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

DOI10.1007/S11854-012-0031-5zbMATH Open1328.60184arXiv1105.2481OpenAlexW2002843300MaRDI QIDQ351303FDOQ351303

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)

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.

Full work available at URL: https://arxiv.org/abs/1105.2481

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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)

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• 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
• The hard edge tacnode process and the hard edge Pearcey process with non-intersecting squared Bessel paths

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