We analyze clustering and (local) recurrence of a standard Markov process model of spatial domain coarsening. The continuous time process, whose state space consists of assignments of +1 or -1 to each site in ${\bf Z}^2$, is the zero-temperature limit of the stochastic homogeneous Ising ferromagnet (with Glauber dynamics): the initial state is chosen uniformly at random and then each site, at rate one, polls its 4 neighbors and makes sure it agrees with the majority, or tosses a fair coin in case of a tie. Among the main results (almost sure, with respect to both the process and initial state) are: clusters (maximal domains of constant sign) are finite for times $t< \infty$, but the cluster of a fixed site diverges (in diameter) as $t \to \infty$; each of the two constant states is (positive) recurrent. We also present other results and conjectures concerning positive and null recurrence and the role of absorbing states.
Multivariate process satisfying affine stochastic recurrence equation with generic diagonal matrices is considered. We prove that the stationary solution is regularly varying. The results are applicable to diagonal autoregressive models.
We obtain complementary recurrence and transience criteria for processes $X=(X_n)_{n \ge 0}$ with values in $\mathbb R^d_+$ fulfilling a non-linear equation $X_{n+1}=MX_n+g(X_n)+ ξ_{n+1}$. Here $M$ denotes a primitive matrix having Perron-Frobenius eigenvalue 1, and $g$ denotes some function. The conditional expectation and variance of the noise $(ξ_{n+1})_{n \ge 0}$ are such that $X$ obeys a weak form of the Markov property. The results generalize criteria for the 1-dimensional case in [5].
We investigate zero-temperature dynamics on the hexagonal lattice H for the homogeneous ferromagnetic Ising model with zero external magnetic field and a disordered ferromagnetic Ising model with a positive external magnetic field h. We consider both continuous time (asynchronous) processes and, in the homogeneous case, also discrete time synchronous dynamics (i.e., a deterministic cellular automaton), alternating between two sublattices of H. The state space consists of assignments of -1 or +1 to each site of H, and the processes are zero-temperature limits of stochastic Ising ferromagnets wi…
In this paper we present a stability criterion for finite measure-valued stochastic recursions, generalizing Loynes's Theorem to spaces of measures. This result provides conditions for the reach of a "total stationary state" for the queue with an infinity of servers and the single-server SRPT queue. Indeed, we give in both cases a condition of existence of a stationary measure-valued recursive sequence characterizing the queueing system exhaustively.
We study bivariate stochastic recurrence equations with triangular matrix coefficients and we characterize the tail behavior of their stationary solutions ${\bf W} =(W_1,W_2)$. Recently it has been observed that $W_1,W_2$ may exhibit regularly varying tails with different indices, which is in contrast to well-known Kesten-type results. However, only partial results have been derived. Under typical "Kesten-Goldie" and "Grey" conditions, we completely characterize tail behavior of $W_1,W_2$. The tail asymptotics we obtain has not been observed in previous settings of stochastic recurrence equati…
We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks. We establish an averaging principle that relates time averages of the process and Nash equilibria of a suitably modified game. Furthermore, a sufficient condition for transience is given in terms of mixed equilibria and definiteness of the payoff matrix. We also present necessary and sufficient conditions for stochastic stability of pure equilibria.
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian processes which arise in financial and insurance mathematics, related to perpetuities and the $\operatorname {ARCH}(1)$ and $\operatorname {GARCH}(1,1)$ time series models. Our results build upon work of Goldie [Ann. Appl. Probab. 1 (1991) 126--166], who has developed tail asymptotics applicable for independent sequences of random variables subject to a random recurrence equation. In contrast, we adopt a general approac…
In this paper we prove large deviations results for partial sums constructed from the solution to a stochastic recurrence equation. We assume Kesten's condition [Acta Math. 131 (1973) 207-248] under which the solution of the stochastic recurrence equation has a marginal distribution with power law tails, while the noise sequence of the equations can have light tails. The results of the paper are analogs to those obtained by A. V. Nagaev [Theory Probab. Appl. 14 (1969) 51-64; 193-208] and S. V. Nagaev [Ann. Probab. 7 (1979) 745-789] in the case of partial sums of i.i.d. random variables. In the…
We discuss complementary recurrence and transience criteria for stochastic processes $(X_n)_{n \ge 0}$ with values in the $d$-dimensional orthant $\mathbb R^d_+$ fulfilling a non-linear stochastic equation of the form $X_{n+1}=MX_n+g(X_n)+ ξ_n$ with a primitive matrix $M$ and random noise $ξ_n$ and obeying a weak Markov property. As examples we discuss bisexual Galton-Watson processes and multivariate Galton-Watson processes, which both may be population size dependent.
We study bivariate stochastic recurrence equations (SREs) motivated by applications to GARCH(1,1) processes. If coefficient matrices of SREs have strictly positive entries, then the Kesten result applies and it gives solutions with regularly varying tails. Moreover, the tail indices are the same for all coordinates. However, for applications, this framework is too restrictive. We study SREs when coefficients are triangular matrices and prove that the coordinates of the solution may exhibit regularly varying tails with different indices. We also specify each tail index together with its constan…
The paper is dedicated to studying the problem of Poisson stability (in particular stationarity, periodicity, quasi-periodicity, Bohr almost periodicity, Bohr almost automorphy, Birkhoff recurrence, almost recurrence in the sense of Bebutov, Levitan almost periodicity, pseudo-periodicity, pseudo-recurrence, Poisson stability) of solutions for semi-linear stochastic equation $$ dx(t)=(Ax(t)+f(t,x(t)))dt +g(t,x(t))dW(t)\quad (*) $$ with exponentially stable linear operator $A$ and Poisson stable in time coefficients $f$ and $g$. We prove that if the functions $f$ and $g$ are appropriately "small…
We consider discrete-space continuous-time Markov models of reaction networks and provide sufficient conditions for the following stability condition to hold: each state in a closed, irreducible component of the state space is positive recurrent; moreover the time required for a trajectory to enter such a component has finite expectation. The provided analytical results depend solely on the underlying structure of the reaction network and not on the specific choice of model parameters. Our main results apply to binary systems and our main analytical tool is the "tier structure" previously util…
We study how the recurrence and transience of space-time sets for a branching random walk on a graph depends on the offspring distribution. Here, we say that a space-time set $A$ is recurrent if it is visited infinitely often almost surely on the event that the branching random walk survives forever, and say that $A$ is transient if it is visited at most finitely often almost surely. We prove that if $μ$ and $ν$ are supercritical offspring distributions with means $\bar μ< \bar ν$ then every space-time set that is recurrent with respect to the offspring distribution $μ$ is also recurrent with …
We investigate the interface dynamics of the two-dimensional stochastic Ising model in an external field under helicoidal boundary conditions. At sufficiently low temperatures and fields, the dynamics of the interface is described by an exactly solvable high-spin asymmetric quantum Hamiltonian that is the infinitesimal generator of the zero range process. Generally, the critical dynamics of the interface fluctuations is in the Kardar-Parisi-Zhang universality class of critical behavior. We remark that a whole family of RSOS interface models similar to the Ising interface model investigated her…
We present an analysis of an avian flu model that yields insight into the role of different transmission routes in the recurrence of avian influenza epidemics. Recent modelling work on avian influenza in wild bird populations takes into account demographic stochasticity and highlights the importance of environmental transmission in determining the outbreak periodicity, but only for a weak between-host transmission rate. We determine the relative contribution of environmental and direct transmission routes to the intensity of outbreaks. We use an approximation method to simulate noise sustained…
Inspired by the idea of stochastic quantization proposed by Parisi and Wu, we construct the transition probability matrix which plays a central role in the renormalization group through a stochastic differential equation. By establishing the discrete time stochastic dynamics, the renormalization procedure can be characterized from the perspective of probability. Hence, we will focus on the investigation of the infinite dimensional stochastic dynamic. From the stochastic point of view, the discrete time stochastic dynamic can induce a Markov chain. Via calculating the square field operator and …
We discuss various aspects concerning stochastic domination for the Ising model and the fuzzy Potts model. We begin by considering the Ising model on the homogeneous tree of degree $d$, $\Td$. For given interaction parameters $J_1$, $J_2>0$ and external field $h_1\in\RR$, we compute the smallest external field $\tilde{h}$ such that the plus measure with parameters $J_2$ and $h$ dominates the plus measure with parameters $J_1$ and $h_1$ for all $h\geq\tilde{h}$. Moreover, we discuss continuity of $\tilde{h}$ with respect to the three parameters $J_1$, $J_2$, $h$ and also how the plus measures a…
We formulate simple criteria for positive Harris recurrence of strongly degenerate stochastic differential equations with smooth coefficients when the drift depends on time and space and is periodic in the time argument. There is no time dependence in the diffusion coefficient. Our criteria rely on control systems and the support theorem, existence of an attainable inner point of full weak Hoermander dimension and of some Lyapunov function. Positive Harris recurrence enables us to prove limit theorems for such diffusions. As an application, we consider a stochastic Hodgkin-Huxley model for a s…
We establish upper bounds for the spectral gap of the stochastic Ising model at low temperatures in an n-by-n box with boundary conditions which are not purely plus or minus; specifically, we assume the magnitude of the sum of the boundary spins over each interval of length n in the boundary is bounded by δn, where δ< 1. We show that for any such boundary condition, when the temperature is sufficiently low (depending on δ), the spectral gap decreases exponentially in n.
We prove for the contact process on $Z^d$, and many other graphs, that the upper invariant measure dominates a homogeneous product measure with large density if the infection rate $λ$ is sufficiently large. As a consequence, this measure percolates if the corresponding product measure percolates. We raise the question of whether domination holds in the symmetric case for all infinite graphs of bounded degree. We study some asymmetric examples which we feel shed some light on this question. We next obtain necessary and sufficient conditions for domination of a product measure for ``downward'' F…
Stochastic dominations for FK percolation and sharp thinning thresholds for the Ising energy field
Université Claude Bernard Lyon 1（里昂第一大学）；CNRS UMR 5208, Institut Camille Jordan（法国国家科学研究中心联合研究实验室5208，卡米尔·若当研究所）；Universidad de Chile（智利大学）；Centro de Modelamiento Matemático (AFB170001)（数学建模中心）；UMI-CNRS 2807（中法科研联合单位2807）
We establish upper bounds for the spectral gap of the stochastic Ising model at low temperature in an N-by-N box, with boundary conditions which are ``plus'' except for small regions at the corners which are either free or ``minus.'' The spectral gap decreases exponentially in the size of the corner regions, when these regions are of size at least of order \log N. This means that removing as few as O(\log N) plus spins from the corners produces a spectral gap far smaller than the order N^{-2} gap believed to hold under the all-plus boundary condition. Our results are valid at all subcritical t…
We analyse the lower non trivial part of the spectrum of the generator of the Glauber dynamics, which we consider a positive operator, for a d-dimensional nearest neighbour Ising model with a bounded random potential. We prove conjecture 1 in a paper by Albeverio et al.(referred as [AMSZ]) that is, for sufficently large values of the temperature, the first band of the spectrum of the generator of the process coincides with a closed non random segment of the real line.
We consider a multidimensional time-homogeneous dynamical system and add a randomly perturbed time-dependent deterministic signal to some of its components, giving rise to a high-dimensional system of stochastic differential equations, which is driven by possibly very low-dimensional noise. Equations of this type commonly occur in biology when modelling neurons or in statistical mechanics for certain Hamiltonian systems. We provide verifiable conditions on the original deterministic dynamical system under which the solution to the respective stochastic system features a point in the interior o…
We study an alternative approach to model the dynamical behaviors of biological feedback loop, that is, a type-dependent spin system, this class of stochastic models was introduced by Fernández et. al (2009), and are useful since take account to inherent variability of gene expression. We analyze a non-symmetric feedback module being an extension for the repressilator, the first synthetic biological oscillator, invented by Elowitz and Leibler (2000). We consider a mean-field dynamics for a type-dependent Ising model, and then study the empirical-magnetization vector representing concentration …
We study stability of solutions for a randomly driven and degenerately damped version of the Lorenz '63 model. Specifically, we prove that when damping is absent in one of the temperature components, the system possesses a unique invariant probability measure if and only if noise acts on the convection variable. On the other hand, if there is a positive growth term on the vertical temperature profile, we prove that there is no normalizable invariant state. Our approach relies on the derivation and analysis of non-trivial Lyapunov functions which ensure positive recurrence or null-recurrence/tr…
We study the Glauber dynamics for the zero-temperature Ising model in dimension d=4 with "plus" boundary condition.Let T+ be the time needed for an hypercube of size L entirely filled with "minus" spins to become entirely "plus". We prove that T+ is O(L^2(log L)^c) for some constant c, not depending on the dimension. This brings further rigorous justification for the so-called "Lifshitz law" T+ = O(L^2) [5, 3] conjectured on heuristic grounds. The key point of our proof is to use the detail knowledge that we have on the three-dimensional problem: results for fluctuation of monotone interfaces …
We consider the Glauber dynamics for the 2D Ising model in a box of side L, at inverse temperature $β$ and random boundary conditions $τ$ whose distribution P either stochastically dominates the extremal plus phase (hence the quotation marks in the title) or is stochastically dominated by the extremal minus phase. A particular case is when P is concentrated on the homogeneous configuration identically equal to + (equal to -). For $β$ large enough we show that for any $ε$ there exists $c=c(β,ε)$ such that the corresponding mixing time $T_{mix}$ satisfies $\lim_{L\to\infty}P(T_{mix}> \exp({cL^ε}…
We introduce a new framework for analyzing Glauber dynamics for the Ising model. The traditional approach for obtaining sharp mixing results has been to appeal to estimates on spatial properties of the stationary measure from within a multi-scale analysis of the dynamics. Here we propose to study these simultaneously by examining "information percolation" clusters in the space-time slab. Using this framework, we obtain new results for the Ising model on $(\mathbb{Z}/n\mathbb{Z})^d$ throughout the high temperature regime: total-variation mixing exhibits cutoff with an $O(1)$-window around the t…
From a physical/dynamical system perspective, the potential well represents the proportional mass of points that escape the neighbourhood of a given point. In the last 20 years, several works have shown the importance of this quantity to obtain precise approximations for several recurrence time distributions in mixing stochastic processes and dynamical systems. Besides providing a review of the different scaling factors used in the literature in recurrence times, the present work contributes with two new results: (1) for $ϕ$-mixing and $ψ$-mixing processes, we give a new exponential approximat…
The frog model starts with one active particle at the root of a graph and some number of dormant particles at all nonroot vertices. Active particles follow independent random paths, waking all inactive particles they encounter. We prove that certain frog model statistics are monotone in the initial configuration for two nonstandard stochastic dominance relations: the increasing concave and the probability generating function orders. This extends many canonical theorems. We connect recurrence for random initial configurations to recurrence for deterministic configurations. Also, the limiting sh…
This paper provides full classification of dynamics for continuous time Markov chains (CTMCs) on the non-negative integers with polynomial transition rate functions. Such stochastic processes are abundant in applications, in particular in biology. More precisely, for CTMCs of bounded jumps, we provide necessary and sufficient conditions in terms of calculable parameters for explosivity, recurrence vs transience, certain absorption, positive recurrence vs null recurrence, and implosivity. Simple sufficient conditions for exponential ergodicity of stationary distributions and quasi-stationary di…
The stochastic block model (SBM) is a random graph model in which the edges are generated according to the underlying cluster structure on the vertices. The (ferromagnetic) Ising model, on the other hand, assigns $\pm 1$ labels to vertices according to an underlying graph structure in a way that if two vertices are connected in the graph then they are more likely to be assigned the same label. In SBM, one aims to recover the underlying clusters from the graph structure while in Ising model, an extensively-studied problem is to recover the underlying graph structure based on i.i.d. samples (lab…
We study a stochastic particle system which is motivated from grain boundary coarsening in two-dimensional networks. Each particles lives on the positive real line and is labeled as belonging to either Species 1 or Species 2. Species 1 particles drift at unit speed toward the origin, while Species 2 particles do not move. When a particle in Species 1 hits the origin, it is removed, and a randomly selected particle mutates from Species 2 to Species 1. The process described is an example of a high-dimensional piecewise deterministic Markov process (PDMP), in which deterministic flow is punctuate…
This paper deals with the stochastic Ising model with a temperature shrinking to zero as time goes to infinity. A generalization of the Glauber dynamics is considered, on the basis of the existence of simultaneous flips of some spins. Such dynamics act on a wide class of graphs which are periodic and embedded in $\mathbb{R}^d$. The interactions between couples of spins are assumed to be quenched i.i.d. random variables following a Bernoulli distribution with support $\{-1,+1\}$. The specific problem here analyzed concerns the assessment of how often (finitely or infinitely many times, almost s…
In this study, we investigate the energy landscape of the Ising and Potts models on fixed and finite but large three-dimensional (3D) lattices where no external field exists and quantitatively characterize the metastable behavior of the associated Glauber dynamics in the very low temperature regime. Such analyses for the models with non-zero external magnetic fields have been extensively performed over the past two decades; however, models without external fields remained uninvestigated. Recently, the corresponding investigation has been conducted for the two-dimensional (2D) model without an …
Consider a low temperature stochastic Ising model in the phase coexistence regime with Markov semigroup $P_t$. A fundamental and still largely open problem is the understanding of the long time behavior of $\d_\h P_t$ when the initial configuration $\h$ is sampled from a highly disordered state $ν$ (e.g. a product Bernoulli measure or a high temperature Gibbs measure). Exploiting recent progresses in the analysis of the mixing time of Monte Carlo Markov chains for discrete spin models on a regular $b$-ary tree $\Tree^b$, we tackle the above problem for the Ising and hard core gas (independent …
We considerably improve upon the recent result of Martinelli and Toninelli on the mixing time of Glauber dynamics for the 2D Ising model in a box of side $L$ at low temperature and with random boundary conditions whose distribution $P$ stochastically dominates the extremal plus phase. An important special case is when $P$ is concentrated on the homogeneous all-plus configuration, where the mixing time $T_{mix}$ is conjectured to be polynomial in $L$. In [MT] it was shown that for a large enough inverse-temperature $β$ and any $ε>0$ there exists $c=c(β,ε)$ such that $\lim_{L\to\infty}P(T_{mix}\…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds. We make extensive use of fluid limits in order to establish recurrence properties of the model. We use the model to analyze various high-frequency trading strategies, and comment on the Nash equilibria that emerge between high-frequency traders when a market in continuous t…
Consider a proper metric space X and a sequence of i.i.d. random continuous mappings F_n from X to X. It induces the stochastic dynamical system (SDS) X_n^x = F_n(X_{n-1}^x) starting at x in X. In this paper, we study existence and uniqueness of invariant measures, as well as recurrence and ergodicity of this process. In the first part, we elaborate, improve and complete the unpublished work of Martin Benda on local contractivity, which merits publicity and provides an important tool for studying stochastic iterations. We consider the case when the F_n are contractions and, in particular, disc…
This paper is devoted to the study of continuous-time processes known as continuous-time open quantum walks (CTOQWs). A CTOQW represents the evolution of a quantum particle constrained to move on a discrete graph, but also has internal degrees of freedom modeled by a state (in the quantum mechanical sense), and contain as a special case continuous-time Markov chains on graphs. Recurrence and transience of a vertex are an important notion in the study of Markov chains, and it is known that all vertices must be of the same nature if the Markov chain is irreducible. In the present paper we addres…
