Upper tails of self-intersection local times of random walks: survey of proof techniques

The asymptotics of the probability that the self-intersection local time of a random walk on $\Z^d$ exceeds its expectation by a large amount is a fascinating subject because of its relation to some models from Statistical Mechanics, to large-deviation theory and variational analysis and because of the variety of the effects that can be observed. However, the proof of the upper bound is notoriously difficult and requires various sophisticated techniques. We survey some heuristics and some recently elaborated techniques and results. This is an extended summary of a talk held on the CIRM-conference on {\it Excess self-intersection local times, and related topics} in Luminy, 6-10 Dec., 2010.Comment: 11 page

Attraction time for strongly reinforced walks

We consider a class of strongly edge-reinforced random walks, where the corresponding reinforcement weight function is nondecreasing. It is known, from Limic and Tarr\`{e}s [Ann. Probab. (2007), to appear], that the attracting edge emerges with probability 1 whenever the underlying graph is locally bounded. We study the asymptotic behavior of the tail distribution of the (random) time of attraction. In particular, we obtain exact (up to a multiplicative constant) asymptotics if the underlying graph has two edges. Next, we show some extensions in the setting of finite graphs, and infinite graphs with bounded degree. As a corollary, we obtain the fact that if the reinforcement weight has the form $w(k)=k^{\rho}$, $\rho>1$, then (universally over finite graphs) the expected time to attraction is infinite if and only if $\rho\leq1+\frac{1+\sqrt{5}}{2}$.Comment: Published in at http://dx.doi.org/10.1214/08-AAP564 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

How to make Dupire's local volatility work with jumps

There are several (mathematical) reasons why Dupire's formula fails in the non-diffusion setting. And yet, in practice, ad-hoc preconditioning of the option data works reasonably well. In this note we attempt to explain why. In particular, we propose a regularization procedure of the option data so that Dupire's local vol diffusion process recreates the correct option prices, even in manifest presence of jumps

Sharp Bounds in Stochastic Network Calculus

The practicality of the stochastic network calculus (SNC) is often questioned on grounds of potential looseness of its performance bounds. In this paper it is uncovered that for bursty arrival processes (specifically Markov-Modulated On-Off (MMOO)), whose amenability to \textit{per-flow} analysis is typically proclaimed as a highlight of SNC, the bounds can unfortunately indeed be very loose (e.g., by several orders of magnitude off). In response to this uncovered weakness of SNC, the (Standard) per-flow bounds are herein improved by deriving a general sample-path bound, using martingale based techniques, which accommodates FIFO, SP, EDF, and GPS scheduling. The obtained (Martingale) bounds gain an exponential decay factor of ${\mathcal{O}}(e^{-\alpha n})$ in the number of flows $n$. Moreover, numerical comparisons against simulations show that the Martingale bounds are remarkably accurate for FIFO, SP, and EDF scheduling; for GPS scheduling, although the Martingale bounds substantially improve the Standard bounds, they are numerically loose, demanding for improvements in the core SNC analysis of GPS

Quantum description of spherical spins

The spherical model for spins describes ferromagnetic phase transitions well, but it fails at low temperatures. A quantum version of the spherical model is proposed. It does not induce qualitative changes near the phase transition. However, it produces a physical low temperature behavior. The entropy is non-negative. Model parameters can be adapted to the description of real quantum spins. Several applications are discussed. Zero-temperature quantum phase transitions are analyzed for a ferromagnet and a spin glass in a transversal field. Their crossover exponents are presented.Comment: 4 pages postscript. Revised version, to appear in Phys. Rev. Let

Comparing Free Hand Menu Techniques for Distant Displays using Linear, Marking and Finger-Count Menus

Part 1: Long and Short PapersInternational audienceDistant displays such as interactive Public Displays (IPD) or Interactive Television (ITV) require new interaction techniques as traditional input devices may be limited or missing in these contexts. Free hand interaction, as sensed with computer vision techniques, presents a promising interaction technique. This paper presents the adaptation of three menu techniques for free hand interaction: Linear menu, Marking menu and Finger-Count menu. The first study based on a Wizard-of-OZ protocol focuses on Finger-Counting postures in front of interactive television and public displays. It reveals that participants do choose the most efficient gestures neither before nor after the experiment. Results are used to develop a Finger-Count recognizer. The second experiment shows that all techniques achieve satisfactory accuracy. It also shows that Finger-Count requires more mental demand than other techniques.</p

Avoided Critical Behavior in a Uniformly Frustrated System

We study the effects of weak long-ranged antiferromagnetic interactions of strength $Q$ on a spin model with predominant short-ranged ferromagnetic interactions. In three dimensions, this model exhibits an avoided critical point in the sense that the critical temperature $T_c(Q=0)$ is strictly greater than $\lim_{Q\to 0} T_c(Q)$. The behavior of this system at temperatures less than $T_c(Q=0)$ is controlled by the proximity to the avoided critical point. We also quantize the model in a novel way to study the interplay between charge-density wave and superconducting order.Comment: 32 page Latex file, figures available from authors by reques