Poissonian ensembles of Markov loops on a finite graph define a random graph process in which the addition of a loop can merge more than two connected components. We study Markov loops on the complete graph derived from a simple random walk killed at each step with a constant probability. Using a component exploration procedure, we describe the asymptotic distribution of the connected component size of a vertex at a time proportional to the number of vertices, show that the largest component size undergoes a phase transition and establish the coagulation equations associated to this random graph process.
We introduce a reversible Markovian coagulation-fragmentation process on the set of partitions of $\{1,\ldots,L\}$ into disjoint intervals. Each interval can either split or merge with one of its two neighbors. The invariant measure can be seen as the Gibbs measure for a homogeneous pinning model \cite{cf:GBbook}. Depending on a parameter $λ$, the typical configuration can be either dominated by a single big interval (delocalized phase), or be composed of many intervals of order $1$ (localized phase), or the interval length can have a power law distribution (critical regime). In the three case…
We construct loop soups for general Markov processes without transition densities and show that the associated permanental process is equal in distribution to the loop soup local time. This is used to establish isomorphism theorems connecting the local time of the original process with the associated permanental process. Further properties of the loop measure are studied.
We study the loop clusters induced by Poissonian ensembles of Markov loops on a finite or countable graph (Markov loops can be viewed as excursions of Markov chains with a random starting point, up to re-rooting). Poissonian ensembles are seen as a Poisson point process of loops indexed by 'time'. The evolution in time of the loop clusters defines a coalescent process on the vertices of the graph. After a description of some general properties of the coalescent process, we address several aspects of the loop clusters defined by a simple random walk killed at a constant rate on three different …
In this paper, we investigate the open-loop and weak closed-loop solvabilities of stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. Interestingly, these two solvabilities are equivalent. We first provide an alternative characterization of the open-loop solvability of the LQ problem using the perturbation approach. Then, we study the weak closed-loop solvability of the LQ problem of Markovian regime switching system, and establish the equivalent relationship between open-loop and weak closed-loop solvabilities. Finally, we present an examp…
These notes give a mathematical introduction to two seemingly unrelated topics: (i) quantum spin systems and their cycle and loop representations, due to Tóth and Aizenman-Nachtergaele; (ii) coagulation-fragmentation stochastic processes. These topics are nonetheless related, as we argue that the lengths of cycles and loops satisfy an effective coagulation-fragmentation process. This suggests that their joint distribution is Poisson-Dirichlet. These ideas are far from being proved, but they are backed by several rigorous results, notably of Dyson-Lieb-Simon and Schramm.
In this work, we investigate a novel setting of Markovian loop measures and introduce a new class of loop measures called Bosonic loop measures. Namely, we consider loop soups with varying intensity $ μ\le 0 $ (chemical potential in physics terms), and secondly, we study Markovian loop measures on graphs with an additional "time" dimension leading to so-called space-time random walks and their loop measures and Poisson point loop processes. Interesting phenomena appear when the additional coordinate of the space-time process is on a discrete torus with non-symmetric jump rates. The projection …
In this article we prove new results regarding the existence of Bernstein processes associated with the Cauchy problem of certain forward-backward systems of decoupled linear deterministic parabolic equations defined in Euclidean space of arbitrary dimension N, whose initial and final conditions are positive measures. We concentrate primarily on the case where the elliptic part of the parabolic operator is related to the Hamiltonian of an isotropic system of quantum harmonic oscillators. In this situation there are many Gaussian processes of interest whose existence follows from our analysis, …
For random collections of self-avoiding loops in two-dimensional domains, we define a simple and natural conformal restriction property that is conjecturally satisfied by the scaling limits of interfaces in models from statistical physics. This property is basically the combination of conformal invariance and the locality of the interaction in the model. Unlike the Markov property that Schramm used to characterize SLE curves (which involves conditioning on partially generated interfaces up to arbitrary stopping times), this property only involves conditioning on entire loops and thus appears a…
The loop clusters of a Poissonian ensemble of Markov loops on a finite or countable graph have been studied in \cite{Markovian-loop-clusters-on-graphs}. In the present article, we study the loop clusters associated with a rotation invariant nearest neighbor walk on the discrete circle $G^{(n)}$ with $n$ vertices. We prove a convergence result of the loop clusters on $G^{(n)}$, as $n\rightarrow\infty$, under suitable condition of the parameters. These parameters are chosen in such a way that the rotation invariant nearest neighbor walk on $G^{(n)}$, as $n\rightarrow\infty$, converges to a Brown…
In a previous paper Sharkey et al. [13] proved the exactness of closures at the level of triples for Markovian SIR (susceptible-infected-removed) dynamics on tree-like networks. This resulted in a deterministic representation of the epidemic dynamics on the network that can be numerically evaluated. In this paper, we extend this modelling framework to certain classes of networks exhibiting loops. We show that closures where the loops are kept intact are exact, and lead to a simplified and numerically solvable system of ODEs (ordinary-differential-equations). The findings of the paper lead us t…
We are interested in the clusters formed by a Poisson ensemble of Markovian loops on infinite graphs. This model was introduced and studied in [LeJ12] and [LL12]. It is a model with long range correlations with two parameters $α$ and $κ$. The non-negative parameter $α$ measures the amount of loops, and $κ$ plays the role of killing on vertices penalizing ($κ>0$) or favoring ($κ<0$) appearance of large loops. It was shown in [LL12] that for any fixed $κ$ and large enough $α$, there exists an infinite cluster in the loop percolation on $\mathbb{Z}^d$. In the present article, we show a non-trivia…
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…
Lupu introduced a coupling between a random walk loop-soup and a Gaussian free field, where the sign of the field is constant on each cluster of loops. This coupling is a signed version of isomorphism theorems relating the square of the GFF to the occupation field of Markovian trajectories. His construction starts with a loop-soup, and by adding additional randomness samples a GFF out of it. In this article we provide the inverse construction: starting from a signed free field and using a self-interacting random walk related to this field, we construct a random walk loop-soup. Our construction…
We study planar random holonomy fields which are processes indexed by paths on the plane which behave well under the concatenation and orientation-reversing operations on paths. We define the Planar Markovian Holonomy Fields as planar random holonomy fields which satisfy some independence and invariance by area-preserving homeomorphisms properties. We use the theory of braids in the framework of classical probabilities: for finite and infinite random sequences the notion of invariance by braids is defined and we prove a new version of the de-Finetti's Theorem. This allows us to construct a fam…
We examine the question of whether a collection of random walks on a graph can be coupled so that they never collide. In particular, we show that on the complete graph on n vertices, with or without loops, there is a Markovian coupling keeping apart Omega(n/log n) random walks, taking turns to move in discrete time.
Universality of two-dimensional Markovian holonomy fields
Université de Strasbourg（斯特拉斯堡大学）；CNRS, UMR 7501 – Institut de Recherche Mathématique Avancée（法国国家科学研究中心，UMR 7501 - 高级数学研究所）；Sorbonne Université（索邦大学）；Université Paris Cité（巴黎西岱大学）；CNRS, Laboratoire de Probabilités, Statistique et Modélisation, LPSM（法国国家科学研究中心，概率、统计与建模实验室）
The two-dimensional Brownian loop-soup is a Poissonian random collection of loops in a planar domain with an intensity parameter c. When c is not greater than 1, we show that the outer boundaries of the loop clusters are disjoint simple loops (when c>1, there is almost surely only one cluster) that satisfy certain conformal restriction axioms. We prove various results about loop-soups, cluster sizes, and the c=1 phase transition. Combining this with the results of another paper of ours on the Markovian characterization of simple conformal loop ensembles (CLE), this proves that these outer boun…
Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
We show that if one conditions a cluster in a Brownian loop-soup $L$ (of any intensity) in a two-dimensional domain by a portion $l$ of its outer boundary, then in the remaining domain, the union of all the loops of $L$ that touch $l$ satisfies the conformal restriction property while the other loops in $L$ form an independent loop-soup. This result holds when one discovers $l$ in a natural Markovian way, such as in the exploration procedures that have been defined in order to actually construct the Conformal Loop Ensembles as outer boundaries of loop-soup clusters. This result implies among o…
In this paper we continue investigating the optimal dividend and investment problems under the Sparre Andersen model. More precisely, we assume that the claim frequency is a renewal process instead of a standard compound Poisson process, whence semi-Markovian. Building on our previous work \cite{BaiMa17}, where we established the dynamic programming principle via a {\it backward Markovization} procedure and proved that the value function is the unique {\it constrained} viscosity solution of the HJB equation, in this paper we focus on the construction of the optimal strategy. The main difficult…
We show that in any dimension $d\ge1$, the cycle-length process of stationary random stirring (or, random interchange) on the lattice torus converges to the canonical Markovian split-and-merge process with the invariant (and reversible) measure given by the Poisson-Dirichlet law $\mathsf{PD(1)}$, as the size of the system grows to infinity. In the case of transient dimensions, $d\ge 3$, the problem is motivated by attempts to understand the onset of long range order in quantum Heisenberg models via random loop representations of the latter.
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process in which point process jumps generate a shot-noise intensity field. Unlike the Hawkes case, the intensity field is fed into a separate buffer, the size of which is the driving intensity of new jumps. In this manner, the intensity loop portrays mutual-excitation of point process events and buffer size dynamics. This scenario is directly applicable to the marke…
We study the adjacency graph of bubbles---i.e., complementary connected components---of an SLE$_κ$ curve for $κ\in (4,8)$, with two such bubbles considered to be adjacent if their boundaries intersect. We show that this adjacency graph is a.s. connected for $κ\in (4,κ_0]$, where $κ_0 \approx 5.6158$ is defined explicitly. This gives a partial answer to a problem posed by Duplantier, Miller and Sheffield (2014). Our proof in fact yields a stronger connectivity result for $κ\in (4,κ_0]$, which says that there is a Markovian way of finding a path from any fixed bubble to $\infty$. We also show th…
We consider scalar conservation laws with convex flux and random initial data. The Hopf-Lax formula induces a deterministic evolution of the law of the initial data. In a recent article, we derived a kinetic theory and Lax equations to describe the evolution of the law under the assumption that the initial data is a spectrally negative Markov process. Here we show that: (i) the Lax equations are Hamiltonian and describe a principle of least action on the Markov group that is in analogy with geodesic flow on $SO(N)$; (ii) the Lax equations are completely integrable and linearized via a loop-gro…
