In this paper, we study branching Brownian motion with absorption, in which particles undergo Brownian motions and are killed upon hitting the absorption barrier. We prove that the empirical distribution function of the maximum of this process converges almost surely to a randomly shifted Gumbel distribution.
We consider an n-dimensional Brownian Motion trapped inside a bounded convex set by normally-reflecting boundaries. It is well-known that this process is uniformly ergodic. However, the rates of this ergodicity are not well-understood, especially in the regime of very high-dimensional sets. Here we present new bounds on these rates for convex sets with a given diameter. Our bounds do not depend upon the smoothness of the boundary nor the value of the ambient dimension, n.
We consider a model of Branching Brownian Motion in which the usual spatially-homogeneous and catalytic branching at a single point are simultaneously present. We establish the almost sure growth rates of population in certain time-dependent regions and as a consequence the first-order asymptotic behaviour of the rightmost particle.
In this paper we provide convergence analysis for a class of Brownian queues in tandem by establishing an exponential drift condition. A consequence is the uniform exponential ergodicity for these multidimensional diffusions, including the O'Connell-Yor process. A list of open problems are also presented.
We consider a branching Brownian motion in which binary fission takes place only when particles are at the origin at a rate β> 0 on the local time scale. We obtain results regarding the asymptotic behaviour of the number of particles above λt at time t, for λ> 0. As a corollary, we establish the almost sure asymptotic speed of the rightmost particle. We also prove a Strong Law of Large Numbers for this catalytic branching Brownian motion.
In this article we establish the magnitude of fluctuations of the extreme particle in the model of binary branching Brownian motion with a single catalytic point at the origin.
A regime-switching geometric Brownian motion is used to model a geometric Brownian motion with its coefficients changing randomly according to a Markov chain. In this work, we give a complete characterization of the recurrent property of this process. The long time behavior of this process such as its $p$-th moment is also studied. Moreover, the quantitative properties of the regime-switching geometric Brownian motion with two-state switching are investigated to show the difference between geometric Brownian motion with switching and without switching. At last, some estimates of its first pass…
In this note, we study the asymptotical frontier behavior of a branching reflected Brownian motion. There is essentially no difference in maximal displacement between a branching Brownian motion and its reflected counterpart. We provide two proofs of this fact, one via a soft argument on the dependance of two-sided extremal particles in a branching Brownian motion and the other based on direct computations as in Roberts. The asymptotics of minimal displacement is also given.
We first study the convergence of solutions of a system of F-KPP equations related to irreducible multitype branching Brownian motions with Heaviside-type initial conditions to traveling wave solutions. Then we apply this convergence result to prove that the extremal processes of irreducible multitype branching Brownian motions converges weakly to a cluster point process.
In this article, we study the extremal processes of branching Brownian motions conditioned on having an unusually large maximum. The limiting point measures form a one-parameter family and are the decoration point measures in the extremal processes of several branching processes, including branching Brownian motions with variable speed and multitype branching Brownian motions. We give a new, alternative representation of these point measures and we show that they form a continuous family. This also yields a simple probabilistic expression for the constant that appears in the large deviation pr…
We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter $H\in(0,1)$. A general framework is constructed to make precise the notions of ``invariant measure'' and ``stationary state'' for such a system. We then prove under rather weak dissipativity conditions that such an SDE possesses a unique stationary solution and that the convergence rate of an arbitrary solution towards the stationary one is (at least) algebraic. A lower bound on the exponent is also given.
Our purpose in this paper is to determine the limiting distribution and the evolution rate of particles near the frontier of branching Brownian motions. Here the branching rate is given by a Kato class measure with compact support in Euclidean space. Our investigation focuses on the two dimensional case.
The notions of complementability and maximality were introduced in 1974 by Ornstein and Weiss in the context of the automorphisms of a probability space, in 2008 by Brossard and Leuridan in the context of the Brownian filtrations, and in 2017 by Leuridan in the context of the poly-adic filtrations indexed by the non-positive integers. We present here some striking analogies and also some differences existing between these three contexts.
The present paper considers a new kind of backward stochastic differential equations driven by G-Brownian motion, which is called ergodic G-BSDEs. Firstly, the well-posedness of G-BSDEs with infinite horizon is given by a new linearization method. Then, the Feynman-Kac formula for fully nonlinear elliptic partial differential equations is established. Moreover, a new probabilistic approach is introduced to prove the uniqueness of viscosity solution to elliptic PDEs in the whole space. Finally, we obtain the existence of solution to G-EBSDE and some applications are also stated.
Conditioning a branching Brownian motion to have an atypically low maximum leads to a suppression of the branching mechanism. In this note, we consider a branching Brownian motion conditioned to have a maximum below $\sqrt{2}αt$ ($α<1$). We study the precise effects of an early/late first branching time and a low/high first branching location under this condition. We do so by imposing additional constraints on the first branching time and location. We obtain large deviation estimates, as well as the optimal first branching time and location given the additional constraints.
We derive asymptotics for the quenched probability that a critical branching Brownian motion killed at a small rate in Poissonian obstacles exits a large domain. Results are formulated in terms of the solution to a semilinear partial differential equation with singular boundary conditions. The proofs depend on a quenched homogenization theorem for branching Brownian motion among mild obstacles.
Using one-dimensional branching Brownian motion in a periodic environment, we give probabilistic proofs of the asymptotics and uniqueness of pulsating travelling waves of the F-KPP equation in a periodic environment. This paper is a sequel to [Ren et al. Branching Brownian motion in a periodic environment and existence of pulsating travelling waves], in which we proved the existence of the pulsating travelling waves in the supercritical and critical cases using the limits of the additive and derivative martingales of branching Brownian motion in a periodic environment.
We consider the model of branching Brownian motion with a single catalytic point at the origin and binary branching. We establish some fine results for the asymptotic behaviour of the numbers of particles travelling at different speeds and give an explicit characterisation of the spatial distribution of particles travelling at the critical speed.
We consider the maximal displacement of one dimensional branching Brownian motion with (macroscopically) time varying profiles. For monotone decreasing variances, we show that the correction from linear displacement is not logarithmic but rather proportional to $T^{1/3}$. We conjecture that this is the worse case correction possible.
In a previous paper, the authors proved a conjecture of Lalley and Sellke that the empirical (time-averaged) distribution function of the maximum of branching Brownian motion converges almost surely to a Gumbel distribution. The result is extended here to the entire system of particles that are extremal, i.e. close to the maximum. Namely, it is proved that the distribution of extremal particles under time-average converges to a Poisson cluster process.
We demonstrate that stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H > 1/2 have similar ergodic properties as SDEs driven by standard Brownian motion. The focus in this article is on hypoelliptic systems satisfying Hörmander's condition. We show that such systems satisfy a suitable version of the strong Feller property and we conclude that they admit a unique stationary solution that is physical in the sense that it does not "look into the future". The main technical result required for the analysis is a bound on the moments of the inverse of…
This paper is a review of the recent progresses on the branching brownian motion seen from its left-most particule. We describe in particular the recent works by Arguin-Bovier-Kistler and Aïdékon-Berestycki-Brunet-Shi. This is the text in french of a Bourbaki seminar given in March 2013.
In this paper, we studied the functional ergodic limits of the site-dependent branching Brownian motions in R. The results show that the limiting processes are non-degenerate if and only if the variance functions of branching laws are integrable. When the functions are integrable, although the limiting processes will vary according to the integrals, they are always positive, infinitely divisible and self-similar, and their marginal distributions are determined by a kind of 1/2-fractional integral equations. As a byproduct, the unique non-negative solutions of the integral equations are explici…
We study the height of the maximal particle at time $t$ of a one dimensional branching Brownian motion with a space-dependent branching rate. The branching rate is set to zero in finitely many intervals (obstacles) of order $t$. We obtain almost sure asymptotics of the first order of the maximum, describe the path of a particle reaching this height and describe its dependence on the size and location of the obstacles.
From multitype branching Brownian motions to branching Markov additive processes
University of Chinese Academy of Sciences（中国科学院大学）；Academy of Mathematics and Systems Science, Chinese Academy of Sciences（中国科学院数学与系统科学研究院）；LMAM School of Mathematical Sciences & Center for Statistical Science, Peking University（北京大学数学学院（LMAM）及统计科学中心）；School of Mathematical Sciences, Beijing University of Posts and Telecommunications（北京邮电大学数学科学学院）
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.
We determine the long time behavior and the exact order of the tail probability for the maximal displacement of a branching Brownian motion in Euclidean space in terms of the principal eigenvalue of the associated Schrödinger type operator. To establish our results, we show a sharp and locally uniform growth order of the Feynman-Kac semigroup.
Motivated by the goal of understanding the evolution of populations undergoing selection, we consider branching Brownian motion in which particles independently move according to one-dimensional Brownian motion with drift, each particle may either split into two or die, and the difference between the birth and death rates is a linear function of the position of the particle. We show that, under certain assumptions, after a sufficiently long time, the empirical distribution of the positions of the particles is approximately Gaussian. This provides mathematically rigorous justification for resul…
We find the exponential growth rate of the population outside a ball with time dependent radius for a branching Brownian motion in Euclidean space. We then see that the upper bound of the particle range is determined by the principal eigenvalue of the Schrödinger type operator associated with the branching rate measure and branching mechanism. We assume that the branching rate measure is small enough at infinity, and can be singular with respect to the Lebesgue measure. We finally apply our results to several concrete models.
The branching Brownian sausage in $\mathbb{R}^d$ was defined by Engländer in [Stoch. Proc. Appl. 88 (2000)] similarly to the classical Wiener sausage, as the random subset of $\mathbb{R}^d$ scooped out by moving balls of fixed radius with centers following the trajectories of the particles of a branching Brownian motion (BBM). We consider a $d$-dimensional dyadic BBM, and study the large-time asymptotic behavior of the volume of the associated exponentially shrinking branching Brownian sausage (BBM-sausage). Using a previous result on the density of the support of BBM, and some well-known resu…
We study the model of binary branching Brownian motion with spatially-inhomogeneous branching rate $βδ_0(\cdot)$, where $δ_0(\cdot)$ is the Dirac delta function and $β$ is some positive constant. We show that the distribution of the rightmost particle centred about $\fracβ{2}t$ converges to a mixture of Gumbel distributions according to a martingale limit. Our results form a natural extension to S. Lalley and T. Sellke [6] for the degenerate case of catalytic branching.
We prove a conjecture of Lalley and Sellke [Ann. Probab. 15 (1987)] asserting that the empirical (time-averaged) distribution function of the maximum of branching Brownian motion converges almost surely to a double exponential, or Gumbel, distribution with a random shift. The method of proof is based on the decorrelation of the maximal displacements for appropriate time scales. A crucial input is the localization of the paths of particles close to the maximum that was previously established by the authors [Comm. Pure Appl. Math. 64 (2011)].
We obtain sharp asymptotic estimates for hitting probabilities of a critical branching Brownian motion in one dimension with killing at 0 We also obtain sharp asymptotic formulas for the tail probabilities of the number of particles killed at 0. In the special case of double-or-nothing branching, we give exact formulas for both the hitting probabilities, in terms of elliptic functions, and the distribution of the number of killed particles.
We consider branching Brownian motion on the real line with absorption at zero, in which particles move according to independent Brownian motions with the critical drift of $-\sqrt{2}$. Kesten (1978) showed that almost surely this process eventually dies out. Here we obtain upper and lower bounds on the probability that the process survives until some large time $t$. These bounds improve upon results of Kesten (1978), and partially confirm nonrigorous predictions of Derrida and Simon (2007).
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal process of branching Brownian motion and are supported on a Cantor-like set. The processes are obtained via a time-change of a standard one-dimensional reflected Brownian motion on $\mathbb{R}_+$ in terms of the associated positive continuous additive functionals. The processes introduced in this paper may be regarded as an analogue of the Liouville Brownian…
It has been proved by Lalley and Sellke [13] that every particle born in a branching Brownian motion has a descendant reaching the rightmost position at some future time. The main goal of the present paper is to estimate asymptotically as s goes to infinity, the first time that every particle alive at the time s has a descendant reaching the rightmost position.
We establish a variational formula for the exponential decay rate of the Green function of Brownian motion evolving in a random stationary and ergodic nonnegative potential. Such a variational formula is established by Schroeder in 'Green's Functions for the Schrödinger Operator with Periodic Potential', J. Funct. Anal. 77 (1988), for potentials on compact spaces and is generalised in the present article to a non-compact setting. We show exponential decay of the Green function implicitly. This formula for the Lyapunov exponent has several direct implications. It allows to compare the influence…
We show that in branching Brownian motion (BBM) in $\mathbb{R}^d$, $d\geq 2$, the law of $R_t^*$, the maximum distance of a particle from the origin at time $t$, converges as $t\to\infty$ to the law of a randomly shifted Gumbel random variable.
We consider a standard binary branching Brownian motion on the real line. It is known that the maximal position $M_t$ among all particles alive at time $t$, shifted by $m_t = \sqrt{2} t - \frac{3}{2\sqrt{2}} \log t$ converges in law to a randomly shifted Gumbel variable. Derrida and Shi (2017) conjectured the precise asymptotic behaviour of the corresponding lower deviation probability $\mathbb{P}(M_t \leq \sqrt{2}αt)$ for $α< 1$. We verify their conjecture, and describe the law of the branching Brownian motion conditioned on having a small maximum.
In this paper we study the maximal position process of branching Brownian motion in random spatial environment. The random environment is given by a process $ξ= \left(ξ(x)\right)_{x\in\mathbb{R}}$ satisfying certain conditions. We show that the maximum position $M_t$ of particles alive at time $t$ satisfies a quenched strong law of large numbers and an annealed invariance principle.
We give a proof of a result on the growth of the number of particles along chosen paths in a branching Brownian motion. The work follows the approach of classical large deviations results, in which paths in $C[0,1]$ are rescaled onto $C[0,T]$ for large $T$. The methods used are probabilistic and take advantage of modern spine techniques.
We study a spatial branching model, where the underlying motion is Brownian motion and the branching is affected by a random collection of reproduction blocking sets called "mild" obstacles. We show that the quenched local growth rate is given by the branching rate in the `free' region . When the underlying motion is an arbitrary diffusion process, we obtain a dichotomy for the local growth that is independent of the Poissonian intensity. Finally, and most importantly, we obtain the asymptotics (in probability) of the quenched (when $d\le 2$) and the annealed (arbitrary d) global growth rates,…
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.
Aiming to understand the distribution of fitness levels of individuals in a large population undergoing selection, we study the particle configurations of branching Brownian motion where each particle independently moves as Brownian motion with negative drift, particles can die or undergo dyadic fission, and the difference between the birth rate and the death rate is proportional to the particle's location. Under some assumptions, we obtain the limit in probability of the number of particles in any given interval and an explicit formula for the asymptotic empirical density of the fitness distr…
The logarithmic correction for the order of the maximum for two-speed branching Brownian motion changes discontinuously when approaching slopes $σ_1^2=σ_2^2=1$ which corresponds to standard branching Brownian motion. In this article we study this transition more closely by choosing $σ_1^2=1\pm t^{-α}$ and $σ_2^2=1\pm t^{-α}$. We show that the logarithmic correction for the order of the maximum now smoothly interpolates between the correction in the iid case $\frac{1}{2\sqrt 2}\ln(t),\;\frac{3}{2\sqrt 2}\ln(t)$ and $\frac{6}{2\sqrt 2}\ln(t)$ when $0<α<\frac{1}{2}$. This is due to the localisati…
It is well-known that the maximal particle in a branching Brownian motion sits near $\sqrt2 t - \frac{3}{2\sqrt2}\log t$ at time $t$. One may then ask about the paths of particles near the frontier: how close can they stay to this critical curve? Two different approaches to this question have been developed. We improve upon the best-known bounds in each case, revealing new qualitative features including marked differences between the two approaches.
We study the maximal displacement and related population for a branching Brownian motion in Euclidean space in terms of the principal eigenvalue of an associated Schrödinger type operator. We first determine their growth rates on the survival event. We then establish the upper deviation for the maximal displacement under the possibility of extinction. Under the non-extinction condition, we further discuss the decay rate of the upper deviation probability and the population growth at the critical phase.
We study a dyadic branching Brownian motion on the real line with absorption at 0, drift $μ\in \mathbb{R}$ and started from a single particle at position $x>0.$ When $μ$ is large enough so that the process has a positive probability of survival, we consider $K(t),$ the number of individuals absorbed at 0 by time $t$ and for $s\ge 0$ the functions $ω_s(x):= \mathbb{E}^x[s^{K(\infty)}].$ We show that $ω_s<\infty$ if and only of $s\in[0,s_0]$ for some $s_0>1$ and we study the properties of these functions. Furthermore, for $s=0, ω(x) := ω_0(x) =\mathbb{P}^x(K(\infty)=0)$ is the cumulative distrib…
We focus on the existence and its characterization of limit for a certain critical branching random walks in time-space random environment in 1 dimension which was introduced by Birkner et.al. Each particle performs simple random walk on $\mathbb{Z}$ and branching mechanism depends on the time-space site. The weak limit points of this measure valued processes are characterized as a solution of the non-trivial martingale problem and called super-Brownian motions in random environment by Mytnik.
We consider critical branching Brownian motion with absorption, in which there is initially a single particle at $x > 0$, particles move according to independent one-dimensional Brownian motions with the critical drift of $-\sqrt{2}$, and particles are absorbed when they reach zero. Here we obtain asymptotic results concerning the behavior of the process before the extinction time, as the position $x$ of the initial particle tends to infinity. We estimate the number of particles in the system at a given time and the position of the right-most particle. We also obtain asymptotic results for the…
We give new results on the growth of the number of particles in a dyadic branching Brownian motion which follow within a fixed distance of a path $f:[0,\infty)\to \mathbb{R}$. We show that it is possible to count the number of particles without rescaling the paths. Our results reveal that the number of particles along certain paths can oscillate dramatically. The methods used are entirely probabilistic, taking advantage of the spine technique developed by, amongst others, Lyons et al, Kyprianou, and Hardy & Harris.
