scholarly journals A Markov Chain Algorithm for determining Crossing Times through nested Graphs

2008 ◽  
Vol DMTCS Proceedings vol. AI,... (Proceedings) ◽  
Author(s):  
Uta Freiberg ◽  
Christoph Thäle
Keyword(s):  
Brownian Motion ◽  
Markov Chain ◽  
International Audience

International audience According to the by now established theory developed in order to define a Laplacian or ― equivalently ― a Brownian motion on a nested fractal, one has to solve certain renormalization problems. In this paper, we present a Markov chain algorithm solving the problem for certain classes of simple fractals $K$ provided that there exists a unique Brownian motion and hence, a unique Laplacian on $K$.

scholarly journals Probabilistic Analysis of Carlitz Compositions

2002 ◽  
Vol Vol. 5 ◽  
Author(s):  
Guy Louchard ◽  
Helmut Prodinger
Keyword(s):  
Brownian Motion ◽  
Markov Chain ◽  
Probabilistic Analysis ◽  
Generating Functions ◽  
Limit Theorems ◽  
Discrete Distributions ◽  
Large Integer ◽  
Stochastic Description ◽  
International Audience

International audience Using generating functions and limit theorems, we obtain a stochastic description of Carlitz compositions of large integer n (i.e. compositions two successive parts of which are different). We analyze: the number M of parts, the number of compositions T(m,n) with m parts, the distribution of the last part size, the correlation between two successive parts, leading to a Markov chain. We describe also the associated processes and the limiting trajectories, the width and thickness of a composition. We finally present a typical simulation. The limiting processes are characterized by Brownian Motion and some discrete distributions.

scholarly journals Random sampling of lattice paths with constraints, via transportation

2010 ◽  
Vol DMTCS Proceedings vol. AM,... (Proceedings) ◽  
Author(s):  
Lucas Gerin
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Random Sampling ◽  
Optimal Transport ◽  
Lattice Paths ◽  
Dimensional Lattice ◽  
One Dimensional ◽  
Contraction Property ◽  
International Audience

International audience We build and analyze in this paper Markov chains for the random sampling of some one-dimensional lattice paths with constraints, for various constraints. These chains are easy to implement, and sample an "almost" uniform path of length $n$ in $n^{3+\epsilon}$ steps. This bound makes use of a certain $\textit{contraction property}$ of the Markov chain, and is proved with an approach inspired by optimal transport.

scholarly journals Area of Brownian Motion with Generatingfunctionology

2003 ◽  
Vol DMTCS Proceedings vol. AC,... (Proceedings) ◽  
Author(s):  
Michel Nguyên Thê
Keyword(s):  
Brownian Motion ◽  
Random Walks ◽  
Generating Functions ◽  
Limit Distributions ◽  
Dyck Paths ◽  
Different Types ◽  
International Audience

International audience This paper gives a survey of the limit distributions of the areas of different types of random walks, namely Dyck paths, bilateral Dyck paths, meanders, and Bernoulli random walks, using the technology of generating functions only.

scholarly journals The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion

2003 ◽  
Vol DMTCS Proceedings vol. AC,... (Proceedings) ◽  
Author(s):  
Leonid Tolmatz
Keyword(s):  
Distribution Function ◽  
Brownian Motion ◽  
Saddle Point ◽  
Point Method ◽  
Saddle Point Method ◽  
Tail Asymptotics ◽  
Absolute Value ◽  
Exact Tail Asymptotics ◽  
International Audience ◽  
The Absolute

International audience The distribution function of the integral of the absolute value of the Brownian motion was expressed by L.Takács in the form of various series. In the present paper we determine the exact tail asymptotics of this distribution function. The proposed method is applicable to a variety of other Wiener functionals as well.

A Brownian motion with two reflecting barriers and Markov-modulated speed

2004 ◽  
Vol 41 (04) ◽  
pp. 1237-1242 ◽  
Author(s):  
Offer Kella ◽  
Wolfgang Stadje
Keyword(s):  
Brownian Motion ◽  
Markov Chain ◽  
Linear Algebra ◽  
Stationary Distribution ◽  
The State ◽  
Long Run ◽  
Markov Modulated ◽  
Two Barriers ◽  
Reflecting Barriers

We consider a Brownian motion with time-reversible Markov-modulated speed and two reflecting barriers. A methodology depending on a certain multidimensional martingale together with some linear algebra is applied in order to explicitly compute the stationary distribution of the joint process of the content level and the state of the underlying Markov chain. It is shown that the stationary distribution is such that the two quantities are independent. The long-run average push at the two barriers at each of the states is also computed.

On the limit behavior of a multicompartment storage model with an underlying Markov chain

1988 ◽  
Vol 20 (1) ◽  
pp. 208-227
Author(s):  
Eric S. Tollar
Keyword(s):  
Brownian Motion ◽  
Markov Chain ◽  
Limit Behavior ◽  
Moment Conditions ◽  
Storage Model ◽  
Second Moments ◽  
First Moment ◽  
Inputs And Outputs

The present paper considers a multicompartment storage model with one-way flow. The inputs and outputs for each compartment are controlled by a denumerable-state Markov chain. Assuming finite first and second moments, it is shown that the amounts of material in certain compartments converge in distribution while for others they diverge, based on appropriate first-moment conditions on the inputs and outputs. It is also shown that the diverging compartments under suitable normalization converge to functionals of Brownian motion, independent of those compartments which converge without normalization.

A Brownian motion with two reflecting barriers and Markov-modulated speed

2004 ◽  
Vol 41 (4) ◽  
pp. 1237-1242 ◽  
Author(s):  
Offer Kella ◽  
Wolfgang Stadje
Keyword(s):  
Brownian Motion ◽  
Markov Chain ◽  
Linear Algebra ◽  
Stationary Distribution ◽  
The State ◽  
Long Run ◽  
Markov Modulated ◽  
Two Barriers ◽  
Reflecting Barriers

We consider a Brownian motion with time-reversible Markov-modulated speed and two reflecting barriers. A methodology depending on a certain multidimensional martingale together with some linear algebra is applied in order to explicitly compute the stationary distribution of the joint process of the content level and the state of the underlying Markov chain. It is shown that the stationary distribution is such that the two quantities are independent. The long-run average push at the two barriers at each of the states is also computed.

scholarly journals Analysis of an algorithm catching elephants on the Internet

2008 ◽  
Vol DMTCS Proceedings vol. AI,... (Proceedings) ◽  
Author(s):  
Yousra Chabchoub ◽  
Christine Fricker ◽  
Frédéric Meunier ◽  
Danielle Tibi
Keyword(s):  
Asymptotic Behavior ◽  
Markov Chain ◽  
Stochastic Model ◽  
Limit Theorems ◽  
Bloom Filter ◽  
Simplified Model ◽  
The Internet ◽  
Huge Amount ◽  
International Audience ◽  
On Line

International audience The paper deals with the problem of catching the elephants in the Internet traffic. The aim is to investigate an algorithm proposed by Azzana based on a multistage Bloom filter, with a refreshment mechanism (called $\textit{shift}$ in the present paper), able to treat on-line a huge amount of flows with high traffic variations. An analysis of a simplified model estimates the number of false positives. Limit theorems for the Markov chain that describes the algorithm for large filters are rigorously obtained. The asymptotic behavior of the stochastic model is here deterministic. The limit has a nice formulation in terms of a $M/G/1/C$ queue, which is analytically tractable and which allows to tune the algorithm optimally.

scholarly journals Lengths and heights of random walk excursions

2003 ◽  
Vol DMTCS Proceedings vol. AC,... (Proceedings) ◽  
Author(s):  
Endre Csáki ◽  
Yueyun Hu
Keyword(s):  
Brownian Motion ◽  
Random Walk ◽  
Limiting Distributions ◽  
Symmetric Random Walk ◽  
International Audience

International audience Consider a simple symmetric random walk on the line. The parts of the random walk between consecutive returns to the origin are called excursions. The heights and lengths of these excursions can be arranged in decreasing order. In this paper we give the exact and limiting distributions of these ranked quantities. These results are analogues of the corresponding results of Pitman and Yor [1997, 1998, 2001] for Brownian motion.

scholarly journals First Hitting Problems for Markov Chains That Converge to a Geometric Brownian Motion

2011 ◽  
Vol 2011 ◽  
pp. 1-15 ◽  
Author(s):  
Mario Lefebvre ◽  
Moussa Kounta
Keyword(s):  
Brownian Motion ◽  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Discrete Time ◽  
Geometric Brownian Motion ◽  
Expected Number ◽  
Discrete Time Markov Chain

We consider a discrete-time Markov chain with state space {1,1+Δx,…,1+kΔx=N}. We compute explicitly the probability pj that the chain, starting from 1+jΔx, will hit N before 1, as well as the expected number dj of transitions needed to end the game. In the limit when Δx and the time Δt between the transitions decrease to zero appropriately, the Markov chain tends to a geometric Brownian motion. We show that pj and djΔt tend to the corresponding quantities for the geometric Brownian motion.

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