Asymptotics of non-intersecting Brownian motions and a 4 4 Riemann-Hilbert problem

DOI10.1016/J.JAT.2007.10.003zbMATH Open1149.60050arXivmath/0701923OpenAlexW2024284164MaRDI QIDQ953831FDOQ953831

Authors: Evi Daems, Arno B. J. Kuijlaars, Willem Veys 

Publication date: 6 November 2008

Published in: Journal of Approximation Theory (Search for Journal in Brave)

Abstract: We consider n one-dimensional Brownian motions, such that n/2 Brownian motions start at time t=0 in the starting point a and end at time t=1 in the endpoint b and the other n/2 Brownian motions start at time t=0 at the point -a and end at time t=1 in the point -b, conditioned that the n Brownian paths do not intersect in the whole time interval (0,1). The correlation functions of the positions of the non-intersecting Brownian motions have a determinantal form with a kernel that is expressed in terms of multiple Hermite polynomials of mixed type. We analyze this kernel in the large n limit for the case ab<1/2. We find that the limiting mean density of the positions of the Brownian motions is supported on one or two intervals and that the correlation kernel has the usual scaling limits from random matrix theory, namely the sine kernel in the bulk and the Airy kernel near the edges.

Full work available at URL: https://arxiv.org/abs/math/0701923

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zbMATH Keywords

multiple orthogonal polynomialsRiemann-Hilbert problemsteepest descent analysisnon-intersecting Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cited In (20)

• On the Christoffel-Darboux kernel for random Hermitian matrices with external source
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• Non-intersecting Brownian motions leaving from and going to several points
• Nikishin systems are perfect. The case of unbounded and touching supports
• Critical behavior of nonintersecting Brownian motions at a tacnode
• A Phase Transition for Nonintersecting Brownian Motions, and the Painleve II Equation

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