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