Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary

DOI10.1007/S10955-019-02388-ZMaRDI QIDQ2283145zbMATH OpenOpenAlexWikidataFDO

Authors Tristan Gautié, Pierre Le Doussal, Satya N. Majumdar, Grégory Schehr

Publication date 30 December 2019

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.08378

zbMATH Keywords

survivalboundarypersistenceBrownian bridgeDyson Brownian motionBrownian Motion

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Brownian motion (60J65)

Abstract: We compute analytically the probability $S(t)$ that a set of $N$ Brownian paths do not cross each other and stay below a moving boundary $g(au)=Wsqrtau$ up to time $t$. We show that for large $t$ it decays as a power law $$. The decay exponent $$ is obtained as the ground state energy of a quantum system of $N$ non-interacting fermions in a harmonic well in the presence of an infinite hard wall at position $W$. Explicit expressions for $$ are obtained in various limits of $N$ and $W$, in particular for large $N$ and large $W$. We obtain the joint distribution of the positions of the walkers in the presence of the moving barrier $g(au)=Wsqrtau$ at large time. We extend our results to the case of $N$ Dyson Brownian motions (corresponding to the Gaussian Unitary Ensemble) in the presence of the same moving boundary $g(au)=Wsqrtau$. For $W=0$ we show that the system provides a realization of a Laguerre biorthogonal ensemble in random matrix theory. We obtain explicitly the average density near the barrier, as well as in the bulk far away from the barrier. Finally we apply our results to $N$ non-crossing Brownian bridges on the interval $[0,T]$ under a time-dependent barrier $g_B(au)=Wsqrtau(1-fracauT)$.

Recommendations

• Stochastic boundary crossing probabilities for the Brownian motion
• A boundary-crossing result for Brownian motion
• Some results about boundary crossing for Brownian motion
• Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes
• Boundary crossing result for the brownian motion
• Boundary crossing probability for Brownian motion and general boundaries
• On sojourn of Brownian motion inside moving boundaries
• Boundary crossing identities for Brownian motion and some nonlinear ODE's

Cites work

• scientific article; zbMATH DE number 3115913 (Why is no real title available?)
• scientific article; zbMATH DE number 51346 (Why is no real title available?)
• scientific article; zbMATH DE number 6026126 (Why is no real title available?)
• scientific article; zbMATH DE number 3381619 (Why is no real title available?)
• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• A guide to first-passage processes
• Airy distribution function: from the area under a Brownian excursion to the maximal height of fluctuating interfaces
• Aspects of Brownian motion
• Bessel process, Schramm-Loewner evolution, and the Dyson model
• Biorthogonal ensembles
• Biorthogonal ensembles with two-particle interactions
• Brownian first exit from and sojourn over one sided moving boundary and application
• Bures volume of the set of mixed quantum states
• Chern-Simons matrix models and Stieltjes-Wigert polynomials
• Coincidence probabilities
• Constrained Brownian motion: fluctuations away from circular and parabolic barriers
• Distribution of Brownian coincidences
• Effective Langevin equations for constrained stochastic processes
• Exact distribution of the maximal height of \(p\) vicious walkers
• Extreme statistics of non-intersecting Brownian paths
• Extremes of \(N\) vicious walkers for large \(N\): application to the directed polymer and KPZ interfaces
• Geometrical optics of constrained Brownian excursion: from the KPZ scaling to dynamical phase transitions
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Littelmann paths and Brownian paths
• Log-gases and random matrices.
• Maximum of Dyson Brownian motion and non-colliding systems with a boundary
• Non-interacting fermions in hard-edge potentials
• Non-intersecting Brownian bridges and the Laguerre orthogonal ensemble
• Non-intersecting Brownian walkers and Yang-Mills theory on the sphere
• Nonintersecting Brownian motions on the half-line and discrete Gaussian orthogonal polynomials
• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY
• On a class of singular integral equations
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Periodic Airy process and equilibrium dynamics of edge fermions in a trap
• Persistence probabilities and exponents
• Purity distribution for generalized random Bures mixed states
• Reunion probability of \(N\) vicious walkers: typical and large fluctuations for large \(N\)
• Scale invariances and Lamperti transformations for stochastic processes
• Semi-stable Markov processes. I
• Statistical properties of random density matrices
• Stochastic Problems in Physics and Astronomy
• Survival of a diffusing particle in an expanding cage
• Survival probability of a Gaussian non-Markovian process: application to the \(T=0\) dynamics of the Ising model
• The Fokker-Planck equation. Methods of solutions and applications.
• The local universality of Muttalib-Borodin biorthogonal ensembles with parameter \(\theta = \frac{1}{2}\)
• The survival probability of a diffusing particle constrained by two moving, absorbing boundaries
• Two Bessel bridges conditioned never to collide, double Dirichlet series, and Jacobi theta function
• Vicious walkers in a potential
• Vicious walkers, friendly walkers and Young tableaux. II: With a wall
• Walks, walls, wetting, and melting

Cited in

(16)

• Asymptotics of Muttalib-Borodin determinants with Fisher-Hartwig singularities
• Interplay between transport and quantum coherences in free fermionic systems
• Extreme value statistics of correlated random variables: a pedagogical review
• Non-intersecting Brownian bridges in the flat-to-flat geometry
• Boundary non-crossings of Brownian pillow
• Distribution of Brownian coincidences
• A vector Riemann-Hilbert approach to the Muttalib-Borodin ensembles
• Analytical survival analysis of the Ornstein-Uhlenbeck process
• Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential
• The local universality of Muttalib-Borodin ensembles when the parameter \(\theta\) is the reciprocal of an integer
• Universality for random matrices with equi-spaced external source: a case study of a biorthogonal ensemble
• A stationary model of non-intersecting directed polymers
• Maximum of Dyson Brownian motion and non-colliding systems with a boundary
• Non-intersecting Brownian walkers and Yang-Mills theory on the sphere
• Constrained non-crossing Brownian motions, fermions and the Ferrari-Spohn distribution
• Dyson Brownian motion for general \(\beta\) and potential at the edge

Describes a project that uses

Uses Software

• DLMF

This page was built for publication: Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2283145)