Extreme value distributions of noncolliding diffusion processes

MaRDI QIDQ3100052zbMATH OpenFDO

Authors Minami Izumi, Makoto Katori

Publication date 22 November 2011

Full work available at URL https://arxiv.org/abs/1006.5779

zbMATH Keywords

Brownian bridgeextreme value distributionnoncolliding Brownian meandernoncolliding Brownian motionnoncolliding diffusion processenoncolliding three-dimensional Bessel bridgerandom matrixspecial function

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Diffusion processes (60J60) Statistics of extreme values; tail inference (62G32) Interacting particle systems in time-dependent statistical mechanics (82C22)

Abstract: Noncolliding diffusion processes reported in the present paper are $N$-particle systems of diffusion processes in one-dimension, which are conditioned so that all particles start from the origin and never collide with each other in a finite time interval $(0,T)$, $0<T<infty$. We consider four temporally inhomogeneous processes with duration $T$, the noncolliding Brownian bridge, the noncolliding Brownian motion, the noncolliding three-dimensional Bessel bridge, and the noncolliding Brownian meander. Their particle distributions at each time $tin[0,T]$ are related to the eigenvalue distributions of random matrices in Gaussian ensembles and in some two-matrix models. Extreme values of paths in $[0,T]$ are studied for these noncolliding diffusion processes and determinantal and pfaffian representations are given for the distribution functions. The entries of the determinants and pfaffians are expressed using special functions.

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Cited in

(8)

• Maximum of Dyson Brownian motion and non-colliding systems with a boundary
• Extreme statistics of non-intersecting Brownian paths
• No-tie conditions for large values of extremal processes
• Infinite systems of noncolliding generalized meanders and Riemann-Liouville differintegrals
• Maximal distance travelled by \(N\) vicious walkers till their survival
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• Extreme hitting probabilities for diffusion*
• Exact solution of interacting particle systems related to random matrices

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