A PDE for non-intersecting Brownian motions and applications
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Publication:616902
DOI10.1016/J.AIM.2010.09.004zbMATH Open1210.60090arXiv0911.0152OpenAlexW2011634726MaRDI QIDQ616902FDOQ616902
Authors: Mark Adler, Jonathan Delépine, Pierre van Moerbeke, Pol Vanhaecke 
Publication date: 12 January 2011
Published in: Advances in Mathematics (Search for Journal in Brave)
Abstract: Consider non-intersecting Brownian motions on the real line, starting from the origin at t=0, with a number of particles forced to reach p distinct target points at time t=1. This work shows that the transition probability, that is the probability for the particles to pass through windows E_k at times t_k, satisfies, in a new set of variables, a non-linear PDE which can be expressed as a near-Wronskian; that is a determinant of a matrix of size p+1, with each row being a derivative of the previous, except for the last column. It is an interesting open question to understand those equations from a more probabilistic point of view. As an application of these equations, let the number of particles forced to the extreme target points (the first and the last one) tend to infinity; keep the number of particles forced to intermediate target points fixed (inliers), but let the target points themselves go to infinity according to a proper scale. A new critical process appears at the point of bifurcation, where the bulk of the particles forced to the first target point depart from those going to the last target point. These statistical fluctuations near that point of bifurcation are specified by a kernel, which is a rational perturbation of the Pearcey kernel. Finally, the paper contains a conjecture.
Full work available at URL: https://arxiv.org/abs/0911.0152
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Cited In (12)
- Dyson's nonintersecting Brownian motions with a few outliers
- Moment matrices and multi-component KP, with applications to random matrix theory
- Nonintersecting Brownian motions on the unit circle
- A BROWNIAN-TIME EXCURSION INTO FOURTH-ORDER PDES, LINEARIZED KURAMOTO–SIVASHINSKY, AND BTP-SPDES ON ℝ+ × ℝd
- Nonintersecting Brownian motions, integrable systems and orthogonal polynomials
- On the gap probability of the tacnode process
- The \(k\)-tacnode process
- Non-linear PDEs for gap probabilities in random matrices and KP theory
- Non-intersecting Brownian motions leaving from and going to several points
- A new proof of Liggett's theorem for non-interacting Brownian motions
- Critical behavior of non-intersecting Brownian motions
- A Phase Transition for Nonintersecting Brownian Motions, and the Painleve II Equation
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