadlag functions. Moreover, we show that this integral satisfies a change of variable formula with a correction term that is an ordinary Itô integral with respect to a Brownian motion that is independent of $F$.

math.PR↗
arXiv2010

Stationary distributions for jump processes with inert drift

We analyze jump processes $Z$ with ``inert drift'' determined by a ``memory'' process $S$. The state space of $(Z,S)$ is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of $(Z,S)$ is the product of the uniform probability measure and a Gaussian distribution.

math.PR↗
arXiv2010

Stationary distributions for jump processes with memory

We analyze a jump processes $Z$ with a jump measure determined by a "memory" process $S$. The state space of $(Z,S)$ is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of $(Z,S)$ is the product of the uniform probability measure and a Gaussian distribution.

math.PR↗
arXiv2009

Non-extinction of a Fleming-Viot particle model

We consider a branching particle model in which particles move inside a Euclidean domain according to the following rules. The particles move as independent Brownian motions until one of them hits the boundary. This particle is killed but another randomly chosen particle branches into two particles, to keep the population size constant. We prove that the particle population does not approach the boundary simultaneously in a finite time in some Lipschitz domains. This is used to prove a limit theorem for the empirical distribution of the particle family.

math.PR↗
arXiv2008

Differentiability of stochastic flow of reflected Brownian motions

We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for reflected Brownian motion. The method of proof is based on excursion theory and analysis of the deterministic Skorokhod equation.

math.PR↗
arXiv2008

Multiplicative functional for reflected Brownian motion via deterministic ODE

We prove that a sequence of semi-discrete approximations converges to a multiplicative functional for reflected Brownian motion, which intuitively represents the Lyapunov exponent for the corresponding stochastic flow. The method of proof is based on a study of the deterministic version of the problem and the excursion theory.

math.PR↗
arXiv2008

Discrete approximations to reflected Brownian motion

In this paper we investigate three discrete or semi-discrete approximation schemes for reflected Brownian motion on bounded Euclidean domains. For a class of bounded domains $D$ in $\mathbb{R}^n$ that includes all bounded Lipschitz domains and the von Koch snowflake domain, we show that the laws of both discrete and continuous time simple random walks on $D\cap2^{-k}\mathbb{Z}^n$ moving at the rate $2^{-2k}$ with stationary initial distribution converge weakly in the space $\mathbf{D}([0,1],\mathbb{R}^n)$, equipped with the Skorokhod topology, to the law of the stationary reflected Brownian motion on $D$. We further show that the following ``myopic conditioning'' algorithm generates, in the limit, a reflected Brownian motion on any bounded domain $D$. For every integer $k\geq1$, let $\{X^k_{j2^{-k}},j=0,1,2,...\}$ be a discrete time Markov chain with one-step transition probabilities being the same as those for the Brownian motion in $D$ conditioned not to exit $D$ before time $2^{-k}$. We prove that the laws of $X^k$ converge to that of the reflected Brownian motion on $D$. These approximation schemes give not only new ways of constructing reflected Brownian motion but also implementable algorithms to simulate reflected Brownian motion.

math.PR↗
arXiv2008

Stationary distributions for diffusions with inert drift

Consider a reflecting diffusion in a domain in $R^d$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the reflecting process and the value of the drift vector has a product form. Moreover, the first component is the symmetrizing measure on the domain for the reflecting diffusion without inert drift, and the second component has a Gaussian distribution. We also consider processes where the drift is given in terms of the gradient of a potential.

math.PR↗
arXiv2007

The Skorokhod problem in a time-dependent interval

We consider the Skorokhod problem in a time-varying interval. We prove existence and uniqueness for the solution. We also express the solution in terms of an explicit formula. Moving boundaries may generate singularities when they touch. We establish two sets of sufficient conditions on the moving boundaries that guarantee that the variation of the local time of the associated reflected Brownian motion is, respectively, finite and infinite. We also apply these results to study the semimartingale property of a class of two-dimensional reflected Brownian motions.

math.PR↗