Convergence of Markov processes near saddle fixed points

DOI10.1214/009117906000000836MaRDI QIDQ2370099zbMATH OpenOpenAlexFDO

Authors Amanda G. Turner

Publication date 22 June 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0412051

Mathematics Subject Classification ID

Fixed points and periodic points of dynamical systems; fixed-point index theory; local dynamics (37C25) Central limit and other weak theorems (60F05) Martingales and classical analysis (60G46) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We consider sequences $(X_t^N{)}_{tgeq0}$ of Markov processes in two dimensions whose fluid limit is a stable solution of an ordinary differential equation of the form $dot{x}_t=b(x_t)$, where $b(x)=pmatrix-mu00lambdax+au(x)$ for some $lambda,mu>0$ and $au(x)=O(|x{|}^2)$. Here the processes are indexed so that the variance of the fluctuations of $X_t^N$ is inversely proportional to N. The simplest example arises from the OK Corral gunfight model which was formulated by Williams and McIlroy [Bull. London Math. Soc. 30 (1998) 166--170] and studied by Kingman [Bull. London Math. Soc. 31 (1999) 601--606]. These processes exhibit their most interesting behavior at times of order $logN$ so it is necessary to establish a fluid limit that is valid for large times. We find that this limit is inherently random and obtain its distribution. Using this, it is possible to derive scaling limits for the points where these processes hit straight lines through the origin, and the minimum distance from the origin that they can attain. The power of N that gives the appropriate scaling is surprising. For example if T is the time that $X_t^N$ first hits one of the lines y=x or y=-x, then [N^{{mu}/{(2(lambda+mu))}}|X_T^N|Rightarrow |Z|^{{mu}/{(lambda+mu)}},] for some zero mean Gaussian random variable Z.

Review text

The author studies sequences \((X^N_t)\) \((t\geq 0)\) of Markov processes in two dimensions whose fluid limit is a stable solution of an ordinary differential equation of the form \[ \dot x_t= Bx_t+ \tau(x_t)\;\text{ such that }\;\tau(x)= 0(|x|^2),\tag{\(*\)} \] where \(B\) is the matrix \(\left(\begin{smallmatrix} -\mu & 0\\ 0 &\lambda\end{smallmatrix}\right)\) with eigenvalues \(-\mu< 0\) and \(\lambda> 0\). Let denote the flow associated with \((*)\). There exists some \(x_0\neq 0\) such that \(\varphi_t(x_0)\to 0\) \((t\to\infty)\). The set of such \(x_0\) is a stable manifold \(M_s\). There exists also some \(x_\infty\) such that \(\varphi^{-1}_t(x_\infty)\to 0\) \((t\to\infty)\). The set of such \(x_\infty\) is an unstable manifold \(M_u\). Consider a sequence of Markov processes \((X^N_t)\) such that \(X^N_0= x_0\) for \(x_0\in M_s\) and assume that the variance of fluctuations of \(X^N_t\) is inversely proportional to \(N\). It is shown that there occur three different types of behaviour depending on the time scale: (A) On compact time intervals, \(X^N_t\) converges to the stable solution of \((*)\), the fluctuations around this limit being of order \(N^{-1/2}\). (B) There exists some \(\overline x_0\neq 0\) (only depending on \(x_0\)) and a Gaussian random variable \(Z_\infty\) such that if \(t\) lies in the interval \([R,(2\lambda)^{-1}\log N-R]\), then \[ X^N_t=\overline x_0 e^{-\mu t}(e_1+ \varepsilon_1)+ N^{-1/2} Z_\infty e^{\lambda t}(e_2+ \varepsilon_2) \] for some \(\varepsilon_i(t, N)\to 0\) uniformly in \(t\) in probability as \(R\), \(N\to\infty\), where \(\{e_1,e_2\}\) is the standard basis for \(\mathbb R^2\). (C) On time intervals of a fixed length around \((2\lambda)^{-1}\log N\), \(X^N_t\) converges to the unstable solution of \((*)\). The most interesting behaviour occurs on time intervals of fixed length around \((2(\lambda+\mu))^{-1}\log N\), as for these values of \(t\), \(\overline x_0 e^{-\mu t}\) and \(N^{-1/2}Z_\infty e^{\lambda t}\) are of the same order. It is shown that at these times \(X^N_t\) crosses all straight lines through \(0\), and also that \(|X^N_t|\) attains its minimum value when \(t\) is in this range. By using scaling limits, the author also rederives a result of \textit{J. F. C. Kingman} [Bull. Lond. Math. Soc. 31, No. 5, 601--606 (1999; Zbl 0933.60007)] for the OK Corral gunfight model, which says that \[ N^{-3/4} S^N\to 2^{3/4}|Z|^{1/2}\text{ (weakly) } (Z\sim N(0,1/3)), \] where \(S^N\) is the number of survivors when the process terminates.

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Cites work

• scientific article; zbMATH DE number 637149 (Why is no real title available?)
• scientific article; zbMATH DE number 3207495 (Why is no real title available?)
• Martingales in the Ok Corral
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• Stochastic Spatial Models
• Structure of large random hypergraphs
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