Riemann-Hilbert approach to multi-time processes: the Airy and the Pearcey cases

DOI10.1016/J.PHYSD.2012.01.003MaRDI QIDQ1935161zbMATH OpenOpenAlexFDO

Authors M. Bertola, M. Cafasso

Publication date 30 January 2013

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.4940

zbMATH Keywords

Riemann-Hilbert problemsintegrable kernelsrandom point processes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (probabilistic aspects) (60B20)

Abstract: We prove that matrix Fredholm determinants related to multi-time processes can be expressed in terms of determinants of integrable kernels `a la Its-Izergin-Korepin-Slavnov (IIKS) and hence related to suitable Riemann-Hilbert problems, thus extending the known results for the single-time case. We focus on the Airy and Pearcey processes. As an example of applications we re-deduce a third order PDE, found by Adler and van Moerbeke, for the two-time Airy process.

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Cited in

(23)

• Spatio-temporal sine-Wiener bounded noise and its effect on Ginzburg-Landau model
• Correction to: ``The dependence on the monodromy data of the isomonodromic tau function
• The transition between the gap probabilities from the Pearcey to the Airy process -- a Riemann-Hilbert approach
• Nonlinear dynamic analysis of symmetric and antisymmetric cross-ply laminated orthotropic thin shells
• The generating function for the Bessel point process and a system of coupled Painlevé V equations
• The gap probabilities of the tacnode, Pearcey and Airy point processes, their mutual relationship and evaluation
• The Pearcey process
• The Riemann-Hilbert approach to the generating function of the higher order Airy point processes
• Postbuckling nonlinear analysis of FGM truncated conical shells reinforced by orthogonal stiffeners resting on elastic foundations
• The largest real eigenvalue in the real Ginibre ensemble and its relation to the Zakharov-Shabat system
• Buckling analysis of functionally graded material (FGM) sandwich truncated conical shells reinforced by FGM stiffeners filled inside by elastic foundations
• A PDE for the multi-time joint probability of the Airy process
• Differential equations for the KPZ and periodic KPZ fixed points
• Gap probabilities for the generalized Bessel process: a Riemann-Hilbert approach
• Responses of Duffing oscillator with fractional damping and random phase
• Non-linear PDEs for gap probabilities in random matrices and KP theory
• A Riemann-Hilbert approach to Fredholm determinants of Hankel composition operators: scalar-valued kernels
• The multiplicative constant for the Meijer-\(G\) kernel determinant
• Cauchy-Laguerre two-matrix model and the Meijer-\(G\) random point field
• Limiting one-point distribution of periodic TASEP
• Riemann-Hilbert approach to gap probabilities for the Bessel process
• A Riemann Hilbert approach to the study of the generating function associated to the Pearcey process
• KPZ limit theorems

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