An asymptotic relationship between coupling methods for stochastically modeled population processes

This paper is concerned with elucidating a relationship between two common coupling methods for the continuous time Markov chain models utilized in the cell biology literature. The couplings considered here are primarily used in a computational framework by providing reductions in variance for different Monte Carlo estimators, thereby allowing for significantly more accurate results for a fixed amount of computational time. Common applications of the couplings include the estimation of parametric sensitivities via finite difference methods and the estimation of expectations via multi-level Monte Carlo algorithms. While a number of coupling strategies have been proposed for the models considered here, and a number of articles have experimentally compared the different strategies, to date there has been no mathematical analysis describing the connections between them. Such analyses are critical in order to determine the best use for each. In the current paper, we show a connection between the common reaction path (CRP) method and the split coupling (SC) method, which is termed coupled finite differences (CFD) in the parametric sensitivities literature. In particular, we show that the two couplings are both limits of a third coupling strategy we call the "local-CRP" coupling, with the split coupling method arising as a key parameter goes to infinity, and the common reaction path coupling arising as the same parameter goes to zero. The analysis helps explain why the split coupling method often provides a lower variance than does the common reaction path method, a fact previously shown experimentally.Comment: Edited Section 4.

Stein meets Malliavin in normal approximation

Stein's method is a method of probability approximation which hinges on the solution of a functional equation. For normal approximation the functional equation is a first order differential equation. Malliavin calculus is an infinite-dimensional differential calculus whose operators act on functionals of general Gaussian processes. Nourdin and Peccati (2009) established a fundamental connection between Stein's method for normal approximation and Malliavin calculus through integration by parts. This connection is exploited to obtain error bounds in total variation in central limit theorems for functionals of general Gaussian processes. Of particular interest is the fourth moment theorem which provides error bounds of the order $\sqrt{\mathbb{E}(F_n^4)-3}$ in the central limit theorem for elements $\{F_n\}_{n\ge 1}$ of Wiener chaos of any fixed order such that $\mathbb{E}(F_n^2) = 1$. This paper is an exposition of the work of Nourdin and Peccati with a brief introduction to Stein's method and Malliavin calculus. It is based on a lecture delivered at the Annual Meeting of the Vietnam Institute for Advanced Study in Mathematics in July 2014.Comment: arXiv admin note: text overlap with arXiv:1404.478

First passage percolation on the Newman-Watts small world model

The Newman-Watts model is given by taking a cycle graph of n vertices and then adding each possible edge $(i,j), |i-j|\neq 1 \mod n$ with probability $\rho/n$ for some $\rho>0$ constant. In this paper we add i.i.d. exponential edge weights to this graph, and investigate typical distances in the corresponding random metric space given by the least weight paths between vertices. We show that typical distances grow as $\frac1\lambda \log n$ for a $\lambda>0$ and determine the distribution of smaller order terms in terms of limits of branching process random variables. We prove that the number of edges along the shortest weight path follows a Central Limit Theorem, and show that in a corresponding epidemic spread model the fraction of infected vertices follows a deterministic curve with a random shift.Comment: 29 pages, 4 figure

Percolation and Connectivity in the Intrinsically Secure Communications Graph

The ability to exchange secret information is critical to many commercial, governmental, and military networks. The intrinsically secure communications graph (iS-graph) is a random graph which describes the connections that can be securely established over a large-scale network, by exploiting the physical properties of the wireless medium. This paper aims to characterize the global properties of the iS-graph in terms of: (i) percolation on the infinite plane, and (ii) full connectivity on a finite region. First, for the Poisson iS-graph defined on the infinite plane, the existence of a phase transition is proven, whereby an unbounded component of connected nodes suddenly arises as the density of legitimate nodes is increased. This shows that long-range secure communication is still possible in the presence of eavesdroppers. Second, full connectivity on a finite region of the Poisson iS-graph is considered. The exact asymptotic behavior of full connectivity in the limit of a large density of legitimate nodes is characterized. Then, simple, explicit expressions are derived in order to closely approximate the probability of full connectivity for a finite density of legitimate nodes. The results help clarify how the presence of eavesdroppers can compromise long-range secure communication.Comment: Submitted for journal publicatio