Global fluctuations for 1D log-gas dynamics. Covariance kernel and support

DOI10.1214/19-EJP288zbMATH Open1412.60017arXiv1801.02973MaRDI QIDQ2631846FDOQ2631846

Authors: Jeremie Unterberger 

Publication date: 16 May 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We consider the hydrodynamic limit in the macroscopic regime of the coupled system of stochastic differential equations, $$ with $$, sometimes called generalized Dyson's Brownian motion, describing the dissipative dynamics of a log-gas of $N$ equal charges with equilibrium measure corresponding to a $$-ensemble, with sufficiently regular convex potential $V$. The limit $Noinfty$ is known to satisfy a mean-field Mc Kean-Vlasov equation. Fluctuations around this limit have been shown by the author to define a Gaussian process solving some explicit martingale problem written in terms of a generalized transport equation. We prove a series of results concerning either the Mc Kean-Vlasov equation for the density $h{o}_t$, notably regularity results and time-evolution of the support, or the associated hydrodynamic fluctuation process, whose space-time covariance kernel we compute explicitly.

Full work available at URL: https://arxiv.org/abs/1801.02973

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zbMATH Keywords

Stieltjes transformfluctuationsrandom matricesDyson's Brownian motionsupporthydrodynamic limitlog-gasbeta-ensembles

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Generalized stochastic processes (60G20)

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Cited In (3)

• Limit theorems for moment processes of beta Dyson’s Brownian motions and beta Laguerre processes
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