On the zero mass limit of tagged particle diffusion in the 1-d Rayleigh-gas

We consider the M -> 0 limit for tagged particle diffusion in a 1-dimensional Rayleigh-gas, studied originaly by Sinai and Soloveichik (1986), respectively by Szasz and Toth (1986). In this limit we derive a new type of model for tagged paricle diffusion, with Calogero-Moser-Sutherland (i.e. inverse quadratic) interaction potential between the two central particles. Computer simulations on this new model reproduce exactly the numerical value of the limiting variance obtained by Boldrighini, Frigio and Tognetti (2002).Comment: Dedicated to Domokos Szasz on his 65th birthda

Continuous time `true' self-avoiding random walk on Z

We consider the continuous time version of the `true' or `myopic' self-avoiding random walk with site repulsion in 1d. The Ray-Knight-type method which was applied to the discrete time and edge repulsion case, is applicable to this model with some modifications. We present a limit theorem for the local time of the walk and a local limit theorem for the displacement.Comment: 17 page

Comment on a theorem of M. Maxwell and M. Woodroofe

We present a direct derivation of the theorem of M. Maxwell and M. Woodroofe (Ann. Probab. 28 (2000) 713-724), on martingale approximation of additive functionals of stationary Markov processes, from the non-reversible version of the Kipnis-Varadhan theorem.Comment: revised version, to be published in Electronic Communications in Probabilit

Relaxed sector condition

In this note we present a new sufficient condition which guarantees martingale approximation and central limit theorem a la Kipnis-Varadhan to hold for additive functionals of Markov processes. This condition which we call the relaxed sector condition (RSC) generalizes the strong sector condition (SSC) and the graded sector condition (GSC) in the case when the self-adjoint part of the infinitesimal generator acts diagonally in the grading. The main advantage being that the proof of the GSC in this case is more transparent and less computational than in the original versions. We also hope that the RSC may have direct applications where the earlier sector conditions don't apply. So far we don't have convincing examples in this direction.Comment: 11 page

Modeling the Epps effect of cross correlations in asset prices

We review the decomposition method of stock return cross-correlations, presented previously for studying the dependence of the correlation coefficient on the resolution of data (Epps effect). Through a toy model of random walk/Brownian motion and memoryless renewal process (i.e. Poisson point process) of observation times we show that in case of analytical treatability, by decomposing the correlations we get the exact result for the frequency dependence. We also demonstrate that our approach produces reasonable fitting of the dependence of correlations on the data resolution in case of empirical data. Our results indicate that the Epps phenomenon is a product of the finite time decay of lagged correlations of high resolution data, which does not scale with activity. The characteristic time is due to a human time scale, the time needed to react to news.Comment: to appear in the Proceedings of SPIE Fluctuations and Noise 200

Favourite sites of simple random walk

We survey the current status of the list of questions related to the favourite (or: most visited) sites of simple random walk on Z, raised by Pal Erdos and Pal Revesz in the early eighties.Comment: survey paper, 14 page