Positive recurrence of reflecting Brownian motion in three dimensions

Consider a semimartingale reflecting Brownian motion (SRBM) $Z$ whose state space is the $d$-dimensional nonnegative orthant. The data for such a process are a drift vector $\theta$, a nonsingular $d\times d$ covariance matrix $\Sigma$, and a $d\times d$ reflection matrix $R$ that specifies the boundary behavior of $Z$. We say that $Z$ is positive recurrent, or stable, if the expected time to hit an arbitrary open neighborhood of the origin is finite for every starting state. In dimension $d=2$, necessary and sufficient conditions for stability are known, but fundamentally new phenomena arise in higher dimensions. Building on prior work by El Kharroubi, Ben Tahar and Yaacoubi [Stochastics Stochastics Rep. 68 (2000) 229--253, Math. Methods Oper. Res. 56 (2002) 243--258], we provide necessary and sufficient conditions for stability of SRBMs in three dimensions; to verify or refute these conditions is a simple computational task. As a byproduct, we find that the fluid-based criterion of Dupuis and Williams [Ann. Probab. 22 (1994) 680--702] is not only sufficient but also necessary for stability of SRBMs in three dimensions. That is, an SRBM in three dimensions is positive recurrent if and only if every path of the associated fluid model is attracted to the origin. The problem of recurrence classification for SRBMs in four and higher dimensions remains open.Comment: Published in at http://dx.doi.org/10.1214/09-AAP631 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Contest based on a directed polymer in a random medium

We introduce a simple one-parameter game derived from a model describing the properties of a directed polymer in a random medium. At his turn, each of the two players picks a move among two alternatives in order to maximize his final score, and minimize opponent's return. For a game of length $n$, we find that the probability distribution of the final score $S_n$ develops a traveling wave form, ${\rm Prob}(S_n=m)=f(m-v n)$, with the wave profile $f(z)$ unusually decaying as a double exponential for large positive and negative $z$. In addition, as the only parameter in the game is varied, we find a transition where one player is able to get his maximum theoretical score. By extending this model, we suggest that the front velocity $v$ is selected by the nonlinear marginal stability mechanism arising in some traveling wave problems for which the profile decays exponentially, and for which standard traveling wave theory applies

Model of Cluster Growth and Phase Separation: Exact Results in One Dimension

We present exact results for a lattice model of cluster growth in 1D. The growth mechanism involves interface hopping and pairwise annihilation supplemented by spontaneous creation of the stable-phase, +1, regions by overturning the unstable-phase, -1, spins with probability p. For cluster coarsening at phase coexistence, p=0, the conventional structure-factor scaling applies. In this limit our model falls in the class of diffusion-limited reactions A+A->inert. The +1 cluster size grows diffusively, ~t**(1/2), and the two-point correlation function obeys scaling. However, for p>0, i.e., for the dynamics of formation of stable phase from unstable phase, we find that structure-factor scaling breaks down; the length scale associated with the size of the growing +1 clusters reflects only the short-distance properties of the two-point correlations.Comment: 12 page

Symmetry and species segregation in diffusion-limited pair annihilation

We consider a system of q diffusing particle species A_1,A_2,...,A_q that are all equivalent under a symmetry operation. Pairs of particles may annihilate according to A_i + A_j -> 0 with reaction rates k_{ij} that respect the symmetry, and without self-annihilation (k_{ii} = 0). In spatial dimensions d > 2 mean-field theory predicts that the total particle density decays as n(t) ~ 1/t, provided the system remains spatially uniform. We determine the conditions on the matrix k under which there exists a critical segregation dimension d_{seg} below which this uniformity condition is violated; the symmetry between the species is then locally broken. We argue that in those cases the density decay slows down to n(t) ~ t^{-d/d_{seg}} for 2 < d < d_{seg}. We show that when d_{seg} exists, its value can be expressed in terms of the ratio of the smallest to the largest eigenvalue of k. The existence of a conservation law (as in the special two-species annihilation A + B -> 0), although sufficient for segregation, is shown not to be a necessary condition for this phenomenon to occur. We work out specific examples and present Monte Carlo simulations compatible with our analytical results.Comment: latex, 19 pages, 3 eps figures include

Exact Results for a Three-Body Reaction-Diffusion System

A system of particles hopping on a line, singly or as merged pairs, and annihilating in groups of three on encounters, is solved exactly for certain symmetrical initial conditions. The functional form of the density is nearly identical to that found in two-body annihilation, and both systems show non-mean-field, ~1/t**(1/2) instead of ~1/t, decrease of particle density for large times.Comment: 10 page

Exact asymptotics of the freezing transition of a logarithmically correlated random energy model

We consider a logarithmically correlated random energy model, namely a model for directed polymers on a Cayley tree, which was introduced by Derrida and Spohn. We prove asymptotic properties of a generating function of the partition function of the model by studying a discrete time analogy of the KPP-equation - thus translating Bramson's work on the KPP-equation into a discrete time case. We also discuss connections to extreme value statistics of a branching random walk and a rescaled multiplicative cascade measure beyond the critical point

Particle Dynamics in a Mass-Conserving Coalescence Process

We consider a fully asymmetric one-dimensional model with mass-conserving coalescence. Particles of unit mass enter at one edge of the chain and coalescence while performing a biased random walk towards the other edge where they exit. The conserved particle mass acts as a passive scalar in the reaction process $A+A\to A$, and allows an exact mapping to a restricted ballistic surface deposition model for which exact results exist. In particular, the mass- mass correlation function is exactly known. These results complement earlier exact results for the $A+A\to A$ process without mass. We introduce a comprehensive scaling theory for this process. The exact anaytical and numerical results confirm its validity.Comment: 5 pages, 6 figure

Growth Kinetics in Systems with Local Symmetry

The phase transition kinetics of Ising gauge models are investigated. Despite the absence of a local order parameter, relevant topological excitations that control the ordering kinetics can be identified. Dynamical scaling holds in the approach to equilibrium, and the growth of typical length scale is characteristic of a new universality class with $L(t)\sim \left(t/\ln t\right)^{1/2}$. We suggest that the asymptotic kinetics of the 2D Ising gauge model is dual to that of the 2D annihilating random walks, a process also known as the diffusion-reaction $A+A\to \hbox{inert}$.Comment: 10 pages in Tex, 2 Postscript figures appended, NSF-ITP-93-4