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Accurate calculations of Stationary Distributions and Mean First Passage Times in Markov Renewal Processes and Markov Chains

Jeffrey J. Hunter (2016)

Special Matrices

This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the embedded Markov...

Ageing in the parabolic Anderson model

Peter Mörters, Marcel Ortgiese, Nadia Sidorova (2011)

Annales de l'I.H.P. Probabilités et statistiques

The parabolic Anderson model is the Cauchy problem for the heat equation with a random potential. We consider this model in a setting which is continuous in time and discrete in space, and focus on time-constant, independent and identically distributed potentials with polynomial tails at infinity. We are concerned with the long-term temporal dynamics of this system. Our main result is that the periods, in which the profile of the solutions remains nearly constant, are increasing linearly over time,...

Aging and quenched localization for one-dimensional random walks in random environment in the sub-ballistic regime

Nathanaël Enriquez, Christophe Sabot, Olivier Zindy (2009)

Bulletin de la Société Mathématique de France

We consider transient one-dimensional random walks in a random environment with zero asymptotic speed. An aging phenomenon involving the generalized Arcsine law is proved using the localization of the walk at the foot of “valleys“ of height log t . In the quenched setting, we also sharply estimate the distribution of the walk at time t .

Algunas relaciones entre modelos marcovianos de redes de colas.

Joaquín Aranda Gallego (1982)

Trabajos de Estadística e Investigación Operativa

En este artículo se describen algunos de los modelos markovianos de redes de colas más interesantes, como los de Jackson, Gordon y Newell, Reiser y Kobayashi y otros, estudiando las relaciones existentes entre ellos. Se demuestra que la solución conocida como "forma de producto" es válida para todos ellos con las modificaciones apropiadas en cada caso.

Almost sure functional central limit theorem for ballistic random walk in random environment

Firas Rassoul-Agha, Timo Seppäläinen (2009)

Annales de l'I.H.P. Probabilités et statistiques

We consider a multidimensional random walk in a product random environment with bounded steps, transience in some spatial direction, and high enough moments on the regeneration time. We prove an invariance principle, or functional central limit theorem, under almost every environment for the diffusively scaled centered walk. The main point behind the invariance principle is that the quenched mean of the walk behaves subdiffusively.

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