Eigenvalue processes of symmetric tridiagonal matrix-valued processes associated with Gaussian beta ensemble

DOI10.1016/J.SPA.2023.07.004MaRDI QIDQ6072903zbMATH OpenOpenAlexFDO

Authors Satoshi Yabuoku

Publication date 15 September 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2204.00736

zbMATH Keywords

Bessel processDyson's Brownian motioneigenvalue processesGaussian beta ensembleminor eigenvaluesnon-colliding processes

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: We consider the symmetric tridiagonal matrix-valued process associated with Gaussian beta ensemble (G$$E) by putting independent Brownian motions and Bessel processes on the diagonal entries and upper (lower)-diagonal ones, respectively. Then, we derive the stochastic differential equations that the eigenvalue processes satisfy, and we show that eigenvalues of their (indexed) principal minor sub-matrices appear in the stochastic differential equations. By the Cauchy's interlacing argument for eigenvalues, we can characterize the sufficient condition that the eigenvalue processes never collide with each other almost surely, by the dimensions of the Bessel processes.

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