PDEs for the joint distributions of the Dyson, Airy and Sine processes (Q2569221)
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| Language | Label | Description | Also known as |
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| English | PDEs for the joint distributions of the Dyson, Airy and Sine processes |
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PDEs for the joint distributions of the Dyson, Airy and Sine processes (English)
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18 October 2005
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The authors answer the question posed by K. Johansson, to find a PDE for the joint distribution of the Airy process at two different times. They find a PDE satisfied by the joint distribution of the Sine process. The paper also contains a rigorous proof that the extended Hermite kernel, governing the joint probabilities for the Dyson process, converges to the extended Airy and Sine kernels after the appropriate rescaling.
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Dyson's Brownian motion
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Airy process
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extended kernels
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random Hermitian ensembles
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coupled random matrices
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