Random matrix central limit theorems for nonintersecting random walks (Q2456030)

Some stochastic models interpreted in terms of nonintersecting walks are recalled, their limit laws coincide with those known in random matrix theory. Then the walk \(S(t)=(S_0(t),\dots, S_k(t))\), \(0\leq t\leq 2\), of \(k+1\) particles in \(\mathbb{R}^{k+1}\), \(k\in \mathbb{Z}_+\), is studied; the time intervals between the steps equal \(2/N_k\), \(N_k \in \mathbb{N}\). It is conditioned on the events, in the trajectory space, of \(\{S_0(t) < \ldots < S_k(t)\), \(0\leq t\leq 2\}\) and the return of \(S(2)\) to the \(h_k\)-neighborhood of \(S(0)\). Assuming specific \(N_k\) growth and \(h_k\) decrease, as \(k\to \infty\), two main theorems show that the particles locations at \(t=1\) in two aspects behave statistically, after scaling, like the eigenvalues of a large Hermitian matrix from the Gaussian unitary ensemble. The proofs employ the Komlos-Major-Tusnady method to approximate \(S(t)\), with finite moment generating function for increments, by a nonintersecting Brownian bridge having the same start and end points. Next the arising limiting distributions for approximations are computed and identified.