scholarly journals The Tutte Embedding of the Poisson–Voronoi Tessellation of the Brownian Disk Converges to $$\sqrt{8/3}$$-Liouville Quantum Gravity

2019 ◽  
Vol 374 (2) ◽  
pp. 735-784 ◽  
Author(s):  
Ewain Gwynne ◽  
Jason Miller ◽  
Scott Sheffield

Abstract Recent works have shown that an instance of a Brownian surface (such as the Brownian map or Brownian disk) a.s. has a canonical conformal structure under which it is equivalent to a $$\sqrt{8/3}$$8/3-Liouville quantum gravity (LQG) surface. In particular, Brownian motion on a Brownian surface is well-defined. The construction in these works is indirect, however, and leaves open a basic question: is Brownian motion on a Brownian surface the limit of simple random walk on increasingly fine discretizations of that surface, the way Brownian motion on $$\mathbb {R}^2$$R2 is the $$\epsilon \rightarrow 0$$ϵ→0 limit of simple random walk on $$\epsilon \mathbb {Z}^2$$ϵZ2? We answer this question affirmatively by showing that Brownian motion on a Brownian surface is (up to time change) the $$\lambda \rightarrow \infty $$λ→∞ limit of simple random walk on the Voronoi tessellation induced by a Poisson point process whose intensity is $$\lambda $$λ times the associated area measure. Among other things, this implies that as $$\lambda \rightarrow \infty $$λ→∞ the Tutte embedding (a.k.a. harmonic embedding) of the discretized Brownian disk converges to the canonical conformal embedding of the continuum Brownian disk, which in turn corresponds to $$\sqrt{8/3}$$8/3-LQG. Along the way, we obtain other independently interesting facts about conformal embeddings of Brownian surfaces, including information about the Euclidean shapes of embedded metric balls and Voronoi cells. For example, we derive moment estimates that imply, in a certain precise sense, that these shapes are unlikely to be very long and thin.

2007 ◽  
Vol 44 (04) ◽  
pp. 1056-1067 ◽  
Author(s):  
Andreas Lindell ◽  
Lars Holst

Expressions for the joint distribution of the longest and second longest excursions as well as the marginal distributions of the three longest excursions in the Brownian bridge are obtained. The method, which primarily makes use of the weak convergence of the random walk to the Brownian motion, principally gives the possibility to obtain any desired joint or marginal distribution. Numerical illustrations of the results are also given.


2013 ◽  
Vol 50 (2) ◽  
pp. 557-575
Author(s):  
Michael R. Tehranchi

This note contains two main results. (i) (Discrete time) Suppose that S is a martingale whose marginal laws agree with a geometric simple random walk. (In financial terms, let S be a risk-neutral asset price and suppose that the initial option prices agree with the Cox-Ross-Rubinstein binomial tree model.) Then S is a geometric simple random walk. (ii) (Continuous time) Suppose that S=S0eσ X-σ2〈 X〉/2 is a continuous martingale whose marginal laws agree with a geometric Brownian motion. (In financial terms, let S be a risk-neutral asset price and suppose that the initial option prices agree with the Black-Scholes model with volatility σ>0.) Then there exists a Brownian motion W such that Xt=Wt+o(t1/4+ ε) as t↑∞ for any ε> 0.


2013 ◽  
Vol 50 (02) ◽  
pp. 557-575
Author(s):  
Michael R. Tehranchi

This note contains two main results. (i) (Discrete time) Suppose that S is a martingale whose marginal laws agree with a geometric simple random walk. (In financial terms, let S be a risk-neutral asset price and suppose that the initial option prices agree with the Cox-Ross-Rubinstein binomial tree model.) Then S is a geometric simple random walk. (ii) (Continuous time) Suppose that S=S 0eσ X-σ2〈 X〉/2 is a continuous martingale whose marginal laws agree with a geometric Brownian motion. (In financial terms, let S be a risk-neutral asset price and suppose that the initial option prices agree with the Black-Scholes model with volatility σ>0.) Then there exists a Brownian motion W such that X t =W t +o(t 1/4+ ε) as t↑∞ for any ε> 0.


2007 ◽  
Vol 44 (4) ◽  
pp. 1056-1067
Author(s):  
Andreas Lindell ◽  
Lars Holst

Expressions for the joint distribution of the longest and second longest excursions as well as the marginal distributions of the three longest excursions in the Brownian bridge are obtained. The method, which primarily makes use of the weak convergence of the random walk to the Brownian motion, principally gives the possibility to obtain any desired joint or marginal distribution. Numerical illustrations of the results are also given.


2013 ◽  
Vol 50 (2) ◽  
pp. 266-279
Author(s):  
Hatem Hajri

Csáki and Vincze have defined in 1961 a discrete transformation T which applies to simple random walks and is measure preserving. In this paper, we are interested in ergodic and asymptotic properties of T. We prove that T is exact: ∩k≧1σ(Tk(S)) is trivial for each simple random walk S and give a precise description of the lost information at each step k. We then show that, in a suitable scaling limit, all iterations of T “converge” to the corresponding iterations of the continuous Lévy transform of Brownian motion.


2003 ◽  
Vol DMTCS Proceedings vol. AC,... (Proceedings) ◽  
Author(s):  
Philippe Marchal

International audience We give an algorithm which constructs recursively a sequence of simple random walks on $\mathbb{Z}$ converging almost surely to a Brownian motion. One obtains by the same method conditional versions of the simple random walk converging to the excursion, the bridge, the meander or the normalized pseudobridge.


Author(s):  
Sauro Succi

Fluid flow at nanoscopic scales is characterized by the dominance of thermal fluctuations (Brownian motion) versus directed motion. Thus, at variance with Lattice Boltzmann models for macroscopic flows, where statistical fluctuations had to be eliminated as a major cause of inefficiency, at the nanoscale they have to be summoned back. This Chapter illustrates the “nemesis of the fluctuations” and describe the way they have been inserted back within the LB formalism. The result is one of the most active sectors of current Lattice Boltzmann research.


1976 ◽  
Vol 13 (02) ◽  
pp. 355-356 ◽  
Author(s):  
Aidan Sudbury

Particles are situated on a rectangular lattice and proceed to invade each other's territory. When they are equally competitive this creates larger and larger blocks of one type as time goes by. It is shown that the expected size of such blocks is equal to the expected range of a simple random walk.


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