Determinantal martingales and noncolliding diffusion processes

DOI10.1016/J.SPA.2014.06.002zbMATH Open1296.60213arXiv1305.4412OpenAlexW1990799308MaRDI QIDQ404593FDOQ404593

Authors: Makoto Katori 

Publication date: 4 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in the sense that any spatio-temporal correlation function can be expressed by a determinant. The purpose of the present paper is to clarify the connection between these two aspects. We introduce a notion of determinantal martingale and prove that, if the system has determinantal-martingale representation, then it is determinantal. In order to demonstrate the direct connection between the two aspects, we study three processes.

Full work available at URL: https://arxiv.org/abs/1305.4412

Recommendations

• Determinantal martingales and correlations of noncolliding random walks
• Noncolliding Brownian motion and determinantal processes
• Elliptic determinantal process of type A
• Markov property of determinantal processes with extended Sine, Airy and Bessel kernels
• Strong Markov property of determinantal processes with extended kernels

zbMATH Keywords

random matrix theorymartingalesdeterminantal processesharmonic Doob transformsnoncolliding diffusion processes

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Diffusion processes (60J60) Brownian motion (60J65) Interacting particle systems in time-dependent statistical mechanics (82C22) Martingales and classical analysis (60G46)

Cites Work

• Log-gases and random matrices.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Non‐Colliding Brownian Motions on the Circle
• Title not available (Why is that?)
• Wishart processes
• Advanced determinant calculus
• Random point fields associated with certain Fredholm determinants. I: Fermion, Poisson and Boson point processes.
• Stochastic processes and orthogonal polynomials
• Eynard-Mehta theorem, Schur process, and their Pfaffian analogs
• Determinantal random point fields
• Zeros of Gaussian analytic functions and determinantal point processes
• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• Title not available (Why is that?)
• Title not available (Why is that?)
• Orthogonal polynomial ensembles in probability theory
• Title not available (Why is that?)
• Nonintersecting lattice paths on the cylinder
• Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials
• Reunion probability of \(N\) vicious walkers: typical and large fluctuations for large \(N\)
• Nonintersecting Brownian excursions
• Exact solution of the lock step model of vicious walkers
• Title not available (Why is that?)
• Stochastic Loewner evolution and Dyson s circular ensembles
• Matrices coupled in a chain: I. Eigenvalue correlations
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• Universality of the local spacing distribution in certain ensembles of Hermitian Wigner matrices
• Transition probabilities and dynamic structure function in the ASEP conditioned on strong flux
• Coincidence probabilities
• Differential equations for Dyson processes
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• Noncolliding squared Bessel processes
• Interacting Brownian particles and the Wigner law
• The Wigner semi-circle law and eigenvalues of matrix-valued diffusions
• Complex Brownian motion representation of the Dyson model
• Zeros of Airy function and relaxation process
• Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials. II: Airy random point field
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
• Non-equilibrium dynamics of Dyson's model with an infinite number of particles
• Infinite-dimensional stochastic differential equations related to random matrices
• Correlations for the orthogonal-unitary and symplectic-unitary transitions at the hard and soft edges
• ASEP on a ring conditioned on enhanced flux
• Brownian motion in a Weyl chamber, non-colliding particles, and random matrices
• Dynamical correlations for circular ensembles of random matrices
• Random walk in an alcove of an affine Weyl group, and non-colliding random walks on an interval
• Infinite systems of noncolliding generalized meanders and Riemann-Liouville differintegrals
• Asymptotics for random walks in alcoves of affine Weyl groups
• Brownian particles with electrostatic repulsion on the circle: Dyson's model for unitary random matrices revisited
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems

Cited In (19)

• Determinantal martingales and correlations of noncolliding random walks
• Time-convergent random matrices from mean-field pinned interacting eigenvalues
• Title not available (Why is that?)
• A martingale problem for an absorbed diffusion: the nucleation phase of condensing zero range processes
• On a family of coupled diffusions that can never change their initial order
• Strong Markov property of determinantal processes with extended kernels
• Noncolliding system of continuous-time random walks
• Elliptic determinantal processes and elliptic Dyson models
• Captive diffusions and their applications to order-preserving dynamics
• Exact solution of interacting particle systems related to random matrices
• Macdonald denominators for affine root systems, orthogonal theta functions, and elliptic determinantal point processes
• Elliptic determinantal process of type A
• Determinantal process starting from an orthogonal symmetry is a Pfaffian process
• Elliptic Bessel processes and elliptic Dyson models realized as temporally inhomogeneous processes
• From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers
• Critical behavior of nonintersecting Brownian motions at a tacnode
• The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals
• Partial isometries, duality, and determinantal point processes
• Piecewise-tunneled captive processes and corridored random particle systems

This page was built for publication: Determinantal martingales and noncolliding diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q404593)