Complex Brownian motion representation of the Dyson model

DOI10.1214/ECP.V18-2554MaRDI QIDQ742963zbMATH OpenOpenAlexFDO

Authors Makoto Katori, H. Tanemura

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.2821

zbMATH Keywords

entire functionsdeterminantal processtightness\(h\)-transformDyson modelcomplex Brownian motionsconformal martingalesnoncolliding property

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Martingales with continuous parameter (60G44) Interacting particle systems in time-dependent statistical mechanics (82C22) Entire functions of several complex variables (32A15)

Abstract: Dyson's Brownian motion model with the parameter $$, which we simply call the Dyson model in the present paper, is realized as an $h$-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial configuration with a finite number of particles, we define a set of entire functions and introduce a martingale for a system of independent complex Brownian motions (CBMs), which is expressed by a determinant of a matrix with elements given by the conformal transformations of CBMs by the entire functions. We prove that the Dyson model can be represented by the system of independent CBMs weighted by this determinantal martingale. From this CBM representation, the Eynard-Mehta-type correlation kernel is derived and the Dyson model is shown to be determinantal. The CBM representation is a useful extension of $h$-transform, since it works also in infinite particle systems. Using this representation, we prove the tightness of a series of processes, which converges to the Dyson model with an infinite number of particles, and the noncolliding property of the limit process.

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Cited in

(21)

• Determinantal martingales and noncolliding diffusion processes
• Bessel process, Schramm-Loewner evolution, and the Dyson model
• Determinantal martingales and correlations of noncolliding random walks
• Strong Markov property of determinantal processes with extended kernels
• Reciprocal time relation of noncolliding Brownian motion with drift
• Non-collision and collision properties of Dyson's model in infinite dimension and other stochastic dynamics whose equilibrium states are determinantal random point fields
• Motion by mean curvature and Dyson Brownian motion
• System of complex Brownian motions associated with the O'Connell process
• Noncolliding system of continuous-time random walks
• Characterizations of the hydrodynamic limit of the Dyson model
• Consecutive minors for Dyson's Brownian motions
• On the non-commutative fractional Wishart process
• On the eigenvalue process of a matrix fractional Brownian motion
• Elliptic determinantal process of type A
• Determinantal process starting from an orthogonal symmetry is a Pfaffian process
• Elliptic Bessel processes and elliptic Dyson models realized as temporally inhomogeneous processes
• Zeros of Airy function and relaxation process
• Isomorphisms of -Dyson's Brownian motion with Brownian local time
• Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift
• Dyson's model in infinite dimensions is irreducible
• Brownian particles with electrostatic repulsion on the circle: Dyson's model for unitary random matrices revisited

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