A graph-based equilibrium problem for the limiting distribution of nonintersecting Brownian motions at low temperature

DOI10.1007/S00365-010-9106-7MaRDI QIDQ607492zbMATH OpenOpenAlexFDO

Authors Steven Delvaux, Arno B. J. Kuijlaars

Publication date 22 November 2010

Published in Constructive Approximation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.2310

zbMATH Keywords

Deift-Zhou steepest descent analysisgraph theoryKarlin-McGregor theoremmultiple orthogonal polynomialsnon-intersecting Brownian motionsRiemann-Hilbert problemvector potential theory

Mathematics Subject Classification ID

Generalizations of potential theory (31C99) Riemann-Hilbert problems in context of PDEs (35Q15) Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Abstract: We consider n non-intersecting Brownian motion paths with p prescribed starting positions at time t=0 and q prescribed ending positions at time t=1. The positions of the paths at any intermediate time are a determinantal point process, which in the case p=1 is equivalent to the eigenvalue distribution of a random matrix from the Gaussian unitary ensemble with external source. For general p and q, we show that if a temperature parameter is sufficiently small, then the distribution of the Brownian paths is characterized in the large n limit by a vector equilibrium problem with an interaction matrix that is based on a bipartite planar graph. Our proof is based on a steepest descent analysis of an associated (p+q) by (p+q) matrix valued Riemann-Hilbert problem whose solution is built out of multiple orthogonal polynomials. A new feature of the steepest descent analysis is a systematic opening of a large number of global lenses.

Review text

The paper deals with nonintersecting one-dimensional Brownian motions with prescribed starting and ending positions. For the case of one starting point and one ending point it is known that the positions of the paths at any intermediate time have the same distribution as the eigenvalues of a Gaussian Unitary Ensemble (GUE) from random matrix theory. In the case of one starting point and two or more ending points the positions of the paths have the same distribution as the eigenvalues of a GUE with external source. This model is described by multiple Hermite polynomials. Much less is known for the general case of \(p\geq 2\) starting points and \(q\geq 2\) ending points. What is known is that the model is described by multiple Hermite polynomials of mixed type which have a characterization in terms of a matrix-valued Riemann-Hilbert problem. The score of the authors is to study the general case of \(p\geq 2\) and \(q\geq 2\) with methods from potential theory, more precisely with vector equilibrium problems with external fields.

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Cited in

(11)

• Mixed type multiple orthogonal polynomials: Perfectness and interlacing properties of zeros
• Equilibrium problems for vector potentials with semidefinite interaction matrices and constrained masses
• Non-colliding Brownian motions and the extended tacnode process
• Random matrix theory and its applications
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• Non-intersecting squared Bessel paths with one positive starting and ending point
• Recurrence relations and vector equilibrium problems arising from a model of non-intersecting squared Bessel paths
• Multilevel interpolations for the generalized Nikishin system on a tree graph
• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• Asymptotics of non-intersecting Brownian motions and a 4 4 Riemann-Hilbert problem

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