Strong Markov property of determinantal processes with extended kernels

DOI10.1016/J.SPA.2015.08.003zbMATH Open1333.60208arXiv1412.8678OpenAlexW2099780989MaRDI QIDQ898405FDOQ898405

Authors: Hirofumi Osada, H. Tanemura 

Publication date: 8 December 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Noncolliding Brownian motion (Dyson's Brownian motion model with parameter $$) and noncolliding Bessel processes are determinantal processes; that is, their space-time correlation functions are represented by determinants. Under a proper scaling limit, such as the bulk, soft-edge and hard-edge scaling limits, these processes converge to determinantal processes describing systems with an infinite number of particles. The main purpose of this paper is to show the strong Markov property of these limit processes, which are determinantal processes with the extended sine kernel, extended Airy kernel and extended Bessel kernel, respectively. We also determine the quasi-regular Dirichlet forms and infinite-dimensional stochastic differential equations associated with the determinantal processes.

Full work available at URL: https://arxiv.org/abs/1412.8678

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zbMATH Keywords

random matrix theoryentire functionsstochastic differential equationsdiffusion processesdeterminantal processesinfinite particle systemsstrong Markov propertycorrelation kernels

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (algebraic aspects) (15B52) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Zeros of polynomials, rational functions, and other analytic functions of one complex variable (e.g., zeros of functions with bounded Dirichlet integral) (30C15) Interacting particle systems in time-dependent statistical mechanics (82C22)

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Cited In (24)

• Dynamical universality for random matrices
• The Dyson Brownian minor process
• Cores of Dirichlet forms related to random matrix theory
• Uniqueness of Dirichlet forms related to infinite systems of interacting Brownian motions
• Non-Markov property of certain eigenvalue processes analogous to Dyson's model
• Determinantal martingales and noncolliding diffusion processes
• Dynamical bulk scaling limit of Gaussian unitary ensembles and stochastic differential equation gaps
• Markov product of positive definite kernels and applications to Q-matrices of graph products
• Approximation of Markov dynamics on the dual object of the infinite-dimensional unitary group
• Determinantal processes with number variance saturation
• The logarithmic derivative for point processes with equivalent Palm measures
• Conformal welding problem, flow line problem, and multiple Schramm-Loewner evolution
• Non-collision and collision properties of Dyson's model in infinite dimension and other stochastic dynamics whose equilibrium states are determinantal random point fields
• Brownian regularity for the Airy line ensemble, and multi-polymer watermelons in Brownian last passage percolation
• Elliptic determinantal processes and elliptic Dyson models
• Infinite dimensional stochastic differential equations for Dyson's model
• Noncolliding Brownian motion and determinantal processes
• Infinite-dimensional stochastic differential equations related to Bessel random point fields
• Infinite-dimensional stochastic differential equations and tail \(\sigma\)-fields
• Determinantal process starting from an orthogonal symmetry is a Pfaffian process
• Elliptic Bessel processes and elliptic Dyson models realized as temporally inhomogeneous processes
• Markov property of determinantal processes with extended Sine, Airy and Bessel kernels
• Stochastic analysis of infinite particle systems—A new development in classical stochastic analysis and dynamical universality of random matrices
• Stochastic geometry and dynamics of infinitely many particle systems -- random matrices and interacting Brownian motions in infinite dimensions

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