Intertwinings of beta-Dyson Brownian motions of different dimensions

DOI10.1214/17-AIHP835MaRDI QIDQ1650136zbMATH OpenFDO

Authors Kavita Ramanan, Mykhaylo Shkolnikov

Publication date 29 June 2018

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.01597, https://projecteuclid.org/euclid.aihp/1524643243

zbMATH Keywords

Dixon-Anderson conditional probability densityDyson Brownian motionsDyson Ornstein-Uhlenbeck processesGaussian random matrix ensemblesintertwiningsJack symmetric polynomials

Mathematics Subject Classification ID

Basic orthogonal polynomials and functions associated with root systems (Macdonald polynomials, etc.) (33D52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting particle systems in time-dependent statistical mechanics (82C22)

Abstract: We show that for all positive beta the semigroups of beta-Dyson Brownian motions of different dimensions are intertwined. The proof relates beta-Dyson Brownian motions directly to Jack symmetric polynomials and omits an approximation of the former by discrete space Markov chains, thereby disposing of the technical assumption beta>1 in [GS]. The corresponding results for beta-Dyson Ornstein-Uhlenbeck processes are also presented.

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Cited in

(11)

• Some martingales associated with multivariate Bessel processes
• Isomorphisms of -Dyson's Brownian motion with Brownian local time
• Hua-Pickrell diffusions and Feller processes on the boundary of the graph of spectra
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• Semi-implicit Milstein approximation scheme for non-colliding particle systems
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• Dyson's Brownian motions, intertwining and interlacing
• Consecutive minors for Dyson's Brownian motions
• The intertwining property for Laguerre processes with a fixed parameter
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