Non-intersecting squared Bessel paths with one positive starting and ending point

DOI10.1007/S11854-012-0031-5MaRDI QIDQ351303zbMATH OpenOpenAlexFDO

Authors Steven Delvaux, Arno B. J. Kuijlaars, Pablo Manuel Román, Lun Zhang

Publication date 11 July 2013

Published in Journal d'Analyse Mathématique (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.2481, https://lirias.kuleuven.be/handle/123456789/366381

zbMATH Keywords

vector equilibrium problemmatrix-valued Riemann-Hilbert problemsquared Bessel processes

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (probabilistic aspects) (60B20) Diffusion processes (60J60)

Abstract: We consider a model of $n$ non-intersecting squared Bessel processes with one starting point $a>0$ at time t=0 and one ending point $b>0$ at time $t=T$. After proper scaling, the paths fill out a region in the $tx$-plane. Depending on the value of the product $ab$ the region may come to the hard edge at 0, or not. We formulate a vector equilibrium problem for this model, which is defined for three measures, with upper constraints on the first and third measures and an external field on the second measure. It is shown that the limiting mean distribution of the paths at time $t$ is given by the second component of the vector that minimizes this vector equilibrium problem. The proof is based on a steepest descent analysis for a $4imes4$ matrix valued Riemann-Hilbert problem which characterizes the correlation kernel of the paths at time $t$. We also discuss the precise locations of the phase transitions.

Recommendations

• Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights
• A graph-based equilibrium problem for the limiting distribution of nonintersecting Brownian motions at low temperature
• Non-intersecting squared Bessel paths at a hard-edge tacnode
• Nonintersecting paths with a staircase initial condition
• Non-intersecting squared Bessel paths: Critical time and double scaling limit

Cites work

• scientific article; zbMATH DE number 51140 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1077997 (Why is no real title available?)
• scientific article; zbMATH DE number 1464566 (Why is no real title available?)
• scientific article; zbMATH DE number 747049 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• A Phase Transition for Nonintersecting Brownian Motions, and the Painleve II Equation
• A critical phenomenon in the two-matrix model in the quartic/quadratic case
• A note on biorthogonal ensembles
• Asymptotics of non-intersecting Brownian motions and a 4 4 Riemann-Hilbert problem
• Biorthogonal ensembles
• Coincidence properties of birth and death processes
• Constrained energy problems with applications to orthogonal polynomials of a discrete variable
• Critical behavior of nonintersecting Brownian motions at a tacnode
• Determinantal process starting from an orthogonal symmetry is a Pfaffian process
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• Equilibrium measure and the distribution of zeros of the extremal polynomials of a discrete variable
• Equilibrium of vector potentials and uniformization of the algebraic curves of genus 0
• Equilibrium problems associated with fast decreasing polynomials
• Large \(n\) limit of Gaussian random matrices with external source. I
• Large \(n\) limit of Gaussian random matrices with external source. II
• Large \(n\) limit of Gaussian random matrices with external source. III: Double scaling limit
• Log-gases and random matrices.
• Multiple orthogonal polynomials of mixed type and non-intersecting Brownian motions
• Multiple orthogonal polynomials of mixed type: Gauss-Borel factorization and the multi-component 2D Toda hierarchy
• Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights
• Non-intersecting squared Bessel paths at a hard-edge tacnode
• Non-intersecting squared Bessel paths: Critical time and double scaling limit
• Noncolliding squared Bessel processes
• Nonintersecting Brownian excursions
• Nonintersecting random walks in the neighborhood of a symmetric tacnode
• On convergence of simultaneous Padé approximants for systems of functions of Markov type
• On the equilibrium problem for vector potentials
• Orthogonal polynomials and random matrices: a Riemann-Hilbert approach.
• Random surface growth with a wall and Plancherel measures for \(O (\infty )\)
• Recurrence relations and vector equilibrium problems arising from a model of non-intersecting squared Bessel paths
• Riemann-Hilbert problems for multiple orthogonal polynomials
• Strong asymptotics for multiple Laguerre polynomials
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• The Hermitian two matrix model with an even quartic potential
• The Riemann--Hilbert approach to strong asymptotics for orthogonal polynomials on [-1,1]
• The global parametrix in the Riemann-Hilbert steepest descent analysis for orthogonal polynomials
• Two Bessel bridges conditioned never to collide, double Dirichlet series, and Jacobi theta function
• Uniform asymptotics for polynomials orthogonal with respect to varying exponential weights and applications to universality questions in random matrix theory
• Universality in the two‐matrix model: a Riemann‐Hilbert steepest‐descent analysis
• Weakly admissible vector equilibrium problems

Cited in

(15)

• The hard edge tacnode process and the hard edge Pearcey process with non-intersecting squared Bessel paths
• Three-parametric Marcenko-Pastur density
• Asymptotics of the Hard Edge Pearcey Determinant
• Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights
• Non-intersecting squared Bessel paths at a hard-edge tacnode
• The distribution function for the maximal height of \(N\) non-intersecting Bessel paths
• Large deviations for a non-centered Wishart matrix
• Non-intersecting squared Bessel paths: Critical time and double scaling limit
• A graph-based equilibrium problem for the limiting distribution of nonintersecting Brownian motions at low temperature
• Nonintersecting paths with a staircase initial condition
• Weakly admissible vector equilibrium problems
• Large \(n\) limit for the product of two coupled random matrices
• Mixed type multiple orthogonal polynomials associated with the modified Bessel functions and products of two coupled random matrices
• Recurrence relations and vector equilibrium problems arising from a model of non-intersecting squared Bessel paths
• Weakly admissible vector equilibrium problems

This page was built for publication: Non-intersecting squared Bessel paths with one positive starting and ending point

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q351303)