Thomas Mountford, Pierre Tarrès
We consider a model of the shape of a growing polymer introduced by Durrett and Rogers (Probab. Theory Related Fields 92 (1992) 337--349). We prove their conjecture about the asymptotic behavior of the underlying continuous process $X_t$ (corresponding to the location of the end of the polymer at time $t$) for a particular type of repelling interaction function without compact support.
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In this paper, we introduce a model of Brownian polymer in a continuous random environment. The asymptotic behavior of the partition function associated to this polymer measure is studied, and we are able to separate a weak and strong disorder regime under some reasonable assumptions on the spatial covariance of the environment. Some further developments, concerning some concentration inequalities for the partition function, are given for the weak disorder regime.
We study a continuum model of directed polymer in random environment. The law of the polymer is defined as the Brownian motion conditioned to survive among space-time Poissonian disasters. This model is well-studied in the positive temperature regime. However, at zero-temperature, even the existence of the free energy has not been proved. In this article, we prove that the free energy exists and is continuous at zero-temperature.
This paper provides information about the asymptotic behavior of a one-dimensional Brownian polymer in random medium represented by a space-time Gaussian field W assumed to be white noise in time and function-valued in space. According to the behavior of the spatial covariance W, we give a lower bound on the power growth (wandering exponent) of the polymer when the time parameter goes to infinity: the polymer is proved to be superdiffusive, with a wandering exponent exceeding any $α<3/5$.
This paper provides information about the asymptotic behavior of a one-dimensional Brownian polymer in random medium represented by a Gaussian field $W$ on ${\mathbb{R}}_+\times{\mathbb{R}}$ which is white noise in time and function-valued in space. According to the behavior of the spatial covariance of $W$, we give a lower bound on the power growth (wandering exponent) of the polymer when the time parameter goes to infinity: the polymer is proved to be superdiffusive, with a wandering exponent exceeding any $α<3/5$.
We estimate the mean first time, called the mean rotation time (MRT), for a planar random polymer to wind around a point. This polymer is modeled as a collection of n rods, each of them being parameterized by a Brownian angle. We are led to study the sum of i.i.d. imaginary exponentials with one dimensional Brownian motions as arguments. We find that the free end of the polymer satisfies a novel stochastic equation with a nonlinear time function. Finally, we obtain an asymptotic formula for the MRT, whose leading order term depends on the square root of n and, interestingly, depends weakly on …
We study the large-time behavior of the charged-polymer Hamiltonian $H_n$ of Kantor and Kardar [Bernoulli case] and Derrida, Griffiths, and Higgs [Gaussian case], using strong approximations to Brownian motion. Our results imply, among other things, that in one dimension the process $\{H_{[nt]}\}_{0\le t\le 1}$ behaves like a Brownian motion, time-changed by the intersection local-time process of an independent Brownian motion. Chung-type LILs are also discussed.
We consider two models of random diffusion in random environment in two dimensions. The first example is the self-repelling Brownian polymer, this describes a diffusion pushed by the negative gradient of its own occupation time measure (local time). The second example is a diffusion in a fixed random environment given by the curl of massless Gaussian free field. In both cases we show that the process is superdiffusive: the variance grows faster than linearly with time. We give lower and upper bounds of the order of t log log t, respectively, t log t. We also present computations for an anisotr…
Construction of the 1d Self-repelling Brownian Polymer
该研究针对一维自排斥布朗聚合物对应的奇异SDE，通过分析相关奇异SPDE的能量解适定性，构造出方程解，证明其超扩散性及为逼近族极限分布，结果可推广至更广泛漂移项。
We prove a formula conjectured in O'Connell and Yor (2001) for the free energy density of a directed polymer in a Brownian environment in 1+1 dimensions.
We consider tightness for families of non-colliding Brownian bridges above a hard wall, which are subject to geometrically growing self-potentials of tilted area type. The model is introduced in order to mimic level lines of $2+1$ discrete Solid-On-Solid random interfaces above a hard wall.
We study the line ensembles of non-crossing Brownian bridges above a hard wall, each tilted by the area of the region below it with geometrically growing pre-factors. This model, which mimics the level lines of the $(2+1)$D SOS model above a hard wall, was studied in two works from 2019 by Caputo, Ioffe and Wachtel. In those works, the tightness of the law of the top $k$ paths, for any fixed $k$, was established under either zero or free boundary conditions, which in the former setting implied the existence of a limit via a monotonicity argument. Here we address the open problem of a limit und…
We prove tightness and limiting Brownian-Gibbs description for line ensembles of non-colliding Brownian bridges above a hard wall, which are subject to geometrically growing self-potentials of tilted area type. Statistical properties of the resulting ensemble are very different from that of non-colliding Brownian bridges without self-potentials. The model itself was introduced in order to mimic level lines of (2+1)-dimensional discrete Solid-On-Solid random interfaces above a hard wall.
We consider the Brownian directed polymer in Poissonian environment in dimension 1+1, under the so-called intermediate disorder regime, which is a crossover regime between the strong and weak disorder regions. We show that, under a diffusive scaling involving different parameters of the system, the renormalized point-to-point partition function of the polymer converges in law to the solution of the stochastic heat equation with Gaussian multiplicative noise. The Poissonian environment provides a natural setting and strong tools, such as the Wiener-Ito chaos expansion, which, applied to the par…
We study the scaling exponents of a 1+1-dimensional directed polymer in a Brownian random environment introduced by O'Connell and Yor. For a version of the model with boundary conditions that are stationary in a space-time sense we identify the exact values of the exponents. For the version without the boundary conditions we get the conjectured upper bounds on the exponents.
On the phase diagram of the polymer model
本文研究三维及以上有向聚合物模型，证明在固定温度下外场或倾斜可诱导聚合物在布朗与非布朗行为之间发生相变。
The model of Brownian Percolation has been introduced as an approximation of discrete last-passage percolation models close to the axis. It allowed to compute some explicit limits and prove fluctuation theorems for these, based on the relations between the Brownian percolation and random matrices. Here, we present two approaches that allow to treat discrete asymmetric models of directed polymers. In both cases, the behaviour is universal, meaning that the results do not depend on the precise law of the environment as long as it satisfies some natural moment assumptions. First, we establish an …
An invariance principle for the 2d weakly self-repelling Brownian polymer
该研究针对二维临界维下的自排斥布朗聚合物，推导弱耦合标度下的不变性原理，得到显式极限扩散率，为对数超扩散指数β=1/2提供证据，还给出粒子所见环境的标度极限满足增强扩散的随机线性输运方程。
This paper is concerned with two related types of directed polymers in a random medium. The first one is a d-dimensional Brownian motion living in a random environment which is Brownian in time and homogeneous in space. The second is a continuous-time random walk on the lattice Z^d, in a random environment with similar properties as in continuous space. The case of a space-time white noise environment can be acheived in this second setting. By means of some Gaussian tools, we estimate the free energy of these models at low temperature, and give some further information on the strong disorder r…
In last passage percolation models lying in the KPZ universality class, the energy of long energy-maximizing paths may be studied as a function of the paths' pair of endpoint locations. Scaled coordinates may be introduced, so that these maximizing paths, or polymers, now cross unit distances with unit-order fluctuations, and have scaled energy, or weight, of unit order. In this article, we consider Brownian last passage percolation in these scaled coordinates. In the narrow wedge case, when one endpoint of such polymers is fixed, say at $(0,0) \in \mathbb{R}^2$, and the other is varied horizo…
Brownian Polymers in Poissonian Environment: a survey
本文综述了泊松环境中布朗有向聚合物的研究，回顾了过去十年的成果并提出了新结果，利用随机分析和鞅技术处理该基本设定。该内容源自2017年CIRM的Jean-Morlet讲座课程。
In last passage percolation models lying in the KPZ universality class, long maximizing paths have a typical deviation from the linear interpolation of their endpoints governed by the two-thirds power of the interpolating distance. This two-thirds power dictates a choice of scaled coordinates, in which these maximizers, now called polymers, cross unit distances with unit-order fluctuations. In this article, we consider Brownian last passage percolation in these scaled coordinates, and prove that the probability of the presence of $k$ disjoint polymers crossing a unit-order region while beginni…
We study a quenched charged-polymer model, introduced by Garel and Orland in 1988, that reproduces the folding/unfolding transition of biopolymers. We prove that, below the critical inverse temperature, the polymer is delocalized in the sense that: (1) The rescaled trajectory of the polymer converges to the Brownian path; and (2) The partition function remains bounded. At the critical inverse temperature, we show that the maximum time spent at points jumps discontinuously from 0 to a positive fraction of the number of monomers, in the limit as the number of monomers tends to infinity. Finally,…
We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.
We consider the persistence probability for the integrated fractional Brownian motion and the fractionally integrated Brownian motion with parameter $H,$ respectively. For the integrated fractional Brownian motion, we discuss a conjecture of Molchan and Khokhlov and determine the asymptotic behavior of the persistence exponent as $H\to 0$ and $H\to 1,$ which is in accordance with the conjecture. For the fractionally integrated Brownian motion, also called Riemann-Liouville process, we find the asymptotic behavior of the persistence exponent as $H\to 0$.
On a remark of de Gennes concerning three-dimensional polyelectrolytes
本文受de Gennes关于聚电解质的评注启发，证明三维布朗运动模型中聚电解质的回转半径随长度T线性增长（对数修正）。
We consider the stationary O'Connell-Yor model of semi-discrete directed polymers in a Brownian environment in the intermediate disorder regime and show convergence of the increments of the log-partition function to the energy solutions of the stochastic Burgers equation. The proof does not rely on the Cole-Hopf transform and avoids the use of spectral gap estimates for the discrete model. The key technical argument is a second-order Boltzmann-Gibbs principle.
In this paper, following earlier results in [2] we derive the asymptotic distribution as $t \to \infty$, of the excursion of Brownian motion straddling $t$, into an interval $(a,b)$, conditional on the event that there is such an excursion.
We study the asymptotic behavior of a self-interacting one-dimensional Brownian polymer first introduced by Durrett and Rogers [Probab. Theory Related Fields 92 (1992) 337--349]. The polymer describes a stochastic process with a drift which is a certain average of its local time. We show that a smeared out version of the local time function as viewed from the actual position of the process is a Markov process in a suitably chosen function space, and that this process has a Gaussian stationary measure. As a first consequence, this enables us to partially prove a conjecture about the law of larg…
The distribution of the first hitting time of a disc for the standard two dimensional Brownian motion is computed. By investigating the inversion integral of its Laplace transform we give fairy detailed asymptotic estimates of its density valid uniformly with respect to the point where the Brownian motion starts from.
Disorder Thresholds and Free Energy of Brownian Directed Polymers with Product and Radial Spatial Correlations
该研究分析时间白噪声、空间长程相关高斯环境中布朗定向聚合物的无序阈值，确定乘积型协方差下的无序转变条件，解决径向协方差的遗留问题，给出自由能的渐近行为并说明证明方法。
We consider the Anderson polymer partition function $$ u(t):=\mathbb{E}^X\Bigl[e^{\int_0^t \mathrm{d}B^{X(s)}_s}\Bigr]\,, $$ where $\{B^{x}_t\,;\, t\geq0\}_{x\in\mathbb{Z}^d}$ is a family of independent fractional Brownian motions all with Hurst parameter $H\in(0,1)$, and $\{X(t)\}_{t\in \mathbb{R}^{\geq 0}}$ is a continuous-time simple symmetric random walk on $\mathbb{Z}^d$ with jump rate $κ$ and started from the origin. $\mathbb{E}^X$ is the expectation with respect to this random walk. We prove that when $H\leq 1/2$, the function $u(t)$ almost surely grows asymptotically like $e^{l t}$, wh…
In the context of the coloured stochastic vertex model in a quadrant, we identify a family of observables whose averages are given by explicit contour integrals. The observables are certain linear combinations of $q$-moments of the coloured height functions of the model. In a polymer limit, this yields integral representations for moments of partition functions of strict-weak, semi-discrete Brownian, and continuum Brownian polymers with varying beginning and ending points of the polymers.
In last passage percolation models lying in the KPZ universality class, the energy of long energy-maximizing paths may be studied as a function of the paths' pair of endpoint locations. Scaled coordinates may be introduced, so that these maximizing paths, or polymers, now cross unit distances with unit-order fluctuations, and have scaled energy, or weight, of unit order. In this article, we consider Brownian last passage percolation in these scaled coordinates. In the narrow wedge case, one endpoint of such polymers is fixed, say at $(0,0) \in \mathbb{R}^2$, and the other is varied horizontall…
We study a one-dimensional diffusion process in a drifted Brownian potential. We characterize the upper functions of its hitting times in the sense of Paul Lévy, and determine the lower limits in terms of an iterated logarithm law.
We find exact small deviation asymptotics with respect to weighted Hilbert norm for some well-known Gaussian processes. Our approach does not require the knowledge of eigenfunctions of the covariance operator of a weighted process. Such a peculiarity of the method makes it possible to generalize many previous results in this area. We also obtain new relations connected to exact small deviation asymptotics for a Brownian excursion, a Brownian meander, and Bessel processes and bridges.
We consider a slightly subcritical branching Brownian motion with absorption, where particles move as Brownian motions with drift $-\sqrt{2+2\varepsilon}$, undergo dyadic fission at rate $1$, and are killed when they reach the origin. We obtain a Yaglom type asymptotic result, showing that the long run expected number of particles conditioned on survival grows exponentially as $1/\sqrt{\varepsilon}$ as the process approaches criticality.
In this paper, we make a slight contribution about the existence (uniqueness) and asymptotic stability of the p-th mean S-asymptotically omega-periodic solutions for some nonautonomous Stochastic Evolution Equations driven by a Q-Brownian motion. This is done using the Banach fixed point Theorem and a Gronwall inequality.
In this paper, we consider a two-dimensional sticky Brownian motion. Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian motions, which find applications in many areas including queueing theory and mathematical finance. For example, a sticky Brownian motion can be used to model a storage system.with exceptional services. In this paper, we focus on stationary distributions for sticky Brownian motions. The main results obtained here include tail asymptotic properties in boundary stationary distributions, marginal distributions, and joint distributions. The ke…
We establish a small time large deviation principle and a Varadhan type asymptotics for Brownian motion with singular drift on $\bR^d$ with $d\geq 3$ whose infinitesimal generator is $\frac12 Δ+ μ\cdot \nabla$, where each $μ_i$ of $μ= (μ_1, \cdots, μ_d)$ is a measure in some suitable Kato class.
We consider high frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various classical statistics related to the local times of the process. We show that as in the diffusion case, these statistics indeed converge to some local times up to a constant factor. As a corollary, we provide limit theorems for the quadratic variation of the absolute value of a fractional Brownian motion.
The problems considered in the present paper have their roots in two different cultures. The 'true' (or myopic) self-avoiding walk model (TSAW) was introduced in the physics literature by Amit, Parisi and Peliti. This is a nearest neighbor non-Markovian random walk in Z^d which prefers to jump to those neighbors which were less visited in the past. The self-repelling Brownian polymer model (SRBP), initiated in the probabilistic literature by Durrett and Rogers (independently of the physics community), is the continuous space-time counterpart: a diffusion in R^d pushed by the negative gradient …
The main results in this paper concern large and moderate deviations for the radial component of a $n$-dimensional hyperbolic Brownian motion (for $n\geq 2$) on the Poincaré half-space. We also investigate the asymptotic behavior of the hitting probability $P_η(T_{η_1}^{(n)}<\infty)$ of a ball of radius $η_1$, as the distance $η$ of the starting point of the hyperbolic Brownian motion goes to infinity.
We give sharp estimate for the free energy of directed polymers in random environment in dimension 1+1. This estimate was known for a Gaussian environment, we extend it to the case where the law of the environment is infinitely divisible.
For the d-dimensional model of a subcritical bond percolation (p<p_c) and a point \vec{a} in Z^d, we prove that a cluster conditioned on connecting points (0,...,0) and n\vec{a} if scaled by 1/(n|vec{a}|) along \vec{a} and by 1/sqrt{n} in the orthogonal direction converges asymptotically to Time x (d-1)-dimensional Brownian Bridge.
We use Mellin transforms to compute a full asymptotic expansion for the tail of the Laplace transform of the squared $L^2$-norm of any multiply-integrated Brownian sheet. Through reversion we obtain corresponding strong small-deviation estimates.
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.
Several Brownian areas are considered in this paper: the Brownian excursion area, the Brownian bridge area, the Brownian motion area, the Brownian meander area, the Brownian double meander area, the positive part of Brownian bridge area, the positive part of Brownian motion area. We are interested in the asymptotics of the right tail of their density function. Inverting a double Laplace transform, we can derive, in a mechanical way, all terms of an asymptotic expansion. We illustrate our technique with the computation of the first four terms. We also obtain asymptotics for the right tail of th…
Protein translocation in cells has been modelled by \emph{Brownian ratchets}. In such models, the protein diffuses through a nanopore. On one side of the pore, ratcheting molecules bind to the protein and hinder it to diffuse out of the pore. We study a Brownian ratchet by means of a reflected Brownian motion $(X_t)_{t\geq 0}$ with a changing reflection point $(R_t)_{t\geq 0}$. The rate of change of $R_t$ is $γ(X_t-R_t)$ and the new reflection boundary is distributed uniformly between $R_{t-}$ and $X_t$. The asymptotic speed of the ratchet scales with $γ^{1/3}$ and the asymptotic variance is i…
The objective of the present paper is to establish exponential large deviation inequalities, and to use them to show exponential concentration inequalities for the free energy of a polymer in general random environment, its rate of convergence, and an expression of its limit value in terms of those of some multiplicative cascades.
In this paper, we study small-time asymptotic behaviors for a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H\in(1/2,1)$ and magnitude $\ep^H$. By building up a variational framework and two weak convergence criteria in the factional Brownian motion setting, we establish the large and moderate deviation principles for this type equations. Besides, we also obtain the central limit theorem, in which the limit process solves a linear equation involving the Lions derivative of the drift coefficient.
We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter $H$ of the fractional part satisfies $H\in(3/4,1)$, the central limit theorem holds. In the nonsemimartingale case, that is, where $H\in(1/2,3/4]$, the convergence toward the normal distribution with a nonzero mean still holds if $H=3/4$, whereas for the other values, that is, $H\in(1/2,3/4)$, the central convergence does not take place. We also provide Berry--Esseen estimates for the estima…
In this article we establish some estimates related to the Gaussian densities and to Hermite polynomials in order to obtain an almost sure estimate for each term of the Itô-Wiener expansion of the self-intersection local times of the Brownian motion. In dimension $d\geqslant 4$ the self-intersection local times of the Brownian motion can be considered as a family of measures on the classical Wiener space. We provide some asymptotics relative to these measures. Finally, we try to estimate the quadratic Wasserstein distance between these measures and the Wiener measure.
The semimartingale reflecting Brownian motion (SRBM) can be a heavy traffic limit for many server queueing networks. Asymptotic properties for stationary probabilities of the SRBM have attracted a lot of attention recently. However, many results are obtained only for the two-dimensional SRBM. There is only little work related to higher dimensional ($\geq 3$) SRBMs. In this paper, we consider a three dimensional SRBM: A three dimensional Brownian-driven tandem queue with intermediate inputs. We are interested in tail asymptotics for stationary distributions. By generalizing the kernel method an…
The self-repelling Brownian polymer model (SRBP) initiated by Durrett and Rogers in [Durrett-Rogers (1992)] is the continuous space-time counterpart of the myopic (or 'true') self-avoiding walk model (MSAW) introduced in the physics literature by Amit, Parisi and Peliti in [Amit-Parisi-Peliti (1983)]. In both cases, a random motion in space is pushed towards domains less visited in the past by a kind of negative gradient of the occupation time measure. We investigate the asymptotic behaviour of SRBP in the non-recurrent dimensions. First, extending 1-dimensional results from [Tarres-Toth-Valko…
We consider the Feynman-Kac functional associated with a Brownian motion in a random potential. The potential is defined by attaching a heavy tailed positive potential around the Poisson point process. This model was first considered by Pastur (1977) and the first order term of the moment asymptotics was determined. In this paper, both moment and almost sure asymptotics are determined up to the second order. As an application, we also derive the second order asymptotics of the integrated density of states of the corresponding random Schrödinger operator.
The Airy line ensemble is a positive-integer indexed system of random continuous curves whose finite dimensional distributions are given by the multi-line Airy process. It is a natural object in the KPZ universality class: for example, its highest curve, the Airy$_2$ process, describes after the subtraction of a parabola the limiting law of the scaled energy of a geodesic running from the origin to a variable point on an anti-diagonal line in such problems as Poissonian last passage percolation. The ensemble of curves resulting from the Airy line ensemble after the subtraction of the same para…
We study the asymptotic behaviour of the maximum local time L*(t) of the Brox's process, the diffusion in Brownian environment. Shi proved that the maximum speed of L*(t) is surprisingly, at least t log(log(log t)) whereas in the discrete case it is t. We show here that t log(log(log t)) is the proper rate and we prove that for the minimum speed the rate is the same as in the discrete case namely t/log(log(log t)).
We characterize the law of the partition function of a Brownian directed polymer model in terms of a diffusion process associated with the quantum Toda lattice. The proof is via a multidimensional generalization of a theorem of Matsumoto and Yor concerning exponential functionals of Brownian motion. It is based on a mapping which can be regarded as a geometric variant of the RSK correspondence.
Wasserstein Asymptotics for Brownian Motion on the Flat Torus and Brownian Interlacements
本文研究了平坦环面上布朗运动占据测度的最优运输成本大时间行为，建立了基于布朗交织问题的全局上界，并猜想该界紧致且技术可推广至加权黎曼流形上的扩散过程。
We give short proofs of two classical results about the position of the extremal particle in a branching Brownian motion, one concerning the median position and another the almost sure behaviour.
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