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

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

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.

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Cites work

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• Martingales in the Ok Corral
• Solution to the OK Corral model via decoupling of Friedman's urn
• Stochastic Spatial Models
• Structure of large random hypergraphs
• The Ok Corral and the Power of the Law (A Curious Poisson-Kernel Formula for a Parabolic Equation)

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