Measuring the Initial Transient: Reflected Brownian Motion

We analyze the convergence to equilibrium of one-dimensional reflected Brownian motion (RBM) and compute a number of related initial transient formulae. These formulae are of interest as approximations to the initial transient for queueing systems in heavy traffic, and help us to identify settings in which initialization bias is significant. We conclude with a discussion of mean square error for RBM. Our analysis supports the view that initial transient effects for RBM and related models are typically of modest size relative to the intrinsic stochastic variability, unless one chooses an especially poor initialization.Comment: 14 pages, 3 figure

Quantitative estimates for the long time behavior of an ergodic variant of the telegraph process

Motivated by stability questions on piecewise deterministic Markov models of bacterial chemotaxis, we study the long time behavior of a variant of the classic telegraph process having a non-constant jump rate that induces a drift towards the origin. We compute its invariant law and show exponential ergodicity, obtaining a quantitative control of the total variation distance to equilibrium at each instant of time. These results rely on an exact description of the excursions of the process away from the origin and on the explicit construction of an original coalescent coupling for both velocity and position. Sharpness of the obtained convergence rate is discussed.Comment: Definitive version of former paper "Quantitative estimates for the long time behavior of a PDMP describing the movement of bacteria", now accepted in Advances in Applied Probability. Presentation changed. A diffusive scaling limit result is added. Sharpness of the long-time convergence rate is discussed. 20 pages, 3 figure

Super-hydrodynamic limit in interacting particle systems

This paper is a follow-up of the work initiated in [3], where it has been investigated the hydrodynamic limit of symmetric independent random walkers with birth at the origin and death at the rightmost occupied site. Here we obtain two further results: first we characterize the stationary states on the hydrodynamic time scale and show that they are given by a family of linear macroscopic profiles whose parameters are determined by the current reservoirs and the system mass. Then we prove the existence of a super-hyrdrodynamic time scale, beyond the hydrodynamic one. On this larger time scale the system mass fluctuates and correspondingly the macroscopic profile of the system randomly moves within the family of linear profiles, with the randomness of a Brownian motion.Comment: 22 page