Survival probability of mutually killing Brownian motions and the O'Connell process

DOI10.1007/S10955-012-0472-3zbMATH Open1245.82046arXiv1112.4009OpenAlexW2013811703MaRDI QIDQ425183FDOQ425183

Makoto Katori

Publication date: 7 June 2012

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: Recently O'Connell introduced an interacting diffusive particle system in order to study a directed polymer model in 1+1 dimensions. The infinitesimal generator of the process is a harmonic transform of the quantum Toda-lattice Hamiltonian by the Whittaker function. As a physical interpretation of this construction, we show that the O'Connell process without drift is realized as a system of mutually killing Brownian motions conditioned that all particles survive forever. When the characteristic length of interaction killing other particles goes to zero, the process is reduced to the noncolliding Brownian motion (the Dyson model).

Full work available at URL: https://arxiv.org/abs/1112.4009

zbMATH Keywords

survival probabilityWhittaker functionsDyson modelmutually killing Brownian motionsquantum Toda lattice

Mathematics Subject Classification ID

Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Brownian motion (60J65) Completely integrable infinite-dimensional Hamiltonian and Lagrangian systems, integration methods, integrability tests, integrable hierarchies (KdV, KP, Toda, etc.) (37K10) Interacting particle systems in time-dependent statistical mechanics (82C22) Statistical mechanics of polymers (82D60)

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Cited In (6)

• KPZ line ensemble
• Noncolliding Brownian motion with drift and time-dependent Stieltjes-Wigert determinantal point process
• Reciprocal time relation of noncolliding Brownian motion with drift
• Determinantal structures in the O'Connell-Yor directed random polymer model
• System of complex Brownian motions associated with the O'Connell process
• Integral kernels on complex symmetric spaces and for the Dyson Brownian Motion

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