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Takis Konstantopoulos

Publications and source records attributed to Takis Konstantopoulos.

33 records · Page 2Linked to original sources
arXiv2016

Polynomial approximations to continuous functions and stochastic compositions

This paper presents a stochastic approach to theorems concerning the behavior of iterations of the Bernstein operator $B_n$ taking a continuous function $f \in C[0,1]$ to a degree-$n$ polynomial when the number of iterations $k$ tends to infinity and $n$ is kept fixed or when $n$ tends to infinity as well. In the first instance, the underlying stochastic process is the so-called Wright-Fisher model, whereas, in the second instance, the underlying stochastic process is the Wright-Fisher diffusion. Both processes are probably the most basic ones in mathematical genetics. By using Markov chain theory and stochastic compositions, we explain probabilistically a theorem due to Kelisky and Rivlin, and by using stochastic calculus we compute a formula for the application of $B_n$ a number of times $k=k(n)$ to a polynomial $f$ when $k(n)/n$ tends to a constant.

math.PR↗
arXiv2015

Laplace transform asymptotics and large deviation principles for longest success runs in Bernoulli trials

The longest stretch $L(n)$ of consecutive heads in $n$ i.i.d. coin tosses is seen from the prism of large deviations. We first establish precise asymptotics for the moment generating function of $L(n)$ and then show that there are precisely two large deviation principles, one concerning the behavior of the distribution of $L(n)$ near its nominal value $\log_{1/p} n$ and one away from it. We discuss applications to inference and to logarithmic asymptotics of functionals of $L(n)$.

math.PR↗
arXiv2014

Runs in coin tossing: a general approach for deriving distributions for functionals

We take a fresh look at the classical problem of runs in a sequence of i.i.d.\ coin tosses and derive a general identity/recursion which can be used to compute (joint) distributions of functionals of run types. This generalizes and unifies already existing approaches. We give several examples, derive asymptotics, and pose some further questions.

math.PR↗
arXiv2014

The mobile Boolean model: an overview and further results

This paper offers an overview of the mobile Boolean stochastic geometric model which is a time-dependent version of the ordinary Boolean model in a Euclidean space of dimension $d$. The main question asked is that of obtaining the law of the detection time of a fixed set. We give various ways of thinking about this which result into some general formulas. The formulas are solvable in some special cases, such the inertial and Brownian mobile Boolean models. In the latter case, we obtain some expressions for the distribution of the detection time of a ball, when the dimension $d$ is odd and asymptotics when $d$ is even. Finally, we pose some questions for future research.

math.PR↗
arXiv2013

Convergence to the Tracy-Widom distribution for longest paths in a directed random graph

We consider a directed graph on the 2-dimensional integer lattice, placing a directed edge from vertex $(i_1,i_2)$ to $(j_1,j_2)$, whenever $i_1 \le j_1$, $i_2 \le j_2$, with probability $p$, independently for each such pair of vertices. Let $L_{n,m}$ denote the maximum length of all paths contained in an $n \times m$ rectangle. We show that there is a positive exponent $a$, such that, if $m/n^a \to 1$, as $n \to \infty$, then a properly centered/rescaled version of $L_{n,m}$ converges weakly to the Tracy-Widom distribution. A generalization to graphs with non-constant probabilities is also discussed.

math.PR↗
arXiv2011

Iterating Brownian motions, ad libitum

Let B_1,B_2, ... be independent one-dimensional Brownian motions defined over the whole real line such that B_i(0)=0. We consider the nth iterated Brownian motion W_n(t)= B_n(B_{n-1}(...(B_2(B_1(t)))...)). Although the sequences of processes (W_n) do not converge in a functional sense, we prove that the finite-dimensional marginals converge. As a consequence, we deduce that the random occupation measures of W_n converge towards a random probability measure μ_\infty. We then prove that μ_\infty almost surely has a continuous density which must be thought of as the local time process of the infinite iteration of independent Brownian motions.

math.PR↗
arXiv2010

On the excursions of reflected local time processes and stochastic fluid queues

This paper extends previous work by the authors. We consider the local time process of a strong Markov process, add negative drift, and reflect it à la Skorokhod. The resulting process is used to model a fluid queue. We derive an expression for the joint law of the duration of an excursion, the maximum value of the process on it, and the time distance between successive excursions. We work with a properly constructed stationary version of the process. Examples are also given in the paper.

math.PR↗
arXiv2010

Limit theorems for a random directed slab graph

We consider a stochastic directed graph on the integers whereby a directed edge between $i$ and a larger integer $j$ exists with probability $p_{j-i}$ depending solely on the distance between the two integers. Under broad conditions, we identify a regenerative structure that enables us to prove limit theorems for the maximal path length in a long chunk of the graph. The model is an extension of a special case of graphs studied by Foss and Konstantopoulos, Markov Process and Related Fields, 9, 413-468. We then consider a similar type of graph but on the `slab' $\Z \times I$, where $I$ is a finite partially ordered set. We extend the techniques introduced in the in the first part of the paper to obtain a central limit theorem for the longest path. When $I$ is linearly ordered, the limiting distribution can be seen to be that of the largest eigenvalue of a $|I| \times |I|$ random matrix in the Gaussian unitary ensemble (GUE).

math.PR↗
arXiv2010

Integral representation of Skorokhod reflection

We show that a certain integral representation of the one-sided Skorokhod reflection of a continuous bounded variation function characterizes the reflection in that it possesses a unique maximal solution which solves the Skorokhod reflection problem.

math.PR↗
arXiv2008

A stochastic epidemiological model and a deterministic limit for BitTorrent-like peer-to-peer file-sharing networks

In this paper, we propose a stochastic model for a file-sharing peer-to-peer network which resembles the popular BitTorrent system: large files are split into chunks and a peer can download or swap from another peer only one chunk at a time. We prove that the fluid limits of a scaled Markov model of this system are of the coagulation form, special cases of which are well-known epidemiological (SIR) models. In addition, Lyapunov stability and settling-time results are explored. We derive conditions under which the BitTorrent incentives under consideration result in shorter mean file-acquisition times for peers compared to client-server (single chunk) systems. Finally, a diffusion approximation is given and some open questions are discussed.

math.PR↗
arXiv2007

Analysis of stochastic fluid queues driven by local time processes

We consider a stochastic fluid queue served by a constant rate server and driven by a process which is the local time of a certain Markov process. Such a stochastic system can be used as a model in a priority service system, especially when the time scales involved are fast. The input (local time) in our model is always singular with respect to the Lebesgue measure which in many applications is ``close'' to reality. We first discuss how to rigorously construct the (necessarily) unique stationary version of the system under some natural stability conditions. We then consider the distribution of performance steady-state characteristics, namely, the buffer content, the idle period and the busy period. These derivations are much based on the fact that the inverse of the local time of a Markov process is a Lévy process (a subordinator) hence making the theory of Lévy processes applicable. Another important ingredient in our approach is the Palm calculus coming from the point process point of view.

math.PR↗
arXiv2007

Stationary flows and uniqueness of invariant measures

In this short paper, we consider a quadruple $(Ω, Å, θ, μ)$,where $Å$ is a $σ$-algebra of subsets of $Ω$, and $θ$ is a measurable bijection from $Ω$ into itself that preserves the measure $μ$. For each $B \in Å$, we consider the measure $μ_B$ obtained by taking cycles (excursions) of iterates of $θ$ from $B$. We then derive a relation for $μ_B$ that involves the forward and backward hitting times of $B$ by the trajectory $(θ^n ω, n \in \Z)$ at a point $ω\in Ω$. Although classical in appearance, its use in obtaining uniqueness of invariant measures of various stochastic models seems to be new. We apply the concept to countable Markov chains and Harris processes.

math.PR↗
arXiv2005

The principle of a single big jump: discrete and continuous time modulated random walks with heavy-tailed increments

We consider a modulated process S which, conditional on a background process X, has independent increments. Assuming that S drifts to -infinity and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we exhibit natural conditions under which the asymptotics of the tail distribution of the overall maximum of S can be computed. We present results in discrete and in continuous time. In particular, in the absence of modulation, the process S in continuous time reduces to a Levy process with heavy-tailed Levy measure. A central point of the paper is that we make full use of the so-called ``principle of a single big jump'' in order to obtain both upper and lower bounds. Thus, the proofs are entirely probabilistic. The paper is motivated by queueing and Levy stochastic networks.

math.PR↗