Nonintersecting Brownian motions on the half-line and discrete Gaussian orthogonal polynomials

DOI10.1007/S10955-012-0485-YzbMATH Open1244.82065arXiv1111.4239OpenAlexW3098322794MaRDI QIDQ430928FDOQ430928

Authors: Karl Liechty 

Publication date: 26 June 2012

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

Abstract: We study the distribution of the maximal height of the outermost path in the model of $N$ nonintersecting Brownian motions on the half-line as $Noinfty$, showing that it converges in the proper scaling to the Tracy-Widom distribution for the largest eigenvalue of the Gaussian orthogonal ensemble. This is as expected from the viewpoint that the maximal height of the outermost path converges to the maximum of the $extrm{Airy}_2$ process minus a parabola. Our proof is based on Riemann-Hilbert analysis of a system of discrete orthogonal polynomials with a Gaussian weight in the double scaling limit as this system approaches saturation. We consequently compute the asymptotics of the free energy and the reproducing kernel of the corresponding discrete orthogonal polynomial ensemble in the critical scaling in which the density of particles approaches saturation. Both of these results can be viewed as dual to the case in which the mean density of eigenvalues in a random matrix model is vanishing at one point.

Full work available at URL: https://arxiv.org/abs/1111.4239

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zbMATH Keywords

random matrix theorydiscrete orthogonal polynomialsAiry processBrownian excursionsPainlevé II

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Painlevé-type functions (33E17)

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Cited In (28)

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