Infinite-dimensional stochastic differential equations related to random matrices
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random matricesDyson's modelinfinite-dimensional stochastic differential equationsCoulomb potentialsinteracting Brownian particlesGinibre random point field
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)
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.
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Cited in
(41)- Infinite particle systems with hard-core and long-range interaction
- Infinite dimensional stochastic differential equations for Dyson's model
- Interacting Brownian motions in infinite dimensions related to the origin of the spectrum of random matrices
- Infinite-dimensional stochastic differential equations related to Bessel random point fields
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