Non-linear PDEs for gap probabilities in random matrices and KP theory (Q1935163)

The authors study the nonlinear PDEs for gap probabilities in random matrices and KP theory. Authors derive PDEs just for scalar Fredholm determinants related to gap probabilities, not for the matrix ones describing joint gap probabilities for multi time processes. They derive PDEs for multi time joint gap probabilities where it has been proven that the multi time Airy and Pierce kernels are integrable kernels in the sense of [\textit{A. R. Its} et al., Int. J. Mod. Phys. B 4, No. 5, 1003--1037 (1990; Zbl 0719.35091)]. Examples are given to illustrate Fredholm determinant giving the gap probability of some infinite dimensional diffusion, like Airy process etc.