Glassy phase and freezing of log-correlated Gaussian potentials

In this paper, we consider the Gibbs measure associated to a logarithmically correlated random potential (including two dimensional free fields) at low temperature. We prove that the energy landscape freezes and enters in the so-called glassy phase. The limiting Gibbs weights are integrated atomic random measures with random intensity expressed in terms of the critical Gaussian multiplicative chaos constructed in \cite{Rnew7,Rnew12}. This could be seen as a first rigorous step in the renormalization theory of super-critical Gaussian multiplicative chaos.

[1]  Dario Spanò,et al.  Strong seed-bank effects in bacterial evolution. , 2014, Journal of theoretical biology.

[2]  Paul A. Jenkins,et al.  TRACTABLE STOCHASTIC MODELS OF EVOLUTION FOR LOOSELY LINKED LOCI , 2014 .

[3]  Huyên Pham,et al.  A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization , 2013, Monte Carlo Methods Appl..

[4]  H. Pham,et al.  Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps , 2013, 1311.4505.

[5]  Olivier Zindy,et al.  Poisson-Dirichlet Statistics for the extremes of the two-dimensional discrete Gaussian free field , 2013, 1310.2159.

[6]  Denis Belomestny,et al.  SOLVING OPTIMAL STOPPING PROBLEMS VIA EMPIRICAL DUAL OPTIMIZATION , 2013, 1309.2125.

[7]  H. Pham,et al.  Reflected BSDEs with nonpositive jumps, and controller-and-stopper games , 2013, 1308.5511.

[8]  V. Vargas,et al.  Complex Gaussian Multiplicative Chaos , 2013, 1307.6117.

[9]  Thomas Madaule Maximum of a log-correlated Gaussian field , 2013, 1307.1365.

[10]  M. Biskup,et al.  Extreme Local Extrema of Two-Dimensional Discrete Gaussian Free Field , 2013, 1306.2602.

[11]  Vincent Vargas,et al.  Gaussian multiplicative chaos and applications: A review , 2013, 1305.6221.

[12]  Maury Bramson,et al.  Convergence in Law of the Maximum of the Two‐Dimensional Discrete Gaussian Free Field , 2013, 1301.6669.

[13]  Huyen Pham,et al.  Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE , 2012, 1212.2000.

[14]  V. Vargas,et al.  Renormalization of Critical Gaussian Multiplicative Chaos and KPZ formula , 2012 .

[15]  S. Jansen,et al.  On the notion(s) of duality for Markov processes , 2012, 1210.7193.

[16]  Scott Sheffield,et al.  Critical Gaussian multiplicative chaos: Convergence of the derivative martingale , 2012, 1206.1671.

[17]  R. Anantharaman Thin subspaces of L 1(λ) , 2012 .

[18]  Fulvia Confortola,et al.  Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes , 2012, SIAM J. Control. Optim..

[19]  V. Vargas,et al.  Limiting laws of supercritical branching random walks , 2012, 1203.5445.

[20]  Adrián González Casanova,et al.  The Ancestral Process of Long-Range Seed Bank Models , 2012, Journal of Applied Probability.

[21]  Olivier Zindy,et al.  POISSON-DIRICHLET STATISTICS FOR THE EXTREMES OF A LOG-CORRELATED GAUSSIAN FIELD , 2012, 1203.4216.

[22]  V. Vargas,et al.  Gaussian Multiplicative Chaos and KPZ Duality , 2012, Communications in Mathematical Physics.

[23]  Philipp Strack,et al.  SKOROKHOD EMBEDDINGS IN BOUNDED TIME , 2011 .

[24]  W. Stephan,et al.  Inference of seed bank parameters in two wild tomato species using ecological and genetic data , 2011, Proceedings of the National Academy of Sciences.

[25]  Thomas Madaule Convergence in Law for the Branching Random Walk Seen from Its Tip , 2011, 1107.2543.

[26]  C. Webb,et al.  Exact Asymptotics of the Freezing Transition of a Logarithmically Correlated Random Energy Model , 2011, 1105.2444.

[27]  X. Zhou,et al.  Optimal stopping under probability distortion. , 2011, 1103.1755.

[28]  Romain Allez,et al.  Lognormal $${\star}$$ -scale invariant random measures , 2011, 1102.1895.

[29]  J. Lennon,et al.  Microbial seed banks: the ecological and evolutionary implications of dormancy , 2011, Nature Reviews Microbiology.

[30]  Damir Filipović,et al.  DYNAMIC CDO TERM STRUCTURE MODELING , 2010 .

[31]  Nizar Touzi,et al.  Wellposedness of second order backward SDEs , 2010, 1003.6053.

[32]  Volker Krätschmer,et al.  Representations for Optimal Stopping under Dynamic Monetary Utility Functionals , 2010, SIAM J. Financial Math..

[33]  Damir Filipović,et al.  Affine Processes on Positive Semidefinite Matrices , 2009, 0910.0137.

[34]  I. Karatzas,et al.  Optimal Stopping for Dynamic Convex Risk Measures , 2009, 0909.4948.

[35]  M. Kupper,et al.  Representation results for law invariant time consistent functions , 2009 .

[36]  Y. Fyodorov,et al.  Statistical mechanics of logarithmic REM: duality, freezing and extreme value statistics of 1/f noises generated by Gaussian free fields , 2009, 0907.2359.

[37]  Ludger Rüschendorf,et al.  On convex risk measures on Lp-spaces , 2009, Math. Methods Oper. Res..

[38]  E. Bayraktar,et al.  Optimal Stopping for Non-linear Expectations , 2009, 0905.3601.

[39]  F. Riedel Optimal Stopping With Multiple Priors , 2009 .

[40]  Patrick Cheridito,et al.  RISK MEASURES ON ORLICZ HEARTS , 2009 .

[41]  St'ephane Cr'epey,et al.  Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison , 2008, 0811.2276.

[42]  R. Robert,et al.  Gaussian multiplicative chaos revisited , 2008, 0807.1030.

[43]  Jin Ma,et al.  Backward SDEs with constrained jumps and quasi-variational inequalities , 2008, 0805.4676.

[44]  J. Bouchaud,et al.  Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential , 2008, 0805.0407.

[45]  Jocelyne Bion-Nadal,et al.  Dynamic risk measures: Time consistency and risk measures from BMO martingales , 2008, Finance Stochastics.

[46]  Freddy Delbaen,et al.  Representation of the penalty term of dynamic concave utilities , 2008, Finance Stochastics.

[47]  M. Teboulle,et al.  AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT , 2007 .

[48]  H. Föllmer,et al.  Convex risk measures and the dynamics of their penalty functions , 2006 .

[49]  C. Tudor Analysis of the Rosenblatt process , 2006, math/0606602.

[50]  J. Pitman,et al.  Exchangeable partitions derived from Markovian coalescents , 2006, math/0603745.

[51]  S. Peng G -Expectation, G -Brownian Motion and Related Stochastic Calculus of Itô Type , 2006, math/0601035.

[52]  Christina Goldschmidt,et al.  Random Recursive Trees and the Bolthausen-Sznitman Coalesent , 2005, math/0502263.

[53]  Giacomo Scandolo,et al.  Conditional and dynamic convex risk measures , 2005, Finance Stochastics.

[54]  F. Delbaen,et al.  Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes , 2004, math/0410453.

[55]  Mark Broadie,et al.  A Primal-Dual Simulation Algorithm for Pricing Multi-Dimensional American Options , 2001 .

[56]  Patrick Cheridito,et al.  Coherent and convex monetary risk measures for unbounded càdlàg processes , 2004, Finance Stochastics.

[57]  S. Glémin,et al.  When Genes Go to Sleep: The Population Genetic Consequences of Seed Dormancy and Monocarpic Perenniality , 2004, The American Naturalist.

[58]  S. Sheffield Gaussian free fields for mathematicians , 2003, math/0312099.

[59]  L. Nunney The Effective Size of Annual Plant Populations: The Interaction of a Seed Bank with Fluctuating Population Size in Maintaining Genetic Variation , 2002, The American Naturalist.

[60]  L. Rogers Monte Carlo valuation of American options , 2002 .

[61]  M. Frittelli,et al.  Putting order in risk measures , 2002 .

[62]  Stephen M. Krone,et al.  Coalescent theory for seed bank models , 2001, Journal of Applied Probability.

[63]  D. Carpentier,et al.  Glass transition of a particle in a random potential, front selection in nonlinear renormalization group, and entropic phenomena in Liouville and sinh-Gordon models. , 2001, Physical review. E, Statistical, nonlinear, and soft matter physics.

[64]  D. Carpentier,et al.  Glass transition of a particle in a random potential, front selection in nonlinear RG and entropic phenomena in Liouville and SinhGordon models , 2000, cond-mat/0003281.

[65]  J. Pitman Coalescents with multiple collisions , 1999 .

[66]  Stephen M. Krone,et al.  The genealogy of samples in models with selection. , 1997, Genetics.

[67]  S. Peng,et al.  Backward Stochastic Differential Equations in Finance , 1997 .

[68]  D. Levin The Seed Bank as a Source of Genetic Novelty in Plants , 1990, The American Naturalist.

[69]  N. Takahata,et al.  The coalescent in two partially isolated diffusion populations. , 1988, Genetical research.

[70]  B. Derrida,et al.  Polymers on disordered trees, spin glasses, and traveling waves , 1988 .

[71]  D. Edwards,et al.  On a theorem of Dvoretsky, Wald, and Wolfowitz concerning Liapounov Measures , 1987, Glasgow Mathematical Journal.

[72]  Marc Teboulle,et al.  Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals , 1987, Math. Oper. Res..

[73]  Jonathan M. Borwein,et al.  On Fan's minimax theorem , 1986, Math. Program..

[74]  L. Pitt,et al.  LOCAL SAMPLE PATH PROPERTIES OF GAUSSIAN FIELDS , 1979 .

[75]  J. R. Baxter,et al.  Compactness of stopping times , 1977 .

[76]  J. Jacod Un théorème de représentation pour les martingales discontinues , 1976 .

[77]  W. Feller An Introduction to Probability Theory and Its Applications , 1959 .

[78]  L. C. Young,et al.  An inequality of the Hölder type, connected with Stieltjes integration , 1936 .

[79]  R. Punnett,et al.  The Genetical Theory of Natural Selection , 1930, Nature.

[80]  F. Riedel,et al.  Optimal stopping under ambiguity in continuous time , 2013 .

[81]  Mary Shaw,et al.  "The Golden Age of Software Architecture" Revisited , 2009, IEEE Software.

[82]  Romain Allez,et al.  Lognormal (cid:2) -scale invariant random measures , 2012 .

[83]  A. Etheridge Some Mathematical Models from Population Genetics , 2011 .

[84]  S. Crépey About the Pricing Equations in Finance , 2011 .

[85]  Gregory F. Lawler,et al.  Random Walk: A Modern Introduction , 2010 .

[86]  Christopher Bergevin,et al.  Brownian Motion , 2006, Gauge Integral Structures for Stochastic Calculus and Quantum Electrodynamics.

[87]  Marco Frittelli,et al.  Dynamic convex risk measures , 2004 .

[88]  H. Herbots The Structured Coalescent. , 1997 .

[89]  Hilde Maria Jozefa Dominiek Herbots,et al.  Stochastic Models in Population Genetics: Genealogy and Genetic Differentiation in Structured Populations. , 1994 .

[90]  M. Notohara,et al.  The coalescent and the genealogical process in geographically structured population , 1990, Journal of mathematical biology.

[91]  D. Talay,et al.  Expansion of the global error for numerical schemes solving stochastic differential equations , 1990 .

[92]  J. Kahane Sur le chaos multiplicatif , 1985 .

[93]  J. Jacod,et al.  Quelques remarques sur un nouveau type d'équations différentielles stochastiques , 1982 .

[94]  Jean Jacod,et al.  Semimartingales and Markov processes , 1980 .

[95]  J. Jacod Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales , 1975 .

[96]  A. P. Robertson,et al.  On a Theorem of Lyapunov , 1968 .

[97]  K Fan,et al.  Minimax Theorems. , 1953, Proceedings of the National Academy of Sciences of the United States of America.

[98]  S. Wright,et al.  Evolution in Mendelian Populations. , 1931, Genetics.

[99]  Jason Schweinsberg ELECTRONIC COMMUNICATIONS in PROBABILITY A NECESSARY AND SUFFICIENT CONDITION FOR THE Λ-COALESCENT TO COME DOWN FROM IN- FINITY. , 2022 .

[100]  G. McVean,et al.  The coalescent , 2022 .