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

DOI10.1007/S00220-008-0652-9MaRDI QIDQ731298zbMATH OpenOpenAlexFDO

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)

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

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)

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 $t^{\ast }$ 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.

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Cited in

(46)

• Analogs of Schmidt's formula for polyorthogonal polynomials of the first type
• Non-intersecting squared Bessel paths at a hard-edge tacnode
• Large deviations for a non-centered Wishart matrix
• Multipoint Hermite-Padé approximations for beta functions
• Universality in the two‐matrix model: a Riemann‐Hilbert steepest‐descent analysis
• The hard-to-soft edge transition: exponential moments, central limit theorems and rigidity
• Gap probabilities for the generalized Bessel process: a Riemann-Hilbert approach
• Random surface growth with a wall and Plancherel measures for \(O (\infty )\)
• Szegő recurrence for multiple orthogonal polynomials on the unit circle
• Singular values for products of complex Ginibre matrices with a source: hard edge limit and phase transition
• Large \(n\) limit for the product of two coupled random matrices
• Critical behavior of nonintersecting Brownian motions at a tacnode
• Electrostatic partners and zeros of orthogonal and multiple orthogonal polynomials
• Critical behavior in Angelesco ensembles
• On the explicit representation of polyorthogonal polynomials
• Recurrence relations and vector equilibrium problems arising from a model of non-intersecting squared Bessel paths
• Asymptotics of the Hard Edge Pearcey Determinant
• The distribution function for the maximal height of \(N\) non-intersecting Bessel paths
• Mixed type multiple orthogonal polynomials associated with the modified Bessel functions and products of two coupled random matrices
• Raney distributions and random matrix theory
• The asymptotic zero distribution of multiple orthogonal polynomials associated with Macdonald functions
• Non-intersecting squared Bessel paths with one positive starting and ending point
• Asymptotics of a discrete-time particle system near a reflecting boundary
• Bounded Bessel processes and Ferrari-Spohn diffusions
• A criterion for the existence and uniqueness of polyorthogonal polynomials of the second type
• Noncolliding squared Bessel processes
• Matrix biorthogonal polynomials: eigenvalue problems and non-Abelian discrete Painlevé equations. A Riemann-Hilbert problem perspective
• Critical measures, quadratic differentials, and weak limits of zeros of Stieltjes polynomials
• Random matrix model with external source and a constrained vector equilibrium problem
• Non-intersecting squared Bessel paths: Critical time and double scaling limit
• Two Bessel bridges conditioned never to collide, double Dirichlet series, and Jacobi theta function
• Critical measures for vector energy: asymptotics of non-diagonal multiple orthogonal polynomials for a cubic weight
• The generating function for the Bessel point process and a system of coupled Painlevé V equations
• Weakly admissible vector equilibrium problems
• The Hermitian two matrix model with an even quartic potential
• Riemann-Hilbert problem and matrix biorthogonal polynomials
• Noncolliding Brownian motion with drift and time-dependent Stieltjes-Wigert determinantal point process
• Gap probability for the hard edge Pearcey process
• Critical measures for vector energy: global structure of trajectories of quadratic differentials
• Determinantal process starting from an orthogonal symmetry is a Pfaffian process
• Weakly admissible vector equilibrium problems
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