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

DOI10.1007/S10955-019-02388-ZzbMATH Open1439.60076arXiv1905.08378OpenAlexW2946304582WikidataQ127229466 ScholiaQ127229466MaRDI QIDQ2283145FDOQ2283145

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)

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 $g_B(au)=Wsqrtau(1-fracauT)$.

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

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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)

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Cited In (16)

• Asymptotics of Muttalib-Borodin determinants with Fisher-Hartwig singularities
• Dyson Brownian motion for general \(\beta\) and potential at the edge
• Maximum of Dyson Brownian motion and non-colliding systems with a boundary
• Boundary non-crossings of Brownian pillow
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• Distribution of Brownian coincidences
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• Interplay between transport and quantum coherences in free fermionic systems
• The local universality of Muttalib-Borodin ensembles when the parameter \(\theta\) is the reciprocal of an integer

Uses Software

• Digital Library of Mathematical Functions

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