Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions

DOI10.1214/18-AIHP923MaRDI QIDQ2337830zbMATH OpenOpenAlexFDO

Authors Pierre Yves Gaudreau Lamarre, Mykhaylo Shkolnikov

Publication date 20 November 2019

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/1706.08451, https://projecteuclid.org/euclid.aihp/1569398874

zbMATH Keywords

beta ensemblesFeynman-Kac formulaslocal timeslow rank perturbationsmoments methodoperator limitspath transformationsrandom tridiagonal matricesreflected Brownian motionsSkorokhod mapstochastic Airy semigroupsstrong invariance principles

Mathematics Subject Classification ID

Schrödinger and Feynman-Kac semigroups (47D08) Random matrices (probabilistic aspects) (60B20) Random operators and equations (aspects of stochastic analysis) (60H25) Local time and additive functionals (60J55)

Abstract: We access the edge of Gaussian beta ensembles with one spike by analyzing high powers of the associated tridiagonal matrix models. In the classical cases beta=1, 2, 4, this corresponds to studying the fluctuations of the largest eigenvalues of additive rank one perturbations of the GOE/GUE/GSE random matrices. In the infinite-dimensional limit, we arrive at a one-parameter family of random Feynman-Kac type semigroups, which features the stochastic Airy semigroup of Gorin and Shkolnikov [13] as an extreme case. Our analysis also provides Feynman-Kac formulas for the spiked stochastic Airy operators, introduced by Bloemendal and Virag [6]. The Feynman-Kac formulas involve functionals of a reflected Brownian motion and its local times, thus, allowing to study the limiting operators by tools of stochastic analysis. We derive a first result in this direction by obtaining a new distributional identity for a reflected Brownian bridge conditioned on its local time at zero.

Recommendations

• Stochastic Airy semigroup through tridiagonal matrices
• Limits of spiked random matrices. I
• Spiking the random matrix hard edge
• Limits of spiked random matrices. II
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Cited in

(9)

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