A note on the invariant distribution of a quasi-birth-and-death process

The aim of this paper is to give an explicit formula of the invariant distribution of a quasi-birth-and-death process in terms of the block entries of the transition probability matrix using a matrix-valued orthogonal polynomials approach. We will show that the invariant distribution can be computed using the squared norms of the corresponding matrix-valued orthogonal polynomials, no matter if they are or not diagonal matrices. We will give an example where the squared norms are not diagonal matrices, but nevertheless we can compute its invariant distribution

Automated design of minimum drag light aircraft fuselages and nacelles

The constrained minimization algorithm of Vanderplaats is applied to the problem of designing minimum drag faired bodies such as fuselages and nacelles. Body drag is computed by a variation of the Hess-Smith code. This variation includes a boundary layer computation. The encased payload provides arbitrary geometric constraints, specified a priori by the designer, below which the fairing cannot shrink. The optimization may include engine cooling air flows entering and exhausting through specific port locations on the body

Birth and death processes and quantum spin chains

This papers underscores the intimate connection between the quantum walks generated by certain spin chain Hamiltonians and classical birth and death processes. It is observed that transition amplitudes between single excitation states of the spin chains have an expression in terms of orthogonal polynomials which is analogous to the Karlin-McGregor representation formula of the transition probability functions for classes of birth and death processes. As an application, we present a characterization of spin systems for which the probability to return to the point of origin at some time is 1 or almost 1.Comment: 14 page

An Evolutionary Reduction Principle for Mutation Rates at Multiple Loci

A model of mutation rate evolution for multiple loci under arbitrary selection is analyzed. Results are obtained using techniques from Karlin (1982) that overcome the weak selection constraints needed for tractability in prior studies of multilocus event models. A multivariate form of the reduction principle is found: reduction results at individual loci combine topologically to produce a surface of mutation rate alterations that are neutral for a new modifier allele. New mutation rates survive if and only if they fall below this surface - a generalization of the hyperplane found by Zhivotovsky et al. (1994) for a multilocus recombination modifier. Increases in mutation rates at some loci may evolve if compensated for by decreases at other loci. The strength of selection on the modifier scales in proportion to the number of germline cell divisions, and increases with the number of loci affected. Loci that do not make a difference to marginal fitnesses at equilibrium are not subject to the reduction principle, and under fine tuning of mutation rates would be expected to have higher mutation rates than loci in mutation-selection balance. Other results include the nonexistence of 'viability analogous, Hardy-Weinberg' modifier polymorphisms under multiplicative mutation, and the sufficiency of average transmission rates to encapsulate the effect of modifier polymorphisms on the transmission of loci under selection. A conjecture is offered regarding situations, like recombination in the presence of mutation, that exhibit departures from the reduction principle. Constraints for tractability are: tight linkage of all loci, initial fixation at the modifier locus, and mutation distributions comprising transition probabilities of reversible Markov chains.Comment: v3: Final corrections. v2: Revised title, reworked and expanded introductory and discussion sections, added corollaries, new results on modifier polymorphisms, minor corrections. 49 pages, 64 reference

Random trees between two walls: Exact partition function

We derive the exact partition function for a discrete model of random trees embedded in a one-dimensional space. These trees have vertices labeled by integers representing their position in the target space, with the SOS constraint that adjacent vertices have labels differing by +1 or -1. A non-trivial partition function is obtained whenever the target space is bounded by walls. We concentrate on the two cases where the target space is (i) the half-line bounded by a wall at the origin or (ii) a segment bounded by two walls at a finite distance. The general solution has a soliton-like structure involving elliptic functions. We derive the corresponding continuum scaling limit which takes the remarkable form of the Weierstrass p-function with constrained periods. These results are used to analyze the probability for an evolving population spreading in one dimension to attain the boundary of a given domain with the geometry of the target (i) or (ii). They also translate, via suitable bijections, into generating functions for bounded planar graphs.Comment: 25 pages, 7 figures, tex, harvmac, epsf; accepted version; main modifications in Sect. 5-6 and conclusio

Transition probabilities for general birth-death processes with applications in ecology, genetics, and evolution

A birth-death process is a continuous-time Markov chain that counts the number of particles in a system over time. In the general process with $n$ current particles, a new particle is born with instantaneous rate $\lambda_n$ and a particle dies with instantaneous rate $\mu_n$. Currently no robust and efficient method exists to evaluate the finite-time transition probabilities in a general birth-death process with arbitrary birth and death rates. In this paper, we first revisit the theory of continued fractions to obtain expressions for the Laplace transforms of these transition probabilities and make explicit an important derivation connecting transition probabilities and continued fractions. We then develop an efficient algorithm for computing these probabilities that analyzes the error associated with approximations in the method. We demonstrate that this error-controlled method agrees with known solutions and outperforms previous approaches to computing these probabilities. Finally, we apply our novel method to several important problems in ecology, evolution, and genetics

Distribution of the time at which N vicious walkers reach their maximal height

We study the extreme statistics of N non-intersecting Brownian motions (vicious walkers) over a unit time interval in one dimension. Using path-integral techniques we compute exactly the joint distribution of the maximum M and of the time \tau_M at which this maximum is reached. We focus in particular on non-intersecting Brownian bridges ("watermelons without wall") and non-intersecting Brownian excursions ("watermelons with a wall"). We discuss in detail the relationships between such vicious walkers models in watermelons configurations and stochastic growth models in curved geometry on the one hand and the directed polymer in a disordered medium (DPRM) with one free end-point on the other hand. We also check our results using numerical simulations of Dyson's Brownian motion and confront them with numerical simulations of the Polynuclear Growth Model (PNG) and of a model of DPRM on a discrete lattice. Some of the results presented here were announced in a recent letter [J. Rambeau and G. Schehr, Europhys. Lett. 91, 60006 (2010)].Comment: 30 pages, 12 figure

Revenue Management of Reusable Resources with Advanced Reservations

Peer Reviewedhttps://deepblue.lib.umich.edu/bitstream/2027.42/137568/1/poms12672_am.pdfhttps://deepblue.lib.umich.edu/bitstream/2027.42/137568/2/poms12672.pd

Functional central limit theorems for vicious walkers

We consider the diffusion scaling limit of the vicious walker model that is a system of nonintersecting random walks. We prove a functional central limit theorem for the model and derive two types of nonintersecting Brownian motions, in which the nonintersecting condition is imposed in a finite time interval $(0,T]$ for the first type and in an infinite time interval $(0,\infty)$ for the second type, respectively. The limit process of the first type is a temporally inhomogeneous diffusion, and that of the second type is a temporally homogeneous diffusion that is identified with a Dyson's model of Brownian motions studied in the random matrix theory. We show that these two types of processes are related to each other by a multi-dimensional generalization of Imhof's relation, whose original form relates the Brownian meander and the three-dimensional Bessel process. We also study the vicious walkers with wall restriction and prove a functional central limit theorem in the diffusion scaling limit.Comment: AMS-LaTeX, 20 pages, 2 figures, v6: minor corrections made for publicatio

Non-intersecting squared Bessel paths: critical time and double scaling limit

We consider the double scaling limit for a model of $n$ non-intersecting squared Bessel processes in the confluent case: all paths start at time $t=0$ at the same positive value $x=a$, remain positive, and are conditioned to end at time $t=1$ at $x=0$. After appropriate rescaling, the paths fill a region in the $tx$--plane as $n\to \infty$ that intersects the hard edge at $x=0$ at a critical time $t=t^{*}$. In a previous paper (arXiv:0712.1333), the scaling limits for the positions of the paths at time $t\neq t^{*}$ were shown to be the usual scaling limits from random matrix theory. Here, we describe the limit as $n\to \infty$ of the correlation kernel at critical time $t^{*}$ and in the double scaling regime. We derive an integral representation for the limit kernel which bears some connections with the Pearcey kernel. The analysis is based on the study of a $3\times 3$ matrix valued Riemann-Hilbert problem by the Deift-Zhou steepest descent method. The main ingredient is the construction of a local parametrix at the origin, out of the solutions of a particular third-order linear differential equation, and its matching with a global parametrix.Comment: 53 pages, 15 figure