We will discuss systems of diffusion processes on the real line, in which the dynamics of every single process is determined by its rank in the entire particle system. Such systems arise in mathematical finance and statistical physics, and are related to heavy-traffic approximations of queueing networks. Motivated by the applications, we address questions about invariant distributions, convergence to equilibrium and concentration of measure for certain statistics, as well as hydrodynamic limits and large deviations for these particle systems. Parts of the talk are joint work with Amir Dembo, Tomoyuki Ichiba, Soumik Pal and Ofer Zeitouni
The need to take stochastic effects into account for modeling complex systems has now become
widely recognized. Stochastic partial differential equations arise naturally as mathematical
models for multiscale systems under random influences. We consider macroscopic dynamics of
microscopic systems described by stochastic partial differential equations. The microscopic
systems are characterized by small scale heterogeneities (spatial domain with small holes or
oscillating coefficients), or fast scale boundary impact (random dynamic boundary condition),
among others.
Effective macroscopic model for such stochastic microscopic systems are derived. The effective
model s are still stochastic partial differential equations, but defined on a unified spatial domain
and the random impact is represented by extra components in the effective models. The
solutions of the microscopic models are shown to converge to those of the effective macroscopic
models in probability distribution, as the size of holes or the scale separation parameter
diminishes to zero. Moreover, the long time effectivity of the macroscopic system in the sense of
convergence in probability distribution, and in the sense of convergence in energy are also
proved.
In this talk we will consider two competing first passage percolation processes started from uniformly chosen subsets of a random regular graph on N vertices. The processes are allowed to spread with different rates, start from vertex subsets of different sizes or at different times. We obtain tight results regarding the sizes of the vertex sets occupied by each process, showing that in the generic situation one process will occupy roughly N^alpha vertices, for some 0 < alpha < 1. The value of alpha is calculated in terms of the relative rates of the processes, as well as the sizes of the initial vertex sets and the possible time advantage of one process. These results are in sharp contrast with the picture in the lattice case.
This is a joint work with Yael Dekel, Elchanan Mossel and Yuval Peres.
We study a discrete-time resource flow in Z^d, where wealthier vertices attract the resources of their less rich neighbors. For any translation-invariant probability distribution of initial resource quantities, we prove that the flow at each vertex terminates after finitely many steps. This answers (a generalized version of) a question posed by Van den Berg and Meester in 1991. The proof uses the mass-transport principle and extends to other graphs.
Abstract: I'll talk about the recently discovered strong negative dependence properties of the symmetric exclusion process, a model of non-intersecting random walkers. The negative dependence theory gives a simple way to show central limit theorems for the bulk motion of particles. Our results are general enough to deal with non-equilibrium systems of particles with inhomogeneous hopping rates.