Selected recollections of my relationship with Leo Breiman

During the period 1962--1964, I had a tenure track Assistant Professorship in Mathematics at Cornell University in Ithaca, New York, where I did research in probability theory, especially on linear diffusion processes. Being somewhat lonely there and not liking the cold winter weather, I decided around the beginning of 1964 to try to get a job in the Mathematics Department at UCLA, in the city in which I was born and raised. At that time, Leo Breiman was an Associate Professor in that department. Presumably, he liked my research on linear diffusion processes and other research as well, since the department offered me a tenure track Assistant Professorship, which I happily accepted. During the Summer of 1965, I worked on various projects with Sidney Port, then at RAND Corporation, especially on random walks and related material. I was promoted to Associate Professor, effective in Fall, 1966, presumably thanks in part to Leo. Early in 1966, I~was surprised to be asked by Leo to participate in a department meeting called to discuss the possible hiring of Sidney. The conclusion was that Sidney was hired as Associate Professor in the department, as of Fall, 1966. Leo communicated to me his view that he thought that Sidney and I worked well together, which is why he had urged the department to hire Sidney. Anyhow, Sidney and I had a very fruitful and enjoyable collaboration in probability and, to a much lesser extent, in theoretical statistics, for a number of years thereafter.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS431 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Equality of averaged and quenched large deviations for random walks in random environments in dimensions four and higher

We consider large deviations for nearest-neighbor random walk in a uniformly elliptic i.i.d. environment. It is easy to see that the quenched and the averaged rate functions are not identically equal. When the dimension is at least four and Sznitman's transience condition (T) is satisfied, we prove that these rate functions are finite and equal on a closed set whose interior contains every nonzero velocity at which the rate functions vanish.Comment: 17 pages. Minor revision. In particular, note the change in the title of the paper. To appear in Probability Theory and Related Fields

Quenched large deviations for multidimensional random walk in random environment with holding times

We consider a random walk in random environment with random holding times, that is, the random walk jumping to one of its nearest neighbors with some transition probability after a random holding time. Both the transition probabilities and the laws of the holding times are randomly distributed over the integer lattice. Our main result is a quenched large deviation principle for the position of the random walk. The rate function is given by the Legendre transform of the so-called Lyapunov exponents for the Laplace transform of the first passage time. By using this representation, we derive some asymptotics of the rate function in some special cases.Comment: This is the corrected version of the paper. 24 page

Level 1 quenched large deviation principle for random walk in dynamic random environment

Abstract Consider a random walk in a time-dependent random environment on the lattice Z d . Recently, Rassoul-Agha, Seppäläinen and Yilmaz [RSY11] proved a general large deviation principle under mild ergodicity assumptions on the random environment for such a random walk, establishing first level 2 and 3 large deviation principles. Here we present two alternative short proofs of the level 1 large deviations under mild ergodicity assumptions on the environment: one for the continuous time case and another one for the discrete time case. Both proofs provide the existence, continuity and convexity of the rate function. Our methods are based on the use of the sub-additive ergodic theorem as presented by Varadhan in [V03]

Variational formulas and cocycle solutions for directed polymer and percolation models

We discuss variational formulas for the law of large numbers limits of certain models of motion in a random medium: namely, the limiting time constant for last-passage percolation and the limiting free energy for directed polymers. The results are valid for models in arbitrary dimension, steps of the admissible paths can be general, the environment process is ergodic under spatial translations, and the potential accumulated along a path can depend on the environment and the next step of the path. The variational formulas come in two types: one minimizes over gradient-like cocycles, and another one maximizes over invariant measures on the space of environments and paths. Minimizing cocycles can be obtained from Busemann functions when these can be proved to exist. The results are illustrated through 1+1 dimensional exactly solvable examples, periodic examples, and polymers in weak disorder

Cut Points and Diffusions in Random Environment

In this article we investigate the asymptotic behavior of a new class of multi-dimensional diffusions in random environment. We introduce cut times in the spirit of the work done by Bolthausen, Sznitman and Zeitouni, see [4], in the discrete setting providing a decoupling effect in the process. This allows us to take advantage of an ergodic structure to derive a strong law of large numbers with possibly vanishing limiting velocity and a central limit theorem under the quenched measure.Comment: 44 pages; accepted for publication in "Journal of Theoretical Probability

Stationary cocycles and Busemann functions for the corner growth model

We study the directed last-passage percolation model on the planar square lattice with nearest-neighbor steps and general i.i.d. weights on the vertices, out- side of the class of exactly solvable models. Stationary cocycles are constructed for this percolation model from queueing fixed points. These cocycles serve as bound- ary conditions for stationary last-passage percolation, solve variational formulas that characterize limit shapes, and yield existence of Busemann functions in directions where the shape has some regularity. In a sequel to this paper the cocycles are used to prove results about semi-infinite geodesics and the competition interface

Random walks in random Dirichlet environment are transient in dimension d≥3d\ge 3

We consider random walks in random Dirichlet environment (RWDE) which is a special type of random walks in random environment where the exit probabilities at each site are i.i.d. Dirichlet random variables. On $\Z^d$, RWDE are parameterized by a $2d$-uplet of positive reals. We prove that for all values of the parameters, RWDE are transient in dimension $d\ge 3$. We also prove that the Green function has some finite moments and we characterize the finite moments. Our result is more general and applies for example to finitely generated symmetric transient Cayley graphs. In terms of reinforced random walks it implies that directed edge reinforced random walks are transient for $d\ge 3$.Comment: New version published at PTRF with an analytic proof of lemma