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Brownian PDF
Brownian PDF
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Rajkumar Saha
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Rajkumar Saha
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Brownian Motion
Brownian Motion
Definition (in low dimention case): A real-valued stochastic
process {B(t) : t 0} is called a (linear) Brownian Motion
with started in x R if the following holds :
i B(x) = x
ii the process has independent increament, i.e. for all time
0 6 t1 6 t2 6, 6 tn the increment
B(tn ) B(tn1 ), , B(t2 ) B(t1 ) are independent random
variables.
iii for all t 0 and h > 0 the increaments B(t + h) B(t) are
normally distributed with expectation zero and varience h.
iv the function t B(t) is continuous. Inaddition, we say that
{B(t) : t 0} is a standard Brownian Motion if if x = 0
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Rajkumar Saha
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Rajkumar Saha
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Rajkumar Saha
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Rajkumar Saha
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Rajkumar Saha
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Rajkumar Saha
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Rajkumar Saha
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Rajkumar Saha
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Multiplicative Coalescent
There is a natural process describing W(x, q) as q varies, which we
now describe in somewhat different notation.Fix x l 2 For each
pair i < j, create a exponential (rate 1) r.v. ij , independent from
different pairs. Given t, cosider the graph where there exist an
edge (i, j) if ij txi xj : this is a construction of W(x, t),
simultaneously for all 0 t < . Let Xi (x, t) be the size of the
i 0 th largest component of this W(x, t) , and let
X (x, t) = Xi (x, t), i 1 Picture the typical state y = (yi ) as a
collection of cluster of sizes y1 , y2 , an initial vector xof finite
length, X (x, t) is a continuous time finite-state(the state-space
depending on the initial x)Markov chain whose dynamics are
described by
for each pair of clusters of sizes (x, y ) they merge at rate xy into a
cluster of size x + y . The natural state space for this process is l 2 .
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Rajkumar Saha
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Examples
Example:1 Define the (coalescent Kernel, K (x, y ), a typical
kernel considered in the applied science literature is:
K (x, y ) = (x 1/3 + y 1/3 )(x 1/3 + y 1/3 )
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Rajkumar Saha
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R-code:
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Rajkumar Saha