Finite-particle approximations for interacting Brownian particles with logarithmic potentials

DOI10.2969/JMSJ/75717571MaRDI QIDQ4961302zbMATH OpenOpenAlexWikidataFDO

Authors Yosuke Kawamoto, Hirofumi Osada

Publication date 26 October 2018

Published in Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.06922

zbMATH Keywords

Airy point processesfinite-particle approximationsinfinite-dimensional stochastic differential equationsinteracting Brownian motionslogarithmic potentialrandom matrix theorythe Ginibre point process

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We prove the convergence of $N$-particle systems of Brownian particles with logarithmic interaction potentials onto a system described by the infinite-dimensional stochastic differential equation (ISDE). % For this proof we present two general theorems on the finite-particle approximations of interacting Brownian motions. % In the first general theorem, we present a sufficient condition for a kind of tightness of solutions of stochastic differential equations (SDE) describing finite-particle systems, and prove that the limit points solve the corresponding ISDE. This implies, if in addition the limit ISDE enjoy a uniqueness of solutions, then the full sequence converges. We treat non-reversible case in the first main theorem. % In the second general theorem, we restrict to the case of reversible particle systems and simplify the sufficient condition. We deduce the second theorem from the first. % We apply the second general theorem to Airy$$ interacting Brownian motion with $$, and the Ginibre interacting Brownian motion. The former appears in the soft-edge limit of Gaussian (orthogonal/unitary/symplectic) ensembles in one spatial dimension, and the latter in the bulk limit of Ginibre ensemble in two spatial dimensions, corresponding to a quantum statistical system for which the eigen-value spectra belong to non-Hermitian Gaussian random matrices. The passage from the finite-particle stochastic differential equation (SDE) to the limit ISDE is a sensitive problem because the logarithmic potentials are long range and unbounded at infinity. Indeed, the limit ISDEs are not easily detectable from those of finite dimensions. Our general theorems can be applied straightforwardly to the grand canonical Gibbs measures with Ruelle-class potentials such as Lennard-Jones 6-12 potentials and and Riesz potentials.

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Cited in

(17)

• Dynamical bulk scaling limit of Gaussian unitary ensembles and stochastic differential equation gaps
• Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials. II: Airy random point field
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• Dyson's model in infinite dimensions is irreducible
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• Dynamical universality for random matrices
• The logarithmic derivative for point processes with equivalent Palm measures
• Stochastic geometry and dynamics of infinitely many particle systems -- random matrices and interacting Brownian motions in infinite dimensions
• Conformal welding problem, flow line problem, and multiple Schramm-Loewner evolution
• Asymptotic expansion of the log-partition function for a gas of interacting Brownian loops. II.
• Ergodicity of unlabeled dynamics of Dyson’s model in infinite dimensions
• Stochastic analysis of infinite particle systems—A new development in classical stochastic analysis and dynamical universality of random matrices
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• Infinite-dimensional stochastic differential equations related to random matrices
• A convergence framework for \(\mathrm{Airy}_\beta\) line ensemble via pole evolution
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