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