Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights

DOI10.1007/S00220-008-0652-9zbMATH Open1188.60018arXiv0712.1333OpenAlexW3099174268MaRDI QIDQ731298FDOQ731298

Authors: Arno B. J. Kuijlaars, Andrei Martínez Finkelshtein, F. Wielonsky 

Publication date: 2 October 2009

Published in: Communications in Mathematical Physics (Search for Journal in Brave)

Abstract: We study a model of $n$ non-intersecting squared Bessel processes in the confluent case: all paths start at time $t=0$ at the same positive value $x=a$, remain positive, and are conditioned to end at time $t=T$ at $x=0$. In the limit $noinfty$, after appropriate rescaling, the paths fill out a region in the $tx$-plane that we describe explicitly. In particular, the paths initially stay away from the hard edge at $x=0$, but at a certain critical time $t^{*}$ the smallest paths hit the hard edge and from then on are stuck to it. For $teq{t}^{\ast }$ we obtain the usual scaling limits from random matrix theory, namely the sine, Airy, and Bessel kernels. A key fact is that the positions of the paths at any time $t$ constitute a multiple orthogonal polynomial ensemble, corresponding to a system of two modified Bessel-type weights. As a consequence, there is a $3imes3$ matrix valued Riemann-Hilbert problem characterizing this model, that we analyze in the large $n$ limit using the Deift-Zhou steepest descent method. There are some novel ingredients in the Riemann-Hilbert analysis that are of independent interest.

Full work available at URL: https://arxiv.org/abs/0712.1333

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zbMATH Keywords

random matrix theorymultiple orthogonal polynomialsRiemann surfacesdeterminantal point processessteepest descent methodLaguerre ensemblesquared Bessel processesmatrix valued Riemann-Hilbert problemsmodified Bessel-type weights

Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Sample path properties (60G17) Transition functions, generators and resolvents (60J35) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Stochastic processes (60G99)

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Cited In (46)

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• Recurrence relations and vector equilibrium problems arising from a model of non-intersecting squared Bessel paths
• The asymptotic zero distribution of multiple orthogonal polynomials associated with Macdonald functions
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