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Table Of Integrals Series And Products

Preface to the revised edition Remarks on notation 1. Basic examples 2. Characterization and existence 3. Stable processes and their extensions 4. The Levy-Ito decomposition of sample functions 5. Distributional properties of Levy processes 6. Subordination and density transformation 7. Recurrence and transience 8. Potential theory for Levy processes 9. Wiener-Hopf factorizations 10. More distributional properties Supplement Solutions to exercises References and author index Subject index.

Lévy processes and infinitely divisible distributions

We study a certain random groeth model in two dimensions closely related to the one-dimensional totally asymmetric exclusion process. The results show that the shape fluctuations, appropriately scaled, converges in distribution to the Tracy-Widom largest eigenvalue distribution for the Gaussian Unitary Ensemble.

Shape Fluctuations and Random Matrices

Brownian motion is a continuum scaling limit for a wide class of random processes, and there has been great success in developing a theory for its properties (such as distribution functions or regularity) and expanding the breadth of its universality class. Over the past 25 years a new universality class has emerged to describe a host of important physical and probabilistic models (including one-dimensional interface growth processes, interacting particle systems and polymers in random environments) which display characteristic, though unusual, scalings and new statistics. This class is called the Kardar–Parisi–Zhang (KPZ) universality class and underlying it is, again, a continuum object — a non-linear stochastic partial differential equation — known as the KPZ equation. The purpose of this survey is to explain the context for, as well as the content of a number of mathematical breakthroughs which have culminated in the derivation of the exact formula for the distribution function of the KPZ equation started with narrow wedge initial data. In particular we emphasize three topics: (1) The approximation of the KPZ equation through the weakly asymmetric simple exclusion process; (2) The derivation of the exact one-point distribution of the solution to the KPZ equation with narrow wedge initial data; (3) Connections with directed polymers in random media. As the purpose of this article is to survey and review, we make precise statements but provide only heuristic arguments with indications of the technical complexities necessary to make such arguments mathematically rigorous.

The kardar-parisi-zhang equation and universality class

Brownian motion is a continuum scaling limit for a wide class of random processes, and there has been great success in developing a theory for its properties (such as distribution functions or regularity) and expanding the breadth of its universality class. Over the past twenty five years a new universality class has emerged to describe a host of important physical and probabilistic models (including one dimensional interface growth processes, interacting particle systems and polymers in random environments) which display characteristic, though unusual, scalings and new statistics. This class is called the Kardar-Parisi-Zhang (KPZ) universality class and underlying it is, again, a continuum object -- a non-linear stochastic partial differential equation -- known as the KPZ equation. The purpose of this survey is to explain the context for, as well as the content of a number of mathematical breakthroughs which have culminated in the derivation of the exact formula for the distribution function of the KPZ equation started with {\it narrow wedge} initial data. In particular we emphasize three topics: (1) The approximation of the KPZ equation through the weakly asymmetric simple exclusion process; (2) The derivation of the exact one-point distribution of the solution to the KPZ equation with narrow wedge initial data; (3) Connections with directed polymers in random media. As the purpose of this article is to survey and review, we make precise statements but provide only heuristic arguments with indications of the technical complexities necessary to make such arguments mathematically rigorous.

The Kardar-Parisi-Zhang equation and universality class

We establish a fundamental connection between the geometric Robinson–Schensted–Knuth (RSK) correspondence and GL(N,R)-Whittaker functions, analogous to the well-known relationship between the RSK correspondence and Schur functions. This gives rise to a natural family of measures associated with GL(N,R)-Whittaker functions which are the analogues in this setting of the Schur measures on integer partitions. The corresponding analogue of the Cauchy–Littlewood identity can be seen as a generalization of an integral identity for GL(N,R)-Whittaker functions due to Bump and Stade. As an application, we obtain an explicit integral formula for the Laplace transform of the law of the partition function associated with a 1-dimensional directed polymer model with log-gamma weights recently introduced by one of the authors.

Tropical combinatorics and Whittaker functions

We show that the geometric lifting of the RSK correspondence introduced by A.N. Kirillov (Physics and Combinatorics. Proc. Nagoya 2000 2nd Internat Workshop, pp. 82–150, 2001) is volume preserving with respect to a natural product measure on its domain, and that the integrand in Givental’s integral formula for \(\mathit{GL}(n,{\mathbb{R}})\)-Whittaker functions arises naturally in this context. Apart from providing further evidence that Whittaker functions are the natural analogue of Schur polynomials in this setting, our results also provide a new ‘combinatorial’ framework for the study of random polymers. When the input matrix consists of random inverse gamma distributed weights, the probability distribution of a polymer partition function constructed from these weights can be written down explicitly in terms of Whittaker functions. Next we restrict the geometric RSK mapping to symmetric matrices and show that the volume preserving property continues to hold. We determine the probability law of the polymer partition function with inverse gamma weights that are constrained to be symmetric about the main diagonal, with an additional factor on the main diagonal. The third combinatorial mapping studied is a variant of the geometric RSK mapping for triangular arrays, which is again showed to be volume preserving. This leads to a formula for the probability distribution of a polymer model whose paths are constrained to stay below the diagonal. We also show that the analogues of the Cauchy-Littlewood identity in the setting of this paper are equivalent to a collection of Whittaker integral identities conjectured by Bump (Number Theory, Trace Formulas, and Discrete Groups, pp. 49–109, 1989) and Bump and Friedberg (Festschrift in Honor of Piatetski-Shapiro, Part II, pp. 47–65, 1990) and proved by Stade (Am. J. Math. 123:121–161, 2001; Israel J. Math. 127:201–219, 2002). Our approach leads to new ‘combinatorial’ proofs and generalizations of these identities, with some restrictions on the parameters.

/pdf/geometric-rsk-correspondence-whittaker-functions-and-4pez8uc4bn.pdf

Geometric RSK correspondence, Whittaker functions and symmetrized random polymers

Inspired by recent work of Alberts, Khanin and Quastel, we formulate general conditions ensuring that a sequence of multi-linear polynomials of independent random variables (called polynomial chaos expansions) converges to a limiting random variable, given by a Wiener chaos expansion over the d-dimensional white noise. A key ingredient in our approach is a Lindeberg principle for polynomial chaos expansions, which extends earlier work of Mossel, O'Donnell and Oleszkiewicz. These results provide a unified framework to study the continuum and weak disorder scaling limits of statistical mechanics systems that are disorder relevant, including the disordered pinning model, the (long-range) directed polymer model in dimension 1+1, and the two-dimensional random field Ising model. This gives a new perspective in the study of disorder relevance, and leads to interesting new continuum models that warrant further studies.

/pdf/polynomial-chaos-and-scaling-limits-of-disordered-systems-110wc4j67m.pdf

Polynomial chaos and scaling limits of disordered systems

We consider a polymer with configuration modeled by the path of a Markov
chain, interacting with a potential u+Vn which the chain encounters when it visits a special
state 0 at time n. The disorder (Vn) is a fixed realization of an i.i.d. sequence. The polymer
is pinned, i.e. the chain spends a positive fraction of its time at state 0, when u exceeds
a critical value. We assume that for the Markov chain in the absence of the potential, the
probability of an excursion from 0 of length n has the form n-cφ(n) with c ≥ 1 and φ slowly
varying. Comparing to the corresponding annealed system, in which the Vn are effectively
replaced by a constant, it was shown in [1], [4], [11] that the quenched and annealed critical
points differ at all temperatures for 3/2 2, but only at low temperatures
for c < 3/2. For high temperatures and 3/2 < c < 2 we establish the exact order of the gap
between critical points, as a function of temperature. For the borderline case c = 3/2 we
show that the gap is positive provided φ(n) -> 0 as n -> ∞, and for c > 3/2 with arbitrary
temperature we provide an alternate proof of the result in [4] that the gap is positive, and
extend it to c = 2.

Quenched and Annealed Critical Points in Polymer Pinning Models

We consider disordered systems of directed polymer type, for which disorder is so-called marginally relevant. These include the usual (short-range) directed polymer model in dimension (2+1), the long-range directed polymer model with Cauchy tails in dimension (1+1) and the disordered pinning model with tail exponent 1/2. We show that in a suitable weak disorder and continuum limit, the partition functions of these different models converge to a universal limit: a log-normal random field with a multi-scale correlation structure, which undergoes a phase transition as the disorder strength varies. As a by-product, we show that the solution of the two-dimensional Stochastic Heat Equation, suitably regularized, converges to the same limit. The proof, which uses the celebrated Fourth Moment Theorem, reveals an interesting chaos structure shared by all models in the above class.

/pdf/universality-in-marginally-relevant-disordered-systems-75e5iqf11n.pdf

Nikos Zygouras

Papers

Tropical combinatorics and Whittaker functions

Geometric RSK correspondence, Whittaker functions and symmetrized random polymers

Polynomial chaos and scaling limits of disordered systems

Quenched and Annealed Critical Points in Polymer Pinning Models

Universality in marginally relevant disordered systems