Bounded Bessel processes and Ferrari-Spohn diffusions

DOI10.1214/23-ECP568MaRDI QIDQ6177641zbMATH OpenOpenAlexFDO

Authors Matthew Lerner-Brecher

Publication date 17 January 2024

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2307.06493

zbMATH Keywords

Airy/Bessel kernelsBessel processdiffusion processesSturm-Liouville problems

Mathematics Subject Classification ID

Sturm-Liouville theory (34B24) Diffusion processes (60J60)

Abstract: We introduce a new diffusion process which arises as the $noinfty$ limit of a Bessel process of dimension $dge2$ conditioned upon remaining bounded below one until time $n$. In addition to being interesting in its own right, we argue that the resulting diffusion process is a natural hard edge counterpart to the Ferrari-Spohn diffusion of arXiv:math/0308242. In particular, we show that the generator of our new diffusion has the same relation to the Sturm-Liouville problem for the Bessel operator that the Ferrari-Spohn diffusion does to the corresponding problem for the Airy operator.

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Cites work

• An invariance principle to Ferrari-Spohn diffusions
• Brownian Gibbs property for Airy line ensembles
• Constrained Brownian motion: fluctuations away from circular and parabolic barriers
• Critical prewetting in the 2d Ising model
• Dyson Ferrari-Spohn diffusions and ordered walks under area tilts
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• Limit theorems and soft edge of freezing random matrix models via dual orthogonal polynomials
• Log-gases and random matrices.
• Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights
• The Airy₂ process and the 3D Ising model

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