Determinantal martingales and noncolliding diffusion processes
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Publication:404593
DOI10.1016/J.SPA.2014.06.002zbMATH Open1296.60213arXiv1305.4412OpenAlexW1990799308MaRDI QIDQ404593FDOQ404593
Publication date: 4 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in the sense that any spatio-temporal correlation function can be expressed by a determinant. The purpose of the present paper is to clarify the connection between these two aspects. We introduce a notion of determinantal martingale and prove that, if the system has determinantal-martingale representation, then it is determinantal. In order to demonstrate the direct connection between the two aspects, we study three processes.
Full work available at URL: https://arxiv.org/abs/1305.4412
random matrix theorymartingalesdeterminantal processesharmonic Doob transformsnoncolliding diffusion processes
Random matrices (algebraic aspects) (15B52) Diffusion processes (60J60) Brownian motion (60J65) Interacting particle systems in time-dependent statistical mechanics (82C22) Martingales and classical analysis (60G46)
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