随机游动的常返和相遇问题.PDFVIP

随机游动的常返和相遇问题 北京大学 陈大岳 2012.8.17. 随机游动 • The problem of the random walk. • Nature. 72, (1905),294. • ξ ，ξ , ….., ξ 独立同分布随机变量 1 2 n • Sn = ξ1 + ξ2 +…..+ ξn • 称随机变量序列{S , n≥0 }为随机游动, n • 群上的随机游动random walks on groups. • 平面格点上的简单随机游动.(demo) • Karl Pearson (1857-1936) 图G= (V, E)上的简单随机游动, 其实是马氏链. 以顶点集V为状态空间的马氏链, 转移概率 p(x,y) = 1/dx if x～y 0 otherwise 其中d 为顶点x 的度数, 即与x相连的边数. x 更一般的,可以在赋权图G= (V, E, W)上定义马氏链, 以顶点集V为状态空间的, 转移概率 p(x,y) = wxy/wx if x～y 0 otherwise 其中w = Ʃ w , 相应的马氏链是可配称的, 称为 x x～y xy 图上的随机游动. George Polya遇到的尴尬事 ... he and his fiancée (would) also set out for a stroll in the woods, and then suddenly I met them there. And then I met them the same morning repeatedly. I dont remember how many times, but certainly much too often and I felt embarrassed. It looked as if I was snooping around which was, I assure you, not the case. I met them by accident -but how likely was it that it happened by accident and not on purpose? 导致他引入常返的概念. • Polya 1887-1985 X = Y 等价于 X - Y = 0 n n n n X 与Y 经常相遇  Z =X - Y 经常返回到原点 n n n n n 常返成了马氏链需要研究的第一个问题. 几个等价判别准则：(1) P ( T ∞)= 1. x x (2) 返回原点无穷多次的概率为1. (3) 格林函数 G(x,x) =Σ p (x,x) = ∞ n n 主要结论：二维随机游动是常返的 而三维随机游动是非常返. A drunk man will find his way home, but a drunk bird may get lost forever --Shizuo Kakut