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At least 73 records · Page 4Linked to original sources

Continuum statistics of the Airy2 process

We develop an exact determinantal formula for the probability that the Airy$_2$ process is bounded by a function $g$ on a finite interval. As an application, we provide a direct proof that $\sup(\aip(x)-x^2)$ is distributed as a GOE random variable. Both the continuum formula and the GOE result have applications in the study of the end point of an unconstrained directed polymer in a disordered environment. We explain Johansson's [Joh03] observation that the GOE result follows from this polymer interpretation and exact results within that field. In a companion paper [MQR11] these continuum statistics are used to compute the distribution of the endpoint of directed polymers.

math.PR↗

A regularity method for lower bounds on the Lyapunov exponent for stochastic differential equations

We put forward a new method for obtaining quantitative lower bounds on the top Lyapunov exponent of stochastic differential equations (SDEs). Our method combines (i) an (apparently new) identity connecting the top Lyapunov exponent to a Fisher information-like functional of the stationary density of the Markov process tracking tangent directions with (ii) a novel, quantitative version of Hörmander's hypoelliptic regularity theory in an $L^1$ framework which estimates this (degenerate) Fisher information from below by a $W^{s,1}_{\mathrm{loc}}$ Sobolev norm. This method is applicable to a wide range of systems beyond the reach of currently existing mathematically rigorous methods. As an initial application, we prove the positivity of the top Lyapunov exponent for a class of weakly-dissipative, weakly forced SDE; in this paper we prove that this class includes the Lorenz 96 model in any dimension, provided the additive stochastic driving is applied to any consecutive pair of modes.

math.DS↗

Bounds for survival probabilities in supercritical Galton-Watson processes and applications to population genetics

Population genetic processes, such as the adaptation of a quantitative trait to directional selection, may occur on longer time scales than the sweep of a single advantageous mutation. To study such processes in finite populations, approximations for the time course of the distribution of a beneficial mutation were derived previously by branching process methods. The application to the evolution of a quantitative trait requires bounds for the probability of survival $S^{(n)}$ up to generation $n$ of a single beneficial mutation. Here, we present a method to obtain a simple, analytically explicit, either upper or lower, bound for $S^{(n)}$ in a supercritical Galton-Watson process. We prove the existence of an upper bound for offspring distributions including Poisson, binomial, and negative binomial. They are constructed by bounding the given generating function, $φ$, by a fractional linear one that has the same survival probability $S^\infty$ and yields the same rate of convergence of $S^{(n)}$ to $S^\infty$ as $φ$. For distributions with at most three offspring, we characterize when this method yields an upper bound, a lower bound, or only an approximation. Because for many distributions it is difficult to get a handle on $S^\infty$, we derive an approximation by series expansion in $s$, where $s$ is the selective advantage of the mutant. We briefly review well-known asymptotic results that generalize Haldane's approximation $2s$ for $S^\infty$, as well as less well-known results on sharp bounds for $S^\infty$. We apply them to explore when bounds for $S^{(n)}$ exist for a family of generalized Poisson distributions. Numerical results demonstrate the accuracy of our and of previously derived bounds for $S^\infty$ and $S^{(n)}$. Finally, as an application we determine the response of a quantitative trait caused by new beneficial mutations to prolonged directional selection.

math.PR↗

Restricted Isometries for Partial Random Circulant Matrices

In the theory of compressed sensing, restricted isometry analysis has become a standard tool for studying how efficiently a measurement matrix acquires information about sparse and compressible signals. Many recovery algorithms are known to succeed when the restricted isometry constants of the sampling matrix are small. Many potential applications of compressed sensing involve a data-acquisition process that proceeds by convolution with a random pulse followed by (nonrandom) subsampling. At present, the theoretical analysis of this measurement technique is lacking. This paper demonstrates that the $s$th order restricted isometry constant is small when the number $m$ of samples satisfies $m \gtrsim (s \log n)^{3/2}$, where $n$ is the length of the pulse. This bound improves on previous estimates, which exhibit quadratic scaling.

cs.IT↗

From a kinetic equation to a diffusion under an anomalous scaling

A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process (K(t), i(t), Y(t)), where (K(t), i(t)) is an autonomous reversible jump process, with waiting times between two jumps with finite expectation value but infinite variance, and Y(t) is an additive functional of K(t). We prove that under an anomalous rescaling Y converges in distribution to a two-dimensional Brownian motion. As a consequence, the appropriately rescaled solution of the Boltzmann equation converges to a diffusion equation.

math.PR↗

Multifractal Formalism from Large Deviations

It has often been observed that the Multifractal Formalism and the Large Deviation Principles are intimately related. In fact, Multifractal Formalism was heuristically derived using the Large Deviations ideas. In numerous examples in which the multifractal results have been rigorously established, the corresponding Large Deviation results are valid as well. Moreover, the proofs of multifractal and large deviations are remarkably similar. The natural question then is whether under which conditions multifractal formalism can be deduced from the corresponding large deviations results. More specifically, given a sequence of random variables $\{ {X_n} \}_{n\in\N}$, satisfying a Large Deviation Principle, what can be said about the multifractal nature of the level sets $K_α=\{ω: \lim_{n} \frac{X_n(ω)}{n}=α\}$. Under some technical assumptions, we establish the upper and lower bounds for multifractal spectra in terms of the large deviation rate functions, and show that many known results of multifractal formalism are covered by our setup.

math.DS↗

Two Groups in a Curie-Weiss Model with Heterogeneous Coupling

We discuss a Curie-Weiss model with two groups with different coupling constants within and between groups. For the total magnetisations in each group, we show bivariate laws of large numbers and a central limit theorem which is valid in the high temperature regime. In the critical regime, the total magnetisation normalised by $N^{3/4}$ converges to a non-trivial distribution which is not Gaussian, just as in the single-group Curie-Weiss model. Finally, we prove a kind of a `law of large numbers' in the low temperature regime, more precisely we prove that the empirical magnetisation converges in distribution to a mixture of two Dirac measures.

math.PR↗

On polynomial recurrence for reliability system with a warm reserve

Conditions for positive and polynomial recurrence have been proposed for a class of reliability models of two elements with transitions from working state to failure and back. As a consequence, uniqueness of stationary distribution of the model is proved; the rate of convergence towards this distribution may be theoretically evaluated on the basis of the established recurrence.

math.PR↗

Characterizing Complex Particle Morphologies Through Shape Matching: Descriptors, Applications, and Algorithms

Many standard structural quantities, such as order parameters and correlation functions, exist for common condensed matter systems, such as spherical and rod-like particles. However, these structural quantities are often insufficient for characterizing the unique and highly complex structures often encountered in the emerging field of nano and microscale self-assembly, or other disciplines involving complex structures such as computational biology. Computer science algorithms known as "shape matching" methods pose a unique solution to this problem by providing robust metrics for quantifying the similarity between pairs of arbitrarily complex structures. This pairwise matching operation, either implicitly or explicitly, lies at the heart of most standard structural characterization schemes for particle systems. By substituting more robust "shape descriptors" into these schemes we extend their applicability to structures formed from more complex building blocks. Here, we describe several structural characterization schemes and shape descriptors that can be used to obtain various types of structural information about particle systems. We demonstrate the application of shape matching algorithms to a variety of example problems, for topics including local and global structure identification and classification, automated phase diagram mapping, and the construction of spatial and temporal correlation functions. The methods are applicable to a wide range of systems, both simulated and experimental, provided particle positions are known or can be accurately imaged.

cond-mat.soft↗

A Milstein scheme for SPDEs

This article studies an infinite dimensional analog of Milstein's scheme for finite dimensional stochastic ordinary differential equations (SODEs). The Milstein scheme is known to be impressively efficient for SODEs which fulfill a certain commutativity type condition. This article introduces the infinite dimensional analog of this commutativity type condition and observes that a certain class of semilinear stochastic partial differential equation (SPDEs) with multiplicative trace class noise naturally fulfills the resulting infinite dimensional commutativity condition. In particular, a suitable infinite dimensional analog of Milstein's algorithm can be simulated efficiently for such SPDEs and requires less computational operations and random variables than previously considered algorithms for simulating such SPDEs. The analysis is supported by numerical results for a stochastic heat equation and stochastic reaction diffusion equations showing signifficant computational savings.

math.NA↗

Expansions of one density via polynomials orthogonal with respect to the other

We expand the Chebyshev polynomials and some of its linear combination in linear combinations of the q-Hermite, the Rogers (q-utraspherical) and the Al-Salam--Chihara polynomials and vice versa. We use these expansions to obtain expansions of some densities, including q-Normal and some related to it, in infinite series constructed of the products of the other density times polynomials orthogonal to it, allowing deeper analysis and discovering new properties. On the way we find an easy proof of expansion of the Poisson--Mehler kernel as well as its reciprocal. We also formulate simple rule relating one set of orthogonal polynomials to the other given the properties of the ratio of the respective densities of measures orthogonalizing these polynomials sets.

math.CA↗

Stopping times are hitting times: a natural representation

There exists a simple, didactically useful one-to-one relationship between stopping times and adapted càglàd (LCRL) processes that are non-increasing and take the values 0 and 1 only. As a consequence, stopping times are always hitting times.

math.PR↗

Gaussian distributions on Riemannian symmetric spaces, random matrices, and planar Feynman diagrams

Gaussian distributions can be generalized from Euclidean space to a wide class of Riemannian manifolds. Gaussian distributions on manifolds are harder to make use of in applications since the normalisation factors, which we will refer to as partition functions, are complicated, intractable integrals in general that depend in a highly non-linear way on the mean of the given distribution. Nonetheless, on Riemannian symmetric spaces, the partition functions are independent of the mean and reduce to integrals over finite dimensional vector spaces. These are generally still hard to compute numerically when the dimension (more precisely the rank $N$) of the underlying symmetric space gets large. On the space of positive definite Hermitian matrices, it is possible to compute these integrals exactly using methods from random matrix theory and the so-called Stieltjes-Wigert polynomials. In other cases of interest to applications, such as the space of symmetric positive definite (SPD) matrices or the Siegel domain (related to block-Toeplitz covariance matrices), these methods seem not to work quite as well. Nonetheless, it remains possible to compute leading order terms in a large $N$ limit, which provide increasingly accurate approximations as $N$ grows. This limit is inspired by realizing a given partition function as the partition function of a zero-dimensional quantum field theory or even Chern-Simons theory. From this point of view the large $N$ limit arises naturally and saddle-point methods, Feynman diagrams, and certain universalities that relate different spaces emerge.

math.PR↗

Random triangular groups at density 1/3

Let Γ(n,p) denote the binomial model of a random triangular group. We show that there exist constants c, C > 0 such that if p <= c/n^2, then a.a.s. Γ(n,p) is free and if p >= C log n/n^2 then a.a.s. Γ(n,p) has Kazhdan's property (T). Furthermore, we show that there exist constants C',c' > 0 such that if C'/n^2 <= p <= c' log n/n^2, then a.a.s. Γ(n,p) is neither free nor has Kazhdan's property (T).

math.GR↗

Explicit One-Step Strong Numerical Methods of Orders 2.0 and 2.5 for Ito Stochastic Differential Equations Based on the Unified Taylor-Ito and Taylor-Stratonovich Expansions

The article is devoted to the construction of explicit one-step strong numerical methods with the orders 2.0 and 2.5 of convergence for Ito stochastic differential equations with multidimensional non-commutative noise. We consider the numerical methods based on the unified Taylor-Ito and Taylor-Stratonovich expansions. For the numerical modeling of iterated Ito and Stratonovich stochastic integrals of multiplicities 1 to 5 we apply the method of multiple Fourier-Legendre series converging in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k=1,\ldots,5$. The article is addressed to engineers who use numerical modeling in stochastic control and for solving the non-linear filtering problem. The article will be interesting to scientists who working in the field of numerical integration of stochastic differential equations.

math.PR↗

GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization

In this paper we provide Galtchouk-Kunita-Watanabe representation results in the case where there are restrictions on the available information. This allows to prove existence and uniqueness for linear backward stochastic differential equations driven by a general càdlàg martingale under partial information. Furthermore, we discuss an application to risk-minimization where we extend the results of Föllmer and Sondermann (1986) to the partial information framework and we show how our result fits in the approach of Schweizer (1994).

math.PR↗

$L^p$ $(p\geq 1)$ solutions of multidimensional BSDEs with monotone generators in general time intervals

In this paper, we are interested in solving general time interval multidimensional backward stochastic differential equations in $L^p$ $(p\geq 1)$. We first study the existence and uniqueness for $L^p$ $(p>1)$ solutions by the method of convolution and weak convergence when the generator is monotonic in $y$ and Lipschitz continuous in $z$ both non-uniformly with respect to $t$. Then we obtain the existence and uniqueness for $L^1$ solutions with an additional assumption that the generator has a sublinear growth in $z$ non-uniformly with respect to $t$.

math.PR↗

Integrability of exit times and ballisticity for random walks in Dirichlet environment

We consider random walks in Dirichlet environment, introduced by Enriquez and Sabot in 2006. As this distribution on environments is not uniformly elliptic, the annealed integrability of exit times out of a given finite subset is a non-trivial property. We provide here an explicit equivalent condition for this integrability to happen, on general directed graphs. Such integrability problems arise for instance from the definition of Kalikow auxiliary random walk. Using our condition, we prove a refined version of the ballisticity criterion given by Enriquez and Sabot.

math.PR↗