Multilevel Dyson Brownian motions via Jack polynomials
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Publication:892157
DOI10.1007/S00440-014-0596-2zbMATH Open1334.60160arXiv1401.5595OpenAlexW1994668498MaRDI QIDQ892157FDOQ892157
Vadim Gorin, Mykhaylo Shkolnikov
Publication date: 18 November 2015
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: We introduce multilevel versions of Dyson Brownian motions of arbitrary parameter , generalizing the interlacing reflected Brownian motions of Warren for . Such processes unify corners processes and Dyson Brownian motions in a single object. Our approach is based on the approximation by certain multilevel discrete Markov chains of independent interest, which are defined by means of Jack symmetric polynomials. In particular, this approach allows to show that the levels in a multilevel Dyson Brownian motion are intertwined (at least for ) and to give the corresponding link explicitly.
Full work available at URL: https://arxiv.org/abs/1401.5595
Random matrices (probabilistic aspects) (60B20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Symmetric functions and generalizations (05E05) Interacting particle systems in time-dependent statistical mechanics (82C22)
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Cited In (28)
- HALF-SPACE MACDONALD PROCESSES
- Dip-ramp-plateau for Dyson Brownian motion from the identity on \(U(N)\)
- Pieri integral formula and asymptotics of Jack unitary characters
- Large deviations for discrete \(\beta\)-ensembles
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- Dynamical loop equation
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