Infinite-dimensional stochastic differential equations related to random matrices

DOI10.1007/S00440-011-0352-9zbMATH Open1253.82061arXiv1004.0301OpenAlexW2962785371MaRDI QIDQ714959FDOQ714959

Authors: Hirofumi Osada 

Publication date: 12 October 2012

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We solve infinite-dimensional stochastic differential equations (ISDEs) describing an infinite number of Brownian particles interacting via two-dimensional Coulomb potentials. The equilibrium states of the associated unlabeled stochastic dynamics are the Ginibre random point field and Dyson's measures, which appear in random matrix theory. To solve the ISDEs we establish an integration by parts formula for these measures. Because the long-range effect of two-dimensional Coulomb potentials is quite strong, the properties of Brownian particles interacting with two-dimensional Coulomb potentials are remarkably different from those of Brownian particles interacting with Ruelle's class interaction potentials. As an example, we prove that the interacting Brownian particles associated with the Ginibre random point field satisfy plural ISDEs.

Full work available at URL: https://arxiv.org/abs/1004.0301

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zbMATH Keywords

random matricesDyson's modelinfinite-dimensional stochastic differential equationsCoulomb potentialsinteracting Brownian particlesGinibre random point field

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Continuum models (systems of particles, etc.) arising in equilibrium statistical mechanics (82B21) Interacting particle systems in time-dependent statistical mechanics (82C22)

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Cited In (41)

• Ergodicity of unlabeled dynamics of Dyson’s model in infinite dimensions
• Dynamical universality for random matrices
• A strong duality principle for equivalence couplings and total variation
• Cores of Dirichlet forms related to random matrix theory
• Uniqueness of Dirichlet forms related to infinite systems of interacting Brownian motions
• Determinantal martingales and noncolliding diffusion processes
• Infinite dimensional stochastic differential equations for Dyson's model
• Dynamical bulk scaling limit of Gaussian unitary ensembles and stochastic differential equation gaps
• Determinantal martingales and correlations of noncolliding random walks
• Curvature bounds for configuration spaces
• Interacting Brownian motions in infinite dimensions related to the origin of the spectrum of random matrices
• Approximate Gibbsian structure in strongly correlated point fields and generalized Gaussian zero ensembles
• Absolute continuity and singularity of palm measures of the Ginibre point process
• The logarithmic derivative for point processes with equivalent Palm measures
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• Asymptotic behavior of the integrated density of states for random point fields associated with certain Fredholm determinants
• Strong Markov property of determinantal processes with extended kernels
• Stochastic matrices and a property of the infinite sequences of linear functionals
• An invariance principle for the tagged particle process in continuum with singular interaction potential
• Infinite particle systems with hard-core and long-range interaction
• Noncolliding system of continuous-time random walks
• Large deviations in the quantum quasi-1D jellium
• Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials
• Free diffusions and matrix models with strictly convex interaction
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• Finite-particle approximations for interacting Brownian particles with logarithmic potentials
• Title not available (Why is that?)
• Infinite-dimensional stochastic differential equations and tail \(\sigma\)-fields II: the IFC condition
• Tagged particle processes and their non-explosion criteria
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• Stochastic geometry and dynamics of infinitely many particle systems -- random matrices and interacting Brownian motions in infinite dimensions
• Dyson's model in infinite dimensions is irreducible
• Full Dysonian dynamics of the complex Ginibre ensemble
• Partial isometries, duality, and determinantal point processes
• Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials. II: Airy random point field

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