Infinite dimensional stochastic differential equations for Dyson's model

DOI10.1007/S00440-015-0672-2zbMATH Open1354.60064arXiv1405.6692OpenAlexW3100051027MaRDI QIDQ343791FDOQ343791

Authors: Li-Cheng Tsai 

Publication date: 29 November 2016

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

Abstract: In this paper we show the strong existence and the pathwise uniqueness of an infinite-dimensional Stochastic Differential Equation (SDE) corresponding to the bulk limit of Dyson's Brownian Motion (DBM), for all $$. Our construction applies to an explicit and general class of initial conditions, including the lattice configuration $x_i=mathbbZ$ and the sine process. We further show the convergence of the finite to infinite-dimensional SDE. This convergence concludes the determinantal formula of Katori and Tanemura (2010) for the solution of this SDE at $$.

Full work available at URL: https://arxiv.org/abs/1405.6692

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zbMATH Keywords

correlation functionDyson's Brownian motionpathwise uniquenessDyson's modelinfinite-dimensional stochastic differential equationsstrong existence

Mathematics Subject Classification ID

Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting particle systems in time-dependent statistical mechanics (82C22)

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Cited In (27)

• Ergodicity of unlabeled dynamics of Dyson’s model in infinite dimensions
• Dynamical universality for random matrices
• Uniqueness of Dirichlet forms related to infinite systems of interacting Brownian motions
• On the ergodicity of interacting particle systems under number rigidity
• Infinite-dimensional stochastic difference equations for particle systems and network flows
• Infinite-dimensional stochastic Schrödinger-Belavkin equations
• Infinite dimensional stochastic differential equations for Dyson's model
• Dynamical bulk scaling limit of Gaussian unitary ensembles and stochastic differential equation gaps
• Universal objects of the infinite beta random matrix theory
• Markov dynamics on the dual object to the infinite-dimensional unitary group
• The logarithmic derivative for point processes with equivalent Palm measures
• Differential equations for Dyson processes
• Strong Markov property of determinantal processes with extended kernels
• Stochastic differential equations with local interactions
• Stochastic geometry and dynamics of infinitely many particle systems—random matrices and interacting Brownian motions in infinite dimensions
• Characterizations of the hydrodynamic limit of the Dyson model
• Large deviations in the quantum quasi-1D jellium
• Complex Brownian motion representation of the Dyson model
• Exact solution of interacting particle systems related to random matrices
• Hua-Pickrell diffusions and Feller processes on the boundary of the graph of spectra
• Stationary solutions and local equations for interacting diffusions on regular trees
• Infinite-dimensional stochastic differential equations and tail \(\sigma\)-fields
• Infinite-dimensional stochastic differential equations and tail \(\sigma\)-fields II: the IFC condition
• Stochastic analysis of infinite particle systems—A new development in classical stochastic analysis and dynamical universality of random matrices
• Dyson's model in infinite dimensions is irreducible
• Two-sided infinite systems of competing Brownian particles
• Conformal welding problem, flow line problem, and multiple Schramm–Loewner evolution

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