Dirichlet random walks

DOI10.1017/S0021900200011992MaRDI QIDQ5176522zbMATH OpenOpenAlexFDO

Authors Gérard Letac, Mauro Piccioni

Publication date 26 February 2015

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.6279, https://projecteuclid.org/euclid.jap/1421763329

zbMATH Keywords

Dirichlet processdistributions in a spherehyperuniformityinfinite divisibility in the sense of Dirichletrandom flightStieltjes transform

Mathematics Subject Classification ID

Groups and semigroups of linear operators (47D03) Infinitely divisible distributions; stable distributions (60E07) Limit theorems in probability theory (60F99) Sums of independent random variables; random walks (60G50) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Abstract: This article provides tools for the study of the Dirichlet random walk in $mathbb{R}^d$. By this we mean the random variable $W=X_{1}Thet{a}_1+cdots+X_{n}Thet{a}_n$ where $X=(X_1,ldots,X_n)simmathcalD(q_1,ldots,q_n)$ is Dirichlet distributed and where $Thet{a}_1,ldotsThet{a}_n$ are iid, uniformly distributed on the unit sphere of $mathbb{R}^d$ and independent of $X.$ In particular we compute explicitely in a number of cases the distribution of $W.$ Some of our results appear already in the literature, in particular in the papers by G'erard Le Ca"{e}r (2010, 2011). In these cases, our proofs are much simpler from the original ones, since we use a kind of Stieltjes transform of $W$ instead of the Laplace transform: as a consequence the hypergeometric functions replace the Bessel functions. A crucial ingredient is a particular case of the classical and non trivial identity, true for $0lequleq1/2$:${\displaystyle }$_2F_1(2a,2b;a+b+frac{1}{2};u)= _2F_1(a,b;a+b+frac{1}{2};4u-4u^2).${\displaystyle }$ We extend these results to a study of the limits of the Dirichlet random walks when the number of added terms goes to infinity, interpreting the results in terms of an integral by a Dirichlet process. We introduce the ideas of Dirichlet semigroups and of Dirichlet infinite divisibility and characterize these infinite divisible distributions in the sense of Dirichlet when they are concentrated on the unit ball of $mathbb{R}^d.$ {4mm}

oindent extsc{Keywords:} Dirichlet processes, Stieltjes transforms, random flight, distributions in a ball, hyperuniformity, infinite divisibility in the sense of Dirichlet. {4mm}

oindent extsc{AMS classification}: 60D99, 60F99.

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Cites work

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Cited in

(19)

• Random walks and other aspects of the Bailey-Daum distribution
• Donkey walk and Dirichlet distributions
• Two-step Dirichlet random walks
• Probability law for the Euclidean distance between two planar random flights
• Slow diffusion by Markov random flights
• Stochastic models associated to a nonlocal porous medium equation
• Asymptotic relation for the transition density of the three-dimensional Markov random flight on small time intervals
• Dirichlet curves, convex order and Cauchy distribution
• Short hyperuniform random walks
• An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications
• Transport processes with random jump rate
• Densities of Short Uniform Random Walks
• scientific article; zbMATH DE number 3868368 (Why is no real title available?)
• Rational Random Walks
• scientific article; zbMATH DE number 2152205 (Why is no real title available?)
• Greedy Random Walk
• Random Walks with Drift – A Sequential Approach
• The Dirichlet random walk
• Reflecting random flights

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