We consider the symmetric exclusion process {η_t,t>0} on {0,1}^{Z^d}. We fix a pattern A:={η:\sum_Λη(i)\ge k}, where Λis a finite subset of Z^d and k is an integer, and we consider the problem of establishing sharp estimates for τ, the hitting time of A. We present a novel argument based on monotonicity which helps in some cases to obtain sharp tail asymptotics for τin a simple way. Also, we characterize the trajectories {η_s,s\le t} conditioned on {τ>t}.
In the boundary driven symmetric simple exclusion process consider an open set $\ms O$ of density profiles which does not contain the stationary density profile. We prove that the first time the empirical measure visits the set $\ms O$ converges to an exponential distribution.
We consider the superposition of symmetric simple exclusion dynamics speeded-up in time, with spin-flip dynamics in a one-dimensional interval with periodic boundary conditions. We show that the mixing time has an exponential lower bound in the system size if the potential of the hydrodynamic equation has more than two local minima. We also apply our estimates to show that the normalized hitting times of rare events converge to a mean one exponential random variable if the potential has a unique minimum.
In Hernández-del-Valle (2010) the author studies the connection between Schrödinger's equation and first hitting densities of Brownian motion. Although the author is able to find solutions of a Schrödinger type pde he fails---except in some special cases---to construct a solution which satisfies the boundary on the space variable at $x=0$. In this paper we use an approach used in Bluman and Shtelen (1996) to find solutions which satisfy the pde and boundary condition when $t=0$.
We develop some sufficient conditions for the stochastic ordering between hitting times, in a fixed state, for two Markov chains. In particular, we focus attention on the so called \emph{skip-free} case. In the analysis of such a case, we develop a special type of coupling. We also compare different types of relations between two, non-necessarily skip-free, Markov chains on the same state space. Such relations have a natural role in establishing the usual and the asymptotic stochastic ordering between the probability distributions of hitting times. Finally, we present some discussions and exam…
Fix a smooth function $Φ: [l,r] \to \bb R$, defined on some interval $[l,r]$ of $\bb R$, such that $0<b \le Φ'\le b^{-1}$. We prove that the evolution, on the diffusive scale, of the empirical density of exclusion processes in $\bb Z^d$, with conductances given by special class of functions $W$, is described by the weak solutions of the non-linear parabolic partial differential equation $\partial_t ρ= \sum_{k=1}^d (d/dx_k)(d/dW_k)Φ(ρ)$. We also derive some properties of the operator $\sum^d_{k=1}(d/dx_k)(d/dW_k)$.
Juggler's exclusion process describes a system of particles on the positive integers where particles drift down to zero at unit speed. After a particle hits zero, it jumps into a randomly chosen unoccupied site. We model the system as a set-valued Markov process and show that the process is ergodic if the family of jump height distributions is uniformly integrable. In a special case where the particles jump according to a set-avoiding memoryless distribution, the process reaches its equilibrium in finite nonrandom time, and the equilibrium distribution can be represented as a Gibbs measure con…
We study the non-equilibrium dynamics of a one-dimensional interacting particle system that is a mixture of the voter model and the exclusion process. With the process started from a finite perturbation of the ground state Heaviside configuration consisting of 1's to the left of the origin and 0's elsewhere, we study the relaxation time $τ$, that is, the first hitting time of the ground state configuration (up to translation). We give conditions for $τ$ to be finite and for certain moments of $τ$ to be finite or infinite, and prove a result that approaches a conjecture of Belitsky et al. (Bern…
We show that the joint probability generating function of the stationary measure of a finite state asymmetric exclusion process with open boundaries can be expressed in terms of joint moments of Markov processes called quadratic harnesses. We use our representation to prove the large deviations principle for the total number of particles in the system. We use the generator of the Markov process to show how explicit formulas for the average occupancy of a site arise for special choices of parameters. We also give similar representations for limits of stationary measures as the number of sites t…
New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes. The algorithms are based on special techniques of sequential phase space reduction and recurrence relations connecting moments of rewards. Applications are discussed as well as possible generalisations of presented results and results of experimental studies.
In this paper we obtain general integral formulas for probabilities in the asymmetric simple exclusion process (ASEP) on the integer lattice with nearest neighbor hopping rates p to the right and q=1-p to the left. For the most part we consider an N-particle system but for certain of these formulas we can take the limit as N goes to infinity. First we obtain, for the N-particle system, a formula for the probability of a configuration at time t, given the initial configuration. For this we use Bethe Ansatz ideas to solve the master equation, extending a result of Schuetz for the case N=2. The m…
We study two versions of the asymmetric exclusion process (ASEP) -- an ASEP on a semi-infinite lattice with an open left boundary, and an ASEP on a finite lattice with open left and right boundaries -- and we demonstrate a surprising relationship between their stationary measures. The semi-infinite ASEP was first studied by Liggett and then Grosskinsky, while the finite ASEP had been introduced earlier by Spitzer and Macdonald-Gibbs-Pipkin. We show that the finite correlation functions involving the first L sites for the stationary measures on the semi-infinite ASEP can be obtained as a nonphy…
Given a discrete source distribution $μ$ and discrete target distribution $ν$ on a common finite state space $\mathcal{X}$, we are tasked with transporting $μ$ to $ν$ using a given discrete-time Markov chain $X$ with the quickest possible time on average. We define the optimal transport time $H(μ,ν)$ as stopping rule of $X$ that gives the minimial expected transport time. This is also known as the access time from $μ$ to $ν$ of $X$ in [L. Lovász and P. Winkler. Efficient Stopping Rules for Markov Chains. Proceedings of the Twenty-seventh Annual ACM Symposium on Theory of Computing (STOC '95) 7…
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 continue our study of intermittency for the parabolic Anderson equation $\partial u/\partial t = κΔu + ξu$, where $u\colon \Z^d\times [0,\infty)\to\R$, $κ$ is the diffusion constant, $Δ$ is the discrete Laplacian, and $ξ\colon \Z^d\times [0,\infty)\to\R$ is a space-time random medium. The solution of the equation describes the evolution of a ``reactant'' $u$ under the influence of a ``catalyst'' $ξ$. In this paper we focus on the case where $ξ$ is exclusion with a symmetric random walk transition kernel, starting from equilibrium with density $ρ\in (0,1)$. We consider the annealed Lyapunov …
We introduce new integrable exclusion and zero-range processes on the one-dimensional lattice that generalize the $q$-Hahn TASEP and the $q$-Hahn Boson (zero-range) process introduced in [Pov13] and further studied in [Cor14], by allowing jumps in both directions. Owing to a Markov duality, we prove moment formulas for the locations of particles in the exclusion process. This leads to a Fredholm determinant formula that characterizes the distribution of the location of any particle. We show that the model-dependent constants that arise in the limit theorems predicted by the KPZ scaling theory …
We study the hitting times of Markov processes to target set $G$, starting from a reference configuration $x_0$ or its basin of attraction. The configuration $x_0$ can correspond to the bottom of a (meta)stable well, while the target $G$ could be either a set of saddle (exit) points of the well, or a set of further (meta)stable configurations. Three types of results are reported: (1) A general theory is developed, based on the path-wise approach to metastability, which has three important attributes. First, it is general in that it does not assume reversibility of the process, does not focus o…
We prove a quenched functional central limit theorem for a one-dimensional random walk driven by a simple symmetric exclusion process. This model can be viewed as a special case of the random walk in a balanced random environment, for which the weak quenched limit is constructed as a function of the invariant measure of the environment viewed from the walk. We bypass the need to show the existence of this invariant measure. Instead, we find the limit of the quadratic variation of the walk and give an explicit formula for it.
We prove a weak law of large numbers for a tagged particle in a totally asymmetric exclusion process on the one-dimensional lattice. The particles are allowed to take long jumps but not pass each other. The object of the paper is to illustrate a special technique for proving such theorems. The method uses a coupling that mimics the Hopf-Lax formula from the theory of viscosity solutions of Hamilton-Jacobi equations.
A new stochastic process is introduced and considered - squared Bessel process with special stochastic time. The analogues of fundamental properties for Brownian motion are deduced for squared Bessel process. In particular an analogue of the celebrated strong Markov construction of Brownian motion independent of a given sigma field is presented and proved. This result has strong consequences. It allows for deeper understanding the nature of first hitting time of squared Bessel process. The joint distribution of two correlated squared Bessel processes is presented. For squared Bessel process it…
Introduced in the late 1960's, the asymmetric exclusion process (ASEP) is an important model from statistical mechanics which describes a system of interacting particles hopping left and right on a one-dimensional lattice with open boundaries. It has been known for awhile that there is a tight connection between the partition function of the ASEP and moments of Askey-Wilson polynomials, a family of orthogonal polynomials which are at the top of the hierarchy of classical orthogonal polynomials in one variable. On the other hand, Askey-Wilson polynomials can be viewed as a specialization of the…
We consider the nonabelian sandpile model defined on directed trees by Ayyer, Schilling, Steinberg and Thiéry (Commun. Math. Phys, 2013) and restrict it to the special case of a one-dimensional lattice of $n$ sites which has open boundaries and disordered hopping rates. We focus on the joint distribution of the integrated currents across each bond simultaneously, and calculate its cumulant generating function exactly. Surprisingly, the process conditioned on seeing specified currents across each bond turns out to be a renormalised version of the same process. We also remark on a duality proper…
We investigate the long-term behavior of a random walker evolving on top of the simple symmetric exclusion process (SSEP) at equilibrium, in dimension one. At each jump, the random walker is subject to a drift that depends on whether it is sitting on top of a particle or a hole, so that its asymptotic behavior is expected to depend on the density $ρ\in [0, 1]$ of the underlying SSEP. Our first result is a law of large numbers (LLN) for the random walker for all densities $ρ$ except for at most two values $ρ_-, ρ_+ \in [0, 1]$. The asymptotic speed we obtain in our LLN is a monotone function of…
We reinterpret and generalize conjectures of Lam and Williams as statements about the stationary distribution of a multispecies exclusion process on the ring. The central objects in our study are the multiline queues of Ferrari and Martin. We make some progress on some of the conjectures in different directions. First, we prove their conjectures in two special cases by generalizing the rates of the Ferrari-Martin transitions. Secondly, we define a new process on multiline queues, which have a certain minimality property. This gives another proof for one of the special cases; namely arbitrary j…
We consider some special classes of Lévy processes with no gaussian component whose Lévy measure is of the type $π(dx)=e^{γx}ν(e^x-1) dx$, where $ν$ is the density of the stable Lévy measure and $γ$ is a positive parameter which depends on its characteristics. These processes were introduced in \cite{CC} as the underlying Lévy processes in the Lamperti representation of conditioned stable Lévy processes. In this paper, we compute explicitly the law of these Lévy processes at their first exit time from a finite or semi-finite interval, the law of their exponential functional and the first hitti…
We study the connection between PDEs and Lévy processes running with clocks given by time-changed Poisson processes with stochastic drifts. The random times we deal with are therefore given by time-changed Poissonian jumps related to some Frobenious-Perron operators $K$ associated to random translations. Moreover, we also consider their hitting times as a random clock. Thus, we study processes driven by equations involving time-fractional operators (modelling memory) and fractional powers of the difference operator $I-K$ (modelling jumps). For this large class of processes we also provide, in …
The misanthrope process is a class of stochastic interacting particle systems, generalizing the simple exclusion process. It allows each site of the lattice to accommodate more than one particle. We consider a special case of the one dimensional misanthrope process whose probability distribution is completely equivalent to the ordinary simple exclusion process under the periodic boundary condition. By imposing open boundaries, high- and low-density domains can coexist in the system, which we investigate by Monte Carlo simulations. We examine finite-size corrections of density profiles and corr…
In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model with tax(Albrecher and Hipp (2007)). We explicitly characterize the Laplace transform of the occupation time of an Azema-Yor process(e.g. a process refracted by functionals of its running maximum) below a constant level until the first hitting time of another Azema-Yor process or until an independent exponential time. This result unifies and e…
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its running minimum. The drawdown and the drawup are the first hitting times of the drawdown and the drawup processes respectively. In particular, we derive a closed-form formula for the Laplace transform of the probability density of the drawdown of a units when it precedes the drawup of b units. We then separately consider the special case of drifted Brownian mo…
