On the largest-eigenvalue process for generalized Wishart random matrices

MaRDI QIDQ2865791zbMATH OpenFDO

Authors A. B. Dieker, J. Warren

Publication date 3 December 2013

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.1504, http://alea.impa.br/articles/v6/06-16.pdf

zbMATH Keywords

change of measureinterlacingJackson series networklast-passage percolationrandom matricesWishart ensemble

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: Using a change-of-measure argument, we prove an equality in law between the process of largest eigenvalues in a generalized Wishart random-matrix process and a last-passage percolation process. This equality in law was conjectured by Borodin and Peche.

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Cited in

(17)

• Paths in Weyl chambers and random matrices
• On stochastic majorization of the eigenvalues of a Wishart matrix
• Flats, spikes and crevices: the evolving shape of the inhomogeneous corner growth model
• Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions
• Tropical combinatorics and Whittaker functions
• The Laguerre process and generalized Hartman-Watson law
• General -Jacobi corners process and the Gaussian free field
• Large deviations of the maximum eigenvalue in Wishart random matrices
• Correlation kernels for sums and products of random matrices
• Interlacing diffusions
• Limit processes for TASEP with shocks and rarefaction fans
• Ordered exponential random walks
• Biorthogonal measures, polymer partition functions, and random matrices
• Large deviations for the log-Gamma polymer
• The intertwining property for Laguerre processes with a fixed parameter
• Matrix models for multilevel Heckman-Opdam and multivariate Bessel measures
• Geometric RSK correspondence, Whittaker functions and symmetrized random polymers

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