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

zbMATH Open1259.82065arXiv1106.4360MaRDI QIDQ2906175FDOQ2906175

Authors: Makoto Katori, H. Tanemura 

Publication date: 5 September 2012

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

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.

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

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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)

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
• Non-Markov property of certain eigenvalue processes analogous to Dyson's model
• Determinantal martingales and noncolliding diffusion processes
• 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
• Interacting Brownian motions in infinite dimensions related to the origin of the spectrum of random matrices
• Markov dynamics on the Thoma cone: a model of time-dependent determinantal processes with infinitely many particles
• Markov dynamics on the dual object to the infinite-dimensional unitary group
• Determinantal processes with number variance saturation
• 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
• Stochastic analysis of infinite particle systems—A new development in classical stochastic analysis and dynamical universality of random matrices
• Critical behavior of non-intersecting Brownian motions
• Stochastic geometry and dynamics of infinitely many particle systems -- random matrices and interacting Brownian motions in infinite dimensions

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