Zero temperature limit for interacting Brownian particles. II. Coagulation in one dimension

We study the zero temperature limit for interacting Brownian particles in one dimension with a pairwise potential which is of finite range and attains a unique minimum when the distance of two particles becomes a>0. We say a chain is formed when the particles are arranged in an ``almost equal'' distance a. If a chain is formed at time 0, so is for positive time as the temperature of the system decreases to 0 and, under a suitable macroscopic space-time scaling, the center of mass of the chain performs the Brownian motion with the speed inversely proportional to the total mass. If there are two chains, they independently move until the time when they meet. Then, they immediately coalesce and continue the evolution as a single chain. This can be extended for finitely many chains.Comment: Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/00911790400000019

KPZ equation, its renormalization and invariant measures

The Kardar-Parisi-Zhang (KPZ) equation is a stochastic partial differential equation which is ill-posed because the nonlinearity is marginally defined with respect to the roughness of the forcing noise. However, its Cole-Hopf solution, defined as the logarithm of the solution of the linear stochastic heat equation (SHE) with a multiplicative noise, is a mathematically well-defined object. In fact, Hairer [13] has recently proved that the solution of SHE can actually be derived through the Cole-Hopf transform of the solution of the KPZ equation with a suitable renormalization under periodic boundary conditions. This transformation is unfortunately not well adapted to studying the invariant measures of these Markov processes. The present paper introduces a different type of regularization for the KPZ equation on the whole line $\mathbb{R}$ or under periodic boundary conditions, which is appropriate from the viewpoint of studying the invariant measures. The Cole-Hopf transform applied to this equation leads to an SHE with a smeared noise having an extra complicated nonlinear term. Under time average and in the stationary regime, it is shown that this term can be replaced by a simple linear term, so that the limit equation is the linear SHE with an extra linear term with coefficient 1/24. The methods are essentially stochastic analytic: The Wiener-It\^o expansion and a similar method for establishing the Boltzmann-Gibbs principle are used. As a result, it is shown that the distribution of a two-sided geometric Brownian motion with a height shift given by Lebesgue measure is invariant under the evolution determined by the SHE on $\mathbb{R}$

A coalition formation value for games with externalities

The coalition formation problem in an economy with externalities can be adequately modeled by using games in partition function form (PFF games), proposed by Thrall and Lucas. If we suppose that forming the grand coalition generates the largest total surplus, a central question is how to allocate the worth of the grand coalition to each player, i.e., how to find an adequate solution concept, taking into account the whole process of coalition formation. We propose in this paper the original concepts of scenario-value, process-value and coalition formation value, which represent the average contribution of players in a scenario (a particular sequence of coalitions within a given coalition formation process), in a process (a sequence of partitions of the society), and in the whole (all processes being taken into account), respectively. We give an application to Cournot oligopoly, and two axiomatizations of the scenario-value.Coalition formation, games in partition function form, solution concept, Cournot oligopoly.