The transition between the gap probabilities from the Pearcey to the Airy process -- a Riemann-Hilbert approach (Q2882369)

The authors connect the Fredholm determinants of specified kernels with the tau function associated to Riemann-Hilbert problems, see [the first author, Commun. Math. Phys. 294, No. 2, 539--579 (2010; Zbl 1218.37099)]. As an application, the straightforward proof of the Tracy-Widom result for the Airy kernel is obtained. The second main goal of the paper is to demonstrate in a precise form how the Pearcey process ``becomes'' an Airy process (under certain conditions). Namely, the Fredholm determinant of the Pearcey kernel is asymptotically factorized into the product of the Fredholm determinants of the Airy process. The authors provide the first mathematically rigorous proof of this factorization. A special case was previously studied by \textit{M. Adler}, the second author and \textit{P. van Moerbeke} [Electron. J. Probab. 16, 1048--1064 (2011; Zbl 1231.60107)] using a different method.