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Bessel SPDEs with general Dirichlet boundary conditions

We generalise the integration by parts formulae obtained in arXiv:1811.00518v5 [math.PR] to Bessel bridges on $[0,1]$ with arbitrary boundary values, as well as Bessel processes with arbitrary initial conditions. This allows us to write, formally, the corresponding dynamics using renormalised local times, thus extending the Bessel SPDEs of arXiv:1811.00518v5 [math.PR] to general Dirichlet boundary conditions. We also prove a dynamical result for the case of dimension $2$, by providing a weak construction of the gradient dynamics corresponding to a $2$-dimensional Bessel bridge.

math.PR

Ramification of Volterra-type Rough Paths

We extend the new approach introduced in arXiv:1912.02064v2 [math.PR] and arXiv:2102.10119v1 [math.PR] for dealing with stochastic Volterra equations using the ideas of Rough Path theory and prove global existence and uniqueness results. The main idea of this approach is simple: Instead of the iterated integrals of a path comprising the data necessary to solve any equation driven by that path, now iterated integral convolutions with the Volterra kernel comprise said data. This leads to the corresponding abstract objects called Volterra-type Rough Paths, as well as the notion of the convolution product, an extension of the natural tensor product used in Rough Path Theory.

math.PR

Intensity doubling for Brownian loop-soups in high dimensions

We derive an intensity doubling feature of critical Brownian loop-soups on the cable-graphs of ${\mathbb Z}^d$ for $d \ge 7$ that can be described as follows: In the box $[-N, N]^d$ (and with a probability that goes to $1$ as $N$ goes to infinity), the set of all clusters of Brownian loops that do contain proper self-avoiding cycles of diameter comparable to $N$ can be decomposed into two identically distributed families: (a) The collection of clusters that do contain a large Brownian loop from the loop-soup (and therefore do automatically contain such a large cycle) (b) The collection of clusters that contain no macroscopic loop from the loop-soup (more specifically, no loop of diameter greater than $N^{\beta}$ when $\beta > 4/ (d-2)$ is fixed) but nevertheless contain a large cycle. In particular, due to the fact that these two families are asymptotically identically distributed, large cycles formed in case (b) by chains of small Brownian loops (i.e., all of diameter much smaller than $N$) will look like large Brownian loops themselves, and form a second independent "ghost" critical loop-soup in the scaling limit. Reformulated in terms of the Gaussian free field on such cable-graphs, this shows that large cycles in the collection of its sign clusters will converge in the scaling limit to a Brownian loop-soup with twice the usual critical intensity. This result had been conjectured by the first author in arXiv:2209.07901 [math.PR] ; our proof builds heavily on the second author's switching property for such loop-soups from arXiv:2502.06754 [math.PR] .

math.PR

Infinite Divisibility and Max-Infinite Divisibility with Random Sample Size

Continuing the study reported in Satheesh (2001),(math.PR/0304499 dated 01 May 2003) and Satheesh (2002)(math.PR/0305030 dated 02May 2003), here we study generalizations of infinitely divisible (ID) and max-infinitely divisible (MID) laws. We show that these generalizations appear as limits of random sums and random maximums respectively. For the random sample size N, we identify a class of probability generating functions. Necessary and sufficient conditions that implies the convergence to an ID (MID) law by the convergence to these generalizations and vise versa are given. The results generalize those on ID and random ID laws studied previously in Satheesh (2001b, 2002) and those on geometric MID laws studies in Rachev and Resnick (1991). We discuss attraction and partial attraction in this generalization of ID and MID laws.

math.PR

Tail Bounds for the Stable Marriage of Poisson and Lebesgue

Let Ξbe a discrete set in R^d. Call the elements of Ξcenters. The well-known Voronoi tessellation partitions R^d into polyhedral regions (of varying volumes) by allocating each site of R^d to the closest center. Here we study allocations of R^d to Ξin which each center attempts to claim a region of equal volume α. We focus on the case where Ξarises from a Poisson process of unit intensity. It was proved in math.PR/0505668 that there is a unique allocation which is stable in the sense of the Gale-Shapley marriage problem. We study the distance X from a typical site to its allocated center in the stable allocation. The model exhibits a phase transition in the appetite α. In the critical case α=1 we prove a power law upper bound on X in dimension d=1. It is an open problem to prove any upper bound in d\geq 2. (Power law lower bounds were proved in math.PR/0505668 for all d). In the non-critical cases α<1 and α>1 we prove exponential upper bounds on X.

math.PR

Quenched Limits for Transient, Ballistic, Sub-Gaussian One-Dimensional Random Walk in Random Environment

We consider a nearest-neighbor, one-dimensional random walk $\{X_n\}_{n\geq 0}$ in a random i.i.d. environment, in the regime where the walk is transient with speed v_P > 0 and there exists an $s\in(1,2)$ such that the annealed law of $n^{-1/s} (X_n - n v_P)$ converges to a stable law of parameter s. Under the quenched law (i.e., conditioned on the environment), we show that no limit laws are possible. In particular we show that there exist sequences {t_k} and {t_k'} depending on the environment only, such that a quenched central limit theorem holds along the subsequence t_k, but the quenched limiting distribution along the subsequence t_k' is a centered reverse exponential distribution. This complements the results of a recent paper of Peterson and Zeitouni (arXiv:0704.1778v1 [math.PR]) which handled the case when the parameter $s\in(0,1)$.

math.PR

Relative and Discrete Utility Maximising Entropy

The notion of utility maximising entropy (u-entropy) of a probability density, which was introduced and studied by Slomczynski and Zastawniak (Ann. Prob 32 (2004) 2261-2285, arXiv:math.PR/0410115 v1), is extended in two directions. First, the relative u-entropy of two probability measures in arbitrary probability spaces is defined. Then, specialising to discrete probability spaces, we also introduce the absolute u-entropy of a probability measure. Both notions are based on the idea, borrowed from mathematical finance, of maximising the expected utility of the terminal wealth of an investor. Moreover, u-entropy is also relevant in thermodynamics, as it can replace the standard Boltzmann-Shannon entropy in the Second Law. If the utility function is logarithmic or isoelastic (a power function), then the well-known notions of the Boltzmann-Shannon and Renyi relative entropy are recovered. We establish the principal properties of relative and discrete u-entropy and discuss the links with several related approaches in the literature.

math.PR

On Fluctuations of Matrix Entries of Regular Functions of Wigner Matrices with Non-Identically Distributed Entries

In this note, we extend the results about the fluctuations of the matrix entries of regular functions of Wigner random matrices obtained in arXiv:1103.3731 [math.PR] to Wigner matrices with non-i.i.d. entries provided certain Lindeberg type conditions for the fourth moments of the off-diagonal entries and the second moments of the diagonal entries are satisfied. In addition, we relax our conditions on the test functions and require that for some $s>3 \ \int (1+|k|)^{2s}\*|\hat{f}(k)|^2 \* dk <\infty.$

math.PR

Further examples with moments of Gamma type

This is an appendix containing further examples to S. Janson, Moments of Gamma type and the Brownian supremum process area, arXiv:1002.4135 [math.PR] and Probability Surveys 7 (2010), 1-52.

math.PR

Nearest neighbor Markov dynamics on Macdonald processes

Macdonald processes are certain probability measures on two-dimensional arrays of interlacing particles introduced by Borodin and Corwin (arXiv:1111.4408 [math.PR]). They are defined in terms of nonnegative specializations of the Macdonald symmetric functions and depend on two parameters (q,t), where 0<= q, t < 1. Our main result is a classification of continuous time, nearest neighbor Markov dynamics on the space of interlacing arrays that act nicely on Macdonald processes. The classification unites known examples of such dynamics and also yields many new ones. When t = 0, one dynamics leads to a new integrable interacting particle system on the one-dimensional lattice, which is a q-deformation of the PushTASEP (= long-range TASEP). When q = t, the Macdonald processes become the Schur processes of Okounkov and Reshetikhin (arXiv:math/0107056 [math.CO]). In this degeneration, we discover new Robinson--Schensted-type correspondences between words and pairs of Young tableaux that govern some of our dynamics.

math.PR

Markov loops in discrete spaces

The main topic of these notes are Markov loops, studied in the context of continuous time Markov chains on discrete state spaces. We refer to [1] and [2] for the short "history" of the subject. In contrast with these references, symmetry is not assumed, and more attention is given to the infinite case. All results are presented in terms of the semigroup generator. In comparison with [1], some delicate proofs are given in more details or with a better method. We focus mostly on properties of the (multi)occupation field but also included some results about loop clusters (see [3] in the symmetric context) and spanning trees. [1] Markov paths, loops and fields, by Yves Le Jan, Lecture Notes in Mathematics, vol. 2026, Springer, Heidelberg, 2011 [2] Topics in occupation times and Gaussian free fields, by Alain-Sol Sznitman, Zurich Lectures in Advanced Mathematics, European Mathematical Society (EMS), Zürich, 2012 [3] Markovian loop clusters on graphs, by Yves Le Jan and Sophie Lemaire, Preprint, arxiv:1211.0300 [math.PR], 2012

math.PR

Boundary Harnack principle and gradient estimates for fractional Laplacian perturbed by non-local operators

Suppose $d\ge 2$ and $0<β<α<2$. We consider the non-local operator $\mathcal{L}^{b}=Δ^{α/2}+\mathcal{S}^{b}$, where $$\mathcal{S}^{b}f(x):=\lim_{\varepsilon\to 0}\mathcal{A}(d,-β)\int_{|z|>\varepsilon}\left(f(x+z)-f(x)\right)\frac{b(x,z)}{|z|^{d+β}}\,dy.$$ Here $b(x,z)$ is a bounded measurable function on $\mathbb{R}^{d}\times\mathbb{R}^{d}$ that is symmetric in $z$, and $\mathcal{A}(d,-β)$ is a normalizing constant so that when $b(x, z)\equiv 1$, $\mathcal{S}^{b}$ becomes the fractional Laplacian $Δ^{β/2}:=-(-Δ)^{β/2}$. In other words, $$\mathcal{L}^{b}f(x):=\lim_{\varepsilon\to 0}\mathcal{A}(d,-β)\int_{|z|>\varepsilon}\left(f(x+z)-f(x)\right) j^b(x, z)\,dz,$$ where $j^b(x, z):= \mathcal{A}(d,-α) |z|^{-(d+α)}+ \mathcal{A}(d,-β) b(x, z)|z|^{-(d+β)}$. It is recently established in Chen and Wang [arXiv:1312.7594 [math.PR]] that, when $j^b(x, z)\geq 0$ on $\mathbb{R}^d\times \mathbb{R}^d$, there is a conservative Feller process $X^{b}$ having $\mathcal{L}^b$ as its infinitesimal generator. In this paper we establish, under certain conditions on $b$, a uniform boundary Harnack principle for harmonic functions of $X^b$ (or equivalently, of $\mathcal{L}^b$) in any $κ$-fat open set. We further establish uniform gradient estimates for non-negative harmonic functions of $X^{b}$ in open sets.

math.PR

Dirichlet heat kernel estimates for fractional Laplacian under non-local perturbation

For $d\ge 2$ and $0<β<α<2$, consider a family of non-local operators $\mathcal{L}^{b}=Δ^{α/2}+\mathcal{S}^{b}$ on $\mathbb{R}^d$, where $$ \mathcal{S}^{b}f(x):=\lim_{\varepsilon\to 0}\mathcal{A}(d,-β)\int_{ \{z\in \mathbb{R}^d: |z|>\varepsilon\}} (f(x+z)-f(x))\frac{b(x,z)}{|z|^{d+β}}\,dz, $$ and $b(x,z)$ is a bounded measurable function on $\mathbb{R}^{d}\times\mathbb{R}^{d}$ with $b(x,z)=b(x,-z)$ for every $x,z\in\mathbb{R}^{d}$. Here ${\cal A}(d, -β)$ is a normalizing constant so that $\mathcal{S}^b=-(-Δ)^{β/2}$ when $b(x, z)\equiv 1$. It was recently shown in Chen and Wang [arXiv:1312.7594 [math.PR]] that when $b(x, z) \geq -\frac{\mathcal{A}(d, -α)} {\mathcal{A}(d, -β)}\, |z|^{β-α}$, then $\mathcal{L}^b$ admits a unique fundamental solution $p^b(t, x, y)$ which is strictly positive and continuous. The kernel $p^b(t, x, y)$ uniquely determines a conservative Feller process $X^b$, which has strong Feller property. The Feller process $X^b$ is also the unique solution to the martingale problem of $(\mathcal{L}^b, \mathcal{S}(\mathbb{R}^d))$, where $\mathcal{S}(\mathbb{R}^d)$ denotes the space of tempered functions on $\mathbb{R}^d$. In this paper, we are concerned with the subprocess $X^{b,D}$ of $X^{b}$ killed upon leaving a bounded $C^{1,1}$ open set $D\subset \mathbb{R}^d$. We establish explicit sharp two-sided estimates for the transition density function of $X^{b, D}$.

math.PR

Optimal bounds for convergence of expected spectral distributions to the semi-circular law for the $4+ε$ moment ensemble

This paper extends a previous bound of order $O(n^{-1})$ of the authors (arXiv:1405.7820[math.PR]), for the rate of convergence in Kolmogorov distance of the expected spectral distribution of a Wigner random matrix ensemble to the semicircular law. Here we relax the moment conditions for entries of the Wigner matrices from order $8$ to order $4+ ε$ for an arbitrary small $ε>0$.

math.PR

Inhomogeneous exponential jump model

We introduce and study the inhomogeneous exponential jump model - an integrable stochastic interacting particle system on the continuous half line evolving in continuous time. An important feature of the system is the presence of arbitrary spatial inhomogeneity on the half line which does not break the integrability. We completely characterize the macroscopic limit shape and asymptotic fluctuations of the height function (= integrated current) in the model. In particular, we explain how the presence of inhomogeneity may lead to macroscopic phase transitions in the limit shape such as shocks or traffic jams. Away from these singularities the asymptotic fluctuations of the height function around its macroscopic limit shape are governed by the GUE Tracy-Widom distribution. A surprising result is that while the limit shape is discontinuous at a traffic jam caused by a macroscopic slowdown in the inhomogeneity, fluctuations on both sides of such a traffic jam still have the GUE Tracy-Widom distribution (but with different non-universal normalizations). The integrability of the model comes from the fact that it is a degeneration of the inhomogeneous stochastic higher spin six vertex models studied earlier in arXiv:1601.05770 [math.PR]. Our results on fluctuations are obtained via an asymptotic analysis of Fredholm determinantal formulas arising from contour integral expressions for the q-moments in the stochastic higher spin six vertex model. We also discuss "product-form" translation invariant stationary distributions of the exponential jump model which lead to an alternative hydrodynamic-type heuristic derivation of the macroscopic limit shape.

math.PR

New approach to greedy vector quantization

We extend some rate of convergence results of greedy quantization sequences already investigated in arXiv:1409.0732 [math.PR]. We show, for a more general class of distributions satisfying a certain control, that the quantization error of these sequences have an $n^{-\frac1d}$ rate of convergence and that the distortion mismatch property is satisfied. We will give some non-asymptotic Pierce type estimates. The recursive character of greedy vector quantization allows some improvements to the algorithm of computation of these sequences and the implementation of a recursive formula to quantization-based numerical integration. Furthermore, we establish further properties of sub-optimality of greedy quantization sequences.

math.PR