Darboux transformations and random point processes

DOI10.1093/IMRN/RNU122MaRDI QIDQ3450431zbMATH OpenOpenAlexFDO

Authors M. Bertola, M. Cafasso

Publication date 5 November 2015

Published in IMRN. International Mathematics Research Notices (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.4752

zbMATH Keywords

Darboux transformationsgap probabilitiesrandom point processesRiemann-Hilbert problemsSchlesinger transformations

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: In this paper we describe a general method to derive formulas relating the gap probability of some classical determinantal random point process (Airy, Pearcey and Hermite) with the gap probability of the processes related to the same kernels with "wanderers", "inliers" and "outliers". In this way, we generalize the Painlev'e-like formula found by Baik for the Baik-Ben Arous-P'ech'e distribution to many different cases, both in the one and multi-time case. The method is not ad-hoc and relies upon the notion of discrete Schlesinger transformations for Riemann-Hilbert problems.

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(10)

• Inhomogeneous Markov point processes by transformation
• Rational solutions of the Painlevé-II equation revisited
• The Kontsevich-Penner matrix integral, isomonodromic tau functions and open intersection numbers
• Noncommutative Painlevé equations and systems of Calogero type
• Correction to: ``The dependence on the monodromy data of the isomonodromic tau function
• The Kontsevich matrix integral: convergence to the Painlevé hierarchy and Stokes' phenomenon
• Universality of the matrix Airy and Bessel functions at spectral edges of unitary ensembles
• Darboux transformations of the modified BKP hierarchy by fermionic approach
• Determinantal point processes conditioned on randomly incomplete configurations
• Jánossy Densities and Darboux Transformations for the Stark and Cylindrical KdV Equations

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