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arXiv2023

Moments of partition functions of 2D Gaussian polymers in the weak disorder regime -- II

Let $W_N(β) = \mathrm{E}_0\left[e^{ \sum_{n=1}^N βω(n,S_n) - Nβ^2/2}\right]$ be the partition function of a two-dimensional directed polymer in a random environment, where $ω(i,x), i\in \mathbb{N}, x\in \mathbb{Z}^2$ are i.i.d. standard normal and $\{S_n\}$ is the path of a random walk. With $β=β_N=\widehatβ \sqrt{π/\log N}$ and $\widehatβ\in (0,1)$ (the subcritical window), $\log W_N(β_N)$ is known to converge in distribution to a Gaussian law of mean $-λ^2/2$ and variance $λ^2$, with $λ^2=\log ((1-\widehatβ^2)^{-1})$ (Caravenna, Sun, Zygouras, Ann. Appl. Probab. (2017)). We study in this paper the moments $\mathbb E [W_N( β_N)^q]$ in the subcritical window, and prove a lower bound that matches for $q=O(\sqrt{\log N})$ the upper bound derived by us in Cosco, Zeitouni, arXiv:2112.03767 [math.PR]. The analysis is based on appropriate decouplings and a Poisson convergence that uses the method of ''two moments suffice''.

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arXiv2023

Remarks on the two-dimensional magnetohydrodynamics system forced by space-time white noise

We study the two-dimensional magnetohydrodynamics system forced by space-time white noise. Due to a lack of an explicit invariant measure, the approach of Da Prato and Debussche (2002, J. Funct. Anal., \textbf{196}, pp. 180--210) on the Navier-Stokes equations does not seem to fit. We follow instead the approach of Hairer and Rosati (2023, arXiv:2301.11059 [math.PR]), take advantage of the structure of Maxwell's equation, such as anti-symmetry, to find an appropriate paracontrolled ansatz and many crucial cancellations, and prove the global-in-time existence and uniqueness of its solution.

math.AP↗
arXiv2024

Uniform log-Sobolev inequalities for mean field particles with flat-convex energy

The purpose of this short note is to demonstrate uniform logarithmic Sobolev inequalities for the mean field gradient particle systems associated to an energy functional that is convex in the flat sense. A defective log-Sobolev inequality was already established implicitly in a previous joint work with F. Chen and Z. Ren [arXiv:2212.03050 [math.PR]]. It remains only to tighten it by a uniform Poincaré inequality, which we prove by the method in a recent work of Guillin, W. Liu, L. Wu and C. Zhang [Ann. Appl. Probab., 32(3):1590-1614, 2022]. As an application, we show that the particle system exhibits the concentration of measure phenomenon in the long time.

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arXiv2025

Global unique solution to the perturbation of the Burgers' equation forced by derivatives of space-time white noise

We consider the one-dimensional Burgers' equation forced by fractional derivative of order $\frac{1}{2}$ applied on space-time white noise. Relying on the approaches of Anderson Hamiltonian from Allez and Chouk (2015, arXiv:1511.02718 [math.PR]) and two-dimensional Navier-Stokes equations forced by space-time white noise from Hairer and Rosati (2024, Annals of PDE, \textbf{10}, pp. 1--46), we prove the global-in-time existence and uniqueness of its mild and weak solutions.

math.AP↗
arXiv2025

Conditions for Equivalence of Random Interlacements and Random Walk Reflected off of Infinity

On a transient weighted graph, there are two models of random walk which continue after reaching infinity: random interlacements, and random walk reflected off of infinity, recently introduced in arXiv:2506.18827 [math.PR]. We prove these two models are equivalent if and only if all harmonic functions of the underlying graph with finite Dirichlet energy are constant functions, or equivalently, the free and wired spanning forests coincide. In particular, examples where the models are equivalent include $\mathbb{Z}^d$, cartesian products, and many Cayley graphs, while examples that fail the condition include all transient trees.

math.PR↗
arXiv2001

Sharp estimates for Brownian non-intersection probabilities

This paper gives an accessible (but still technical) self-contained proof to the fact that the intersection probabilities for planar Brownian motion are given in terms of the intersection exponents, up to a bounded multiplicative error, and some closely related results. While most of the results are already known, the proofs are somewhat new, and the paper can serve as a source for the estimates used in our paper on the analyticity of the Brownian intersection exponents (math.PR/0005295).

math.PR↗
arXiv2002

Conformal fields, restriction properties, degenerate representations and SLE

In this note, we show how to relate the Schramm-Loewner Evolution processes (SLE) to highest-weight representations of the Virasoro Algebra. The conformal restriction properties of SLE that have been recently studied in the paper arXiv:math.PR/0209343 by G. Lawler, O. Schramm and the second author play an instrumental role. In this setup, various considerations from conformal field theory can be interpreted and reformulated via SLE. This enables to make a concrete link between the two-dimensional discrete critical systems from statistical physics and conformal field theory.

math.PR↗
arXiv2003

Girsanov's transformation for SLE(kappa,rho) processes, intersection exponents and hiding exponents

We relate the formulas giving Brownian (and other) intersection exponents to the absolute continuity relations between Bessel process of different dimensions, via the two-parameter family of Schramm-Loewner Evolution processes SLE(kappa,rho) introduced in arXiv:math.PR/0209343. This allows also to compute the value of some new exponents (``hiding exponents'') related to SLEs and planar Brownian motions.

math.PR↗
arXiv2003

Aspects of Randomization in Infinitely Divisible and Max-Infinitely Divisible Laws

Continuing the study reported in Satheesh (2001),(arXiv:math.PR/0304499 dated 01May2003) here we study certain aspects of randomization in infinitely divisible (ID) and max-infinitely divisible (MID) laws. They generalize ID and MID laws. In particular we study mixtures of ID & MID laws, its relation to random sums & random maximums, corresponding stationary processes & extremal processes and some of their properties. It is shown that mixtures of ID laws and mixtures of MID laws appear as limits of random sums and random maximums respectively. We identify a class of probability generating functions for N, the random sample size. A method to construct class-L laws is given.

math.PR↗
arXiv2003

SLEs as boundaries of clusters of Brownian loops

In this research announcement, we show that SLE curves can in fact be viewed as boundaries of certain simple Poissonian percolation clusters: Recall that the Brownian loop-soup (introduced in the paper arxiv:math.PR/0304419 with Greg Lawler) with intensity c defines a Poissonian collection of (simple if one focuses only on the outer boundary) loops in a domain. This random family of (possibly intersecting) loops is conformally invariant (and there are almost surely infinitely many small loops in any sample). We show that there exists a critical value a in (0,1] such that if one colors all the interiors of the loops, the obtained clusters are bounded when c a, one single cluster fills the domain. We prove that for small c, the outer boundaries of the clusters are SLE-type curves where $κ\le 4$ and $c$ related by the usual relation $c=(3κ-8)(6-κ)/2κ$ (i.e. c corresponds to the central charge of the model). Conjecturally, the critical value a is equal to one and corresponds to SLE4 loops, so that this should give for any c in (0,1] a construction of a natural countable family of random disjoint SLE$_κ$ loops (i.e. $κ$ should span $(8/3,4]$), that behaves ``nicely'' under perturbation of the domain. A precise relation between chordal SLE and the loop-soup goes as follows: Consider the sample of a certain restriction measure (i.e. a certain union of Brownian excursions) in a domain, attach to it all the above-described clusters that it intersects. The outer boundary of the obtained set is exactly an SLE$_κ$, if the restriction measure exponent is equal to the highest-weight of the corresponding representation with central charge c.

math.PR↗
arXiv2004

Percolation and lattice animals: exponent relations, and conditions for $θ(p_c)=0$

We examine the percolation model in $\mathbb{Z}^d$ by an approach involving lattice animals, in which their relevant characteristic is surface-area-to-volume ratio. Two critical exponents are introduced. The first is related to the growth rate in size of the number of lattice animals up to translation whose surface-area-to-volume ratio is marginally greater than $1/p_c -1$. The second describes how unusually large clusters form in the percolation model at parameter values slightly below $p_c$. Certain inequalities on the pair of exponents cannot be satisfied, while others imply the continuity of the percolation probability. The first exponent is related to one of a more conventional nature, that of correlation size. In this paper, the central aspects of the approach are described, and the proofs of the main results are presented. The report located at math.PR/0402026 gives complete proofs of all of the assertions.

math.PR↗
arXiv2006

Level Crossing Probabilities II: Polygonal Recurrence of Multidimensional Random Walks

In part I (math.PR/0406392) we proved for an arbitrary one-dimensional random walk with independent increments that the probability of crossing a level at a given time n is of the maximal order square root of n. In higher dimensions we call a random walk 'polygonally recurrent' (resp. transient) if a.s. infinitely many (resp. finitely many) of the straight lines between two consecutive sites hit a given bounded set. The above estimate implies that three-dimensional random walks with independent components are polygonally transient. Similarly a directionally reinforced random walk on Z^3 in the sense of Mauldin, Monticino and v.Weizsaecker [1] is transient. On the other hand we construct an example of a transient but polygonally recurrent random walk with independent components on Z^2.

math.PR↗
arXiv2006

State Dependent Utility

We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in future times as they are valued when the economic agents are making their consumption and investment decisions. The theoretical framework used for the model is one proposed by the author in Dynamic State Tameness {arXiv:math.PR/0509139}. The proposed framework is a generalization of the theory of Brownian flows and can be applied to those processes that are the solutions of classical It^o stochastic differential equations, even when the volatilities and drifts are just locally $δ$-Holder continuous for some $δ>0$. We develop the martingale methodology for the solution of the problem of optimal consumption and investment. Complete solutions of the optimal consumption and portfolio problem are obtained in a very general setting which includes several functional forms for utilities in the current literature, and consider general restrictions on minimal wealths. As a secondary result we obtain a suitable representation for straightforward numerical computations of the optimal consumption and investment strategies.

math.PR↗
arXiv2006

A new formulation of the spine approach to branching diffusions

We present a formalization of the spine change of measure approach for branching diffusions that improves on the scheme laid out for branching Brownian motion in Kyprianou (2004) ["Travelling wave solutions to the KPP equation, Ann. Inst. H. Poincare Probab. Statist. 40, no.1, pp53-72] which itself made use of earlier works of Lyons et al (1997) ["A conceptual proof of the Kesten-Stigum theorem for multi-type branching processes", Classical and modern branching processes, IMA Vol. Math. Appl., vol.84, Springer, New York, pp181-185]. We use our new formulation to interpret certain `Gibbs-Boltzmann' weightings of particles and use this to give a new, intuitive and proof of a more general `Many-to-One' result which enables expectations of sums over particles in the branching diffusion to be calculated purely in terms of an expectation of one particle. Significantly, our formalization has provided the foundations that facilitate a variety of new, greatly simplified and more intuitive proofs in branching diffusions: see, for example, the L^p convergence of additive martingales in Hardy and Harris (2006) ["Spine proofs for L^p-convergence of branching-diffusion martingales", arXiv:math.PR/0611056], the path large deviation results for branching Brownian motion in Hardy and Harris (2006) ["A conceptual approach to a path result for branching Brownian motion", Stochastic Processes and their Applications, doi:10.1016/j.spa.2006.05.010] and the large deviations for a continuous-typed branching diffusion in Git et al (2006) ["Exponential growth rates in a typed branching diffusion", Annals Applied Prob., (under revision)] and Hardy and Harris (2004) ["A spine proof of a lower-bound for a typed branching diffusion", no.0408, Mathematics Preprint, University of Bath].

math.PR↗
arXiv2006

Spine proofs for Lp-convergence of branching-diffusion martingales

Using the foundations laid down in Hardy and Harris (2006) ["A new formulation of the spine approach in branching diffusions", arXiv:math.PR/0611054], we present new spine proofs of the L^p-convergence p>=1) of some key `additive' martingales for three distinct models of branching diffusions, including new results for a multi-type branching Brownian motion and discussion of left-most particle speeds. The spine techniques we develop give clear and simple arguments in the spirit of the conceptual spine proofs found in Kyprianou (2004) ["Travelling wave solutions to the KPP equation, Ann. Inst. H. Poincare Probab. Statist. 40, no.1, pp53-72] and Lyons et al (1997) ["A conceptual proof of the Kesten-Stigum theorem for multi-type branching processes", Classical and modern branching processes, IMA Vol. Math. Appl., vol.84, Springer, New York, pp181-185], and they should also extend to more general classes of branching diffusions. Importantly, the techniques in this paper also pave the way for the path large-deviation results for branching diffusions found in Hardy and Harris (2006) ["A conceptual approach to a path result for branching Brownian motion", Stochastic Processes and their Applications, doi:10.1016/j.spa.2006.05.010].

math.PR↗
arXiv2007

Functional CLT for random walk among bounded random conductances

We consider the nearest-neighbor simple random walk on $\Z^d$, $d\ge2$, driven by a field of i.i.d. random nearest-neighbor conductances $ω_{xy}\in[0,1]$. Apart from the requirement that the bonds with positive conductances percolate, we pose no restriction on the law of the $ω$'s. We prove that, for a.e. realization of the environment, the path distribution of the walk converges weakly to that of non-degenerate, isotropic Brownian motion. The quenched functional CLT holds despite the fact that the local CLT may fail in $d\ge5$ due to anomalously slow decay of the probability that the walk returns to the starting point at a given time (cf math.PR/0611666).

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