PDEs for the joint distributions of the Dyson, Airy and Sine processes

DOI10.1214/009117905000000107MaRDI QIDQ2569221zbMATH OpenOpenAlexFDO

Authors Mark Adler, Pierre van Moerbeke

Publication date 18 October 2005

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0403504

zbMATH Keywords

Airy processcoupled random matricesDyson's Brownian motionextended kernelsrandom Hermitian ensembles

Mathematics Subject Classification ID

KdV equations (Korteweg-de Vries equations) (35Q53) Stationary stochastic processes (60G10) Random fields (60G60)

Abstract: In a celebrated paper, Dyson shows that the spectrum of an n imes n random Hermitian matrix, diffusing according to an Ornstein-Uhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge and bulk scalings for Hermitian random matrices, applied to the Dyson process, lead to the Airy and Sine processes. In particular, the Airy process is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian motion, when the number of particles gets large, with space and time appropriately rescaled. In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy process at two different times. Similarly we find a PDE satisfied by the joint distribution of the Sine process. This hinges on finding a PDE for the joint distribution of the Dyson process, which itself is based on the joint probability of the eigenvalues for coupled Gaussian Hermitian matrices. The PDE for the Dyson process is then subjected to an asymptotic analysis, consistent with the edge and bulk rescalings. The PDEs enable one to compute the asymptotic behavior of the joint distribution and the correlation for these processes at different times t_1 and t_2, when t_2-t_1 o infty, as illustrated in this paper for the Airy process. This paper also contains a rigorous proof that the extended Hermite kernel, governing the joint probabilities for the Dyson process, converges to the extended Airy and Sine kernels after the appropriate rescalings.

Review text

The authors answer the question posed by K. Johansson, to find a PDE for the joint distribution of the Airy process at two different times. They find a PDE satisfied by the joint distribution of the Sine process. The paper also contains a rigorous proof that the extended Hermite kernel, governing the joint probabilities for the Dyson process, converges to the extended Airy and Sine kernels after the appropriate rescaling.

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Cited in

(52)

• The \(\text{Airy}_{1}\) process is not the limit of the largest eigenvalue in GOE matrix diffusion
• A PDE for the multi-time joint probability of the Airy process
• Zeros of Airy function and relaxation process
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