Convergence of the all-time supremum of a L\'evy process in the heavy-traffic regime

In this paper we derive a technique of obtaining limit theorems for suprema of L\'evy processes from their random walk counterparts. For each $a>0$, let $\{Y^{(a)}_n:n\ge 1\}$ be a sequence of independent and identically distributed random variables and $\{X^{(a)}_t:t\ge 0\}$ be a L\'evy processes such that $X_1^{(a)}\stackrel{d}{=} Y_1^{(a)}$, $\mathbb E X_1^{(a)}<0$ and $\mathbb E X_1^{(a)}\uparrow0$ as $a\downarrow0$. Let $S^{(a)}_n=\sum_{k=1}^n Y^{(a)}_k$. Then, under some mild assumptions, $\Delta(a)\max_{n\ge 0} S_n^{(a)}\stackrel{d}{\to} R\iff\Delta(a)\sup_{t\ge 0} X^{(a)}_t\stackrel{d}{\to} R$, for some random variable $R$ and some function $\Delta(\cdot)$. We utilize this result to present a number of limit theorems for suprema of L\'evy processes in the heavy-traffic regime

On the localized phase of a copolymer in an emulsion: supercritical percolation regime

In this paper we study a two-dimensional directed self-avoiding walk model of a random copolymer in a random emulsion. The copolymer is a random concatenation of monomers of two types, $A$ and $B$, each occurring with density 1/2. The emulsion is a random mixture of liquids of two types, $A$ and $B$, organised in large square blocks occurring with density $p$ and $1-p$, respectively, where $p \in (0,1)$. The copolymer in the emulsion has an energy that is minus $\alpha$ times the number of $AA$-matches minus $\beta$ times the number of $BB$-matches, where without loss of generality the interaction parameters can be taken from the cone $\{(\alpha,\beta)\in\R^2\colon \alpha\geq |\beta|\}$. To make the model mathematically tractable, we assume that the copolymer is directed and can only enter and exit a pair of neighbouring blocks at diagonally opposite corners. In \cite{dHW06}, it was found that in the supercritical percolation regime $p \geq p_c$, with $p_c$ the critical probability for directed bond percolation on the square lattice, the free energy has a phase transition along a curve in the cone that is independent of $p$. At this critical curve, there is a transition from a phase where the copolymer is fully delocalized into the $A$-blocks to a phase where it is partially localized near the $AB$-interface. In the present paper we prove three theorems that complete the analysis of the phase diagram : (1) the critical curve is strictly increasing; (2) the phase transition is second order; (3) the free energy is infinitely differentiable throughout the partially localized phase.Comment: 43 pages and 10 figure

Countable Random Sets: Uniqueness in Law and Constructiveness

The first part of this article deals with theorems on uniqueness in law for \sigma-finite and constructive countable random sets, which in contrast to the usual assumptions may have points of accumulation. We discuss and compare two approaches on uniqueness theorems: First, the study of generators for \sigma-fields used in this context and, secondly, the analysis of hitting functions. The last section of this paper deals with the notion of constructiveness. We will prove a measurable selection theorem and a decomposition theorem for constructive countable random sets, and study constructive countable random sets with independent increments.Comment: Published in Journal of Theoretical Probability (http://www.springerlink.com/content/0894-9840/). The final publication is available at http://www.springerlink.co

Expected length of the longest common subsequence for large alphabets

We consider the length L of the longest common subsequence of two randomly uniformly and independently chosen n character words over a k-ary alphabet. Subadditivity arguments yield that the expected value of L, when normalized by n, converges to a constant C_k. We prove a conjecture of Sankoff and Mainville from the early 80's claiming that C_k\sqrt{k} goes to 2 as k goes to infinity.Comment: 14 pages, 1 figure, LaTe

Positive temperature versions of two theorems on first-passage percolation

The estimates on the fluctuations of first-passsage percolation due to Talagrand (a tail bound) and Benjamini--Kalai--Schramm (a sublinear variance bound) are transcribed into the positive-temperature setting of random Schroedinger operators.Comment: 15 pp; to appear in GAFA Seminar Note

Antiferromagnetic Potts model on the Erdos-Renyi random graph

We study the antiferromagnetic Potts model on the Poissonian Erd\"os-R\'enyi random graph. By identifying a suitable interpolation structure and an extended variational principle, together with a positive temperature second-moment analysis we prove the existence of a phase transition at a positive critical temperature. Upper and lower bounds on the temperature critical value are obtained from the stability analysis of the replica symmetric solution (recovered in the framework of Derrida-Ruelle probability cascades)and from a positive entropy argument.Comment: 36 pages, revisions to improve resul

Trend-based analysis of a population model of the AKAP scaffold protein

We formalise a continuous-time Markov chain with multi-dimensional discrete state space model of the AKAP scaffold protein as a crosstalk mediator between two biochemical signalling pathways. The analysis by temporal properties of the AKAP model requires reasoning about whether the counts of individuals of the same type (species) are increasing or decreasing. For this purpose we propose the concept of stochastic trends based on formulating the probabilities of transitions that increase (resp. decrease) the counts of individuals of the same type, and express these probabilities as formulae such that the state space of the model is not altered. We define a number of stochastic trend formulae (e.g. weakly increasing, strictly increasing, weakly decreasing, etc.) and use them to extend the set of state formulae of Continuous Stochastic Logic. We show how stochastic trends can be implemented in a guarded-command style specification language for transition systems. We illustrate the application of stochastic trends with numerous small examples and then we analyse the AKAP model in order to characterise and show causality and pulsating behaviours in this biochemical system

Gaussian queues in light and heavy traffic

In this paper we investigate Gaussian queues in the light-traffic and in the heavy-traffic regime. The setting considered is that of a centered Gaussian process $X\equiv\{X(t):t\in\mathbb R\}$ with stationary increments and variance function $\sigma^2_X(\cdot)$, equipped with a deterministic drift $c>0$, reflected at 0: $$Q_X^{(c)}(t)=\sup_{-\infty<s\le t}(X(t)-X(s)-c(t-s)).$$ We study the resulting stationary workload process $Q^{(c)}_X\equiv\{Q_X^{(c)}(t):t\ge0\}$ in the limiting regimes $c\to 0$ (heavy traffic) and $c\to\infty$ (light traffic). The primary contribution is that we show for both limiting regimes that, under mild regularity conditions on the variance function, there exists a normalizing function $\delta(c)$ such that $Q^{(c)}_X(\delta(c)\cdot)/\sigma_X(\delta(c))$ converges to a non-trivial limit in $C[0,\infty)$