Infinite systems of noncolliding generalized meanders and Riemann-Liouville differintegrals

DOI10.1007/S00440-006-0015-4MaRDI QIDQ2369865zbMATH OpenOpenAlexFDO

Authors Makoto Katori, H. Tanemura

Publication date 21 June 2007

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0506187

zbMATH Keywords

Bessel processesFredholm Pfaffian and determinantNoncolliding generalized meandersRandom matrix theoryRiemann-Liouville differintegrals

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Fractional derivatives and integrals (26A33) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60)

Abstract: Yor's generalized meander is a temporally inhomogeneous modification of the $2(u+1)$-dimensional Bessel process with $u>-1$, in which the inhomogeneity is indexed by $kappain[0,2(u+1))$. We introduce the non-colliding particle systems of the generalized meanders and prove that they are the Pfaffian processes, in the sense that any multitime correlation function is given by a Pfaffian. In the infinite particle limit, we show that the elements of matrix kernels of the obtained infinite Pfaffian processes are generally expressed by the Riemann-Liouville differintegrals of functions comprising the Bessel functions $J_u$ used in the fractional calculus, where orders of differintegration are determined by $u-kappa$. As special cases of the two parameters $(u,kappa)$, the present infinite systems include the quaternion determinantal processes studied by Forrester, Nagao and Honner and by Nagao, which exhibit the temporal transitions between the universality classes of random matrix theory.

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Cited in

(12)

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