Markov property of determinantal processes with extended Sine, Airy and Bessel kernels

MaRDI QIDQ2906175zbMATH OpenFDO

Authors Makoto Katori, H. Tanemura

Publication date 5 September 2012

Published in Markov Processes and Related Fields (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.4360

zbMATH Keywords

random matrix theoryMarkov propertydeterminantal processesinfinite particle systemscorrelation kernelsentire function and topology

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (algebraic aspects) (15B52) Markov semigroups and applications to diffusion processes (47D07) Brownian motion (60J65) Zeros of polynomials, rational functions, and other analytic functions of one complex variable (e.g., zeros of functions with bounded Dirichlet integral) (30C15) Interacting particle systems in time-dependent statistical mechanics (82C22)

Abstract: When the number of particles is finite, the noncolliding Brownian motion (the Dyson model) and the noncolliding squared Bessel process are determinantal diffusion processes for any deterministic initial configuration $xi=su{m}_{jinLambda}delt{a}_{x_j}$, in the sense that any multitime correlation function is given by a determinant associated with the correlation kernel, which is specified by an entire function $Phi$ having zeros in $suppxi$. Using such entire functions $Phi$, we define new topologies called the $Phi$-moderate topologies. Then we construct three infinite-dimensional determinantal processes, as the limits of sequences of determinantal diffusion processes with finite numbers of particles in the sense of finite dimensional distributions in the $Phi$-moderate topologies, so that the probability distributions are continuous with respect to initial configurations $xi$ with $xi(R)=infty$. We show that our three infinite particle systems are versions of the determinantal processes with the extended sine, Bessel, and Airy kernels, respectively, which are reversible with respect to the determinantal point processes obtained in the bulk scaling limit and the soft-edge scaling limit of the eigenvalue distributions of the Gaussian unitary ensemble, and the hard-edge scaling limit of that of the chiral Gaussian unitary ensemble studied in the random matrix theory. Then Markovianity is proved for the three infinite-dimensional determinantal processes.

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Cited in

(24)

• The Dyson Brownian minor process
• Determinantal transition kernels for some interacting particles on the line
• Loop-free Markov chains as determinantal point processes
• Determinantal martingales and noncolliding diffusion processes
• Non-Markov property of certain eigenvalue processes analogous to Dyson's model
• Dynamical bulk scaling limit of Gaussian unitary ensembles and stochastic differential equation gaps
• Determinantal martingales and correlations of noncolliding random walks
• Approximation of Markov dynamics on the dual object of the infinite-dimensional unitary group
• Markov dynamics on the Thoma cone: a model of time-dependent determinantal processes with infinitely many particles
• Interacting Brownian motions in infinite dimensions related to the origin of the spectrum of random matrices
• Determinantal processes with number variance saturation
• Markov dynamics on the dual object to the infinite-dimensional unitary group
• The logarithmic derivative for point processes with equivalent Palm measures
• Strong Markov property of determinantal processes with extended kernels
• Noncolliding squared Bessel processes
• Elliptic determinantal processes and elliptic Dyson models
• Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials
• Noncolliding Brownian motion and determinantal processes
• Infinite-dimensional stochastic differential equations related to Bessel random point fields
• Determinantal process starting from an orthogonal symmetry is a Pfaffian process
• Markov processes of infinitely many nonintersecting random walks
• Critical behavior of non-intersecting Brownian motions
• Stochastic analysis of infinite particle systems—A new development in classical stochastic analysis and dynamical universality of random matrices
• Stochastic geometry and dynamics of infinitely many particle systems -- random matrices and interacting Brownian motions in infinite dimensions

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