PDEs for the joint distributions of the Dyson, Airy and Sine processes (Q2569221): Difference between revisions

The authors answer the question posed by K. Johansson, to find a PDE for the joint distribution of the Airy process at two different times. They find a PDE satisfied by the joint distribution of the Sine process. The paper also contains a rigorous proof that the extended Hermite kernel, governing the joint probabilities for the Dyson process, converges to the extended Airy and Sine kernels after the appropriate rescaling.