Gap probabilities for the generalized Bessel process: a Riemann-Hilbert approach

DOI10.1007/S11040-014-9149-2zbMATH Open1308.60062OpenAlexW2063134150MaRDI QIDQ471827FDOQ471827

Authors Manuela Girotti 

Publication date 17 November 2014

Published in Mathematical Physics, Analysis and Geometry (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.7015

zbMATH Keywords

Riemann-Hilbert problemsgap probabilitiesgeneralized Bessel processintegrable kernelsrandom point processes

Mathematics Subject Classification ID

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

Abstract: We consider the gap probability for the Generalized Bessel process in the single-time and multi-time case. We prove that the scalar and matrix Fredholm determinants of such process can be expressed in terms of determinants of Its-Izergin-Korepin-Slavnov integrable kernels and thus related to suitable Riemann-Hilbert problems. In the single-time case, we construct a Lax pair formalism, while in the multi-time case we explicitly define a new multi-time kernel to study.

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Cites Work

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Cited In (12)

• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• The Bessel kernel determinant on large intervals and Birkhoff's ergodic theorem
• Asymptotics of the Hard Edge Pearcey Determinant
• The generating function for the Bessel point process and a system of coupled Painlevé V equations
• Gap probability for the hard edge Pearcey process
• Infinite systems of noncolliding generalized meanders and Riemann-Liouville differintegrals
• A Riemann-Hilbert approach to Fredholm determinants of Hankel composition operators: scalar-valued kernels
• Gap probability at the hard edge for random matrix ensembles with pole singularities in the potential
• Universality conjecture and results for a model of several coupled positive-definite matrices
• Riemann-Hilbert approach to gap probabilities for the Bessel process
• A Riemann Hilbert approach to the study of the generating function associated to the Pearcey process
• The hard edge tacnode process and the hard edge Pearcey process with non-intersecting squared Bessel paths

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