The Dyson Brownian minor process

DOI10.5802/AIF.2871zbMATH Open1318.60008arXiv1006.2956OpenAlexW1803899810MaRDI QIDQ486784FDOQ486784

Authors: Mark Adler, Pierre van Moerbeke, Eric Nordenstam 

Publication date: 16 January 2015

Published in: Annales de l’institut Fourier (Search for Journal in Brave)

Abstract: Consider an $nimesn$ Hermitean matrix valued stochastic process ${H_t}_{tgeq0}$ where the matrix elements evolve according to Ornstein-Uhlenbeck processes. It is well known that the eigenvalues perform a so called Dyson Brownian motion, that is they behave as Ornstein-Uhlenbeck processes conditioned never to intersect. In this paper we study not only the eigenvalues of the full matrix, but also the eigenvalues of all the principal minors. That is, the eigenvalues of the $kimesk$ in the upper left corner of $H_t$. If you project this process to a space-like path it is a determinantal process and we compute the kernel. This kernel contains as special cases the well known GUE minor kernel, discovered by Johansson-Nordenstam and Okounkov-Reshetikhin in 2006, and the Dyson Brownian motion kernel discovered by Forrester-Nagao in 1998. In the bulk scaling limit of this kernel it is possible to recover a time-dependent generalisation of Boutillier's bead kernel.

Full work available at URL: https://arxiv.org/abs/1006.2956

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zbMATH Keywords

point processesdeterminantal processescorrelation kernelDyson Brownian minor process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (probabilistic aspects) (60B20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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Cited In (11)

• Kerov's interlacing sequences and random matrices
• Cycles and eigenvalues of sequentially growing random regular graphs
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