Stationary states for stable processes with partial resetting
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arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866910756015964160 |
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| author | Grzywny, Tomasz Szczypkowski, Karol Palmowski, Zbigniew Trojan, Bartosz |
| author_facet | Grzywny, Tomasz Szczypkowski, Karol Palmowski, Zbigniew Trojan, Bartosz |
| contents | We study a $d$-dimensional stochastic process $\mathbf{X}$ which arises from a Lévy process $\mathbf{Y}$ by partial resetting, that is the position of the process $\mathbf{X}$ at a Poisson moment equals $c$ times its position right before the moment, and it develops as $\mathbf{Y}$ between these two consecutive moments, $c \in (0, 1)$.
We focus on $\mathbf{Y}$ being a strictly $α$-stable process with $α\in (0,2]$ having a transition density: We analyze properties of the transition density $p$ of the process $\mathbf{X}$. We establish a series representation of $p$. We prove its convergence as time goes to infinity (ergodicity), and we show that the limit $ρ_{\mathbf{Y}}$ (density of the ergodic measure) can be expressed by means of the transition density of the process $\mathbf{Y}$ starting from zero, which results in closed concise formulae for its moments. We show that the process $\mathbf{X}$ reaches a non-equilibrium stationary state. Furthermore, we check that $p$ satisfies the Fokker--Planck equation, and we confirm the harmonicity of $ρ_{\mathbf{Y}}$ with respect to the adjoint generator.
In detail, we discuss the following cases: Brownian motion, isotropic and $d$-cylindrical $α$-stable processes for $α\in (0,2)$, and $α$-stable subordinator for $α\in (0,1)$. We find the asymptotic behavior of $p(t;x,y)$ as $t\to +\infty$ while $(t,y)$ stays in a certain space-time region. For Brownian motion, we discover a phase transition, that is a change of the asymptotic behavior of $p(t;0,y)$ with respect to $ρ_{\mathbf{Y}}(y)$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_15626 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stationary states for stable processes with partial resetting Grzywny, Tomasz Szczypkowski, Karol Palmowski, Zbigniew Trojan, Bartosz Probability 60G10, 60K40, 82C05, 82C31, 60J35, 35K08, 60J65, 60G51, 60G52 We study a $d$-dimensional stochastic process $\mathbf{X}$ which arises from a Lévy process $\mathbf{Y}$ by partial resetting, that is the position of the process $\mathbf{X}$ at a Poisson moment equals $c$ times its position right before the moment, and it develops as $\mathbf{Y}$ between these two consecutive moments, $c \in (0, 1)$. We focus on $\mathbf{Y}$ being a strictly $α$-stable process with $α\in (0,2]$ having a transition density: We analyze properties of the transition density $p$ of the process $\mathbf{X}$. We establish a series representation of $p$. We prove its convergence as time goes to infinity (ergodicity), and we show that the limit $ρ_{\mathbf{Y}}$ (density of the ergodic measure) can be expressed by means of the transition density of the process $\mathbf{Y}$ starting from zero, which results in closed concise formulae for its moments. We show that the process $\mathbf{X}$ reaches a non-equilibrium stationary state. Furthermore, we check that $p$ satisfies the Fokker--Planck equation, and we confirm the harmonicity of $ρ_{\mathbf{Y}}$ with respect to the adjoint generator. In detail, we discuss the following cases: Brownian motion, isotropic and $d$-cylindrical $α$-stable processes for $α\in (0,2)$, and $α$-stable subordinator for $α\in (0,1)$. We find the asymptotic behavior of $p(t;x,y)$ as $t\to +\infty$ while $(t,y)$ stays in a certain space-time region. For Brownian motion, we discover a phase transition, that is a change of the asymptotic behavior of $p(t;0,y)$ with respect to $ρ_{\mathbf{Y}}(y)$. |
| title | Stationary states for stable processes with partial resetting |
| topic | Probability 60G10, 60K40, 82C05, 82C31, 60J35, 35K08, 60J65, 60G51, 60G52 |
| url | https://arxiv.org/abs/2412.15626 |