Random matrices, non-colliding processes and queues
Brownian motioneigenvaluenon-colliding processpercolationPoisson processpolymerqueueing theoryrandom matrix
Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Brownian motion (60J65) Queueing theory (aspects of probability theory) (60K25) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Statistical mechanics of polymers (82D60)
It was discovered recently by \textit{J. Baik}, \textit{P. Deift} and \textit{K. Johansson}, [J. Am. Math. Soc. 12, No. 4, 1119--1178 (1999; Zbl 0932.05001)] that the asymptotic distribution of the length of the longest increasing subsequence in a permutation chosen uniformly at random from a process \(S_n\), properly centered and normalised, is the same as the asymptotic distribution of the largest eigenvalue of an \(n \times n\) GUE random matrix, properly centered and normalised, as \(n \rightarrow \infty\). On the other hand, the eigenvalues of a GUE random matrix of dimension \(n\) obey the same law as positions, after a unit length of time, of \(n\) independent standard Brownian motions started from the origin and conditioned never to collide. These connections between random matrices, non-colliding processes and queues are studied. The known theorem of classical queueing theory, which states that, in equilibrium, the output of a stable \(M/M/1\) queue is Poisson, was firstly proved by \textit{P. J. Burke} [Operations Research 4, No. 6, 699--704 (1956)]. Here, this output theorem for the \(M/M/1\) queue is proved using reversibility and its extended version is used to obtain a representation for non-colliding Poisson processes and for non-colliding Brownian motions. Finally, output theorems are discussed generally and the analogue of the output theorem is given for Brownian motions with drift together with the first order asymptotics for directed percolation and directed polymers. For the entire collection see [Zbl 1003.00010].
- Brownian analogues of Burke's theorem.
- Limiting shape for directed percolation models
- A representation for non-colliding random walks
- Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion
- Last passage percolation on the complete graph
- Fluctuation lower bounds in planar random growth models
- Bulk properties of the Airy line ensemble
- Stable Lévy processes in a cone
- Bi-infinite solutions for KdV- and Toda-type discrete integrable systems based on path encodings
- Discrete integrable systems and Pitman's transformation
- The endpoint distribution of directed polymers
- Tropical combinatorics and Whittaker functions
- Random walks in ( Z_+)^2 with non-zero drift absorbed at the axes
- The Wishart autoregressive process of multivariate stochastic volatility
- Directed polymers and the quantum Toda lattice
- A path-transformation for random walks and the Robinson-Schensted correspondence
- Batch latency analysis and phase transitions for a tandem of queues with exponentially distributed service times
- Nonequilibrium Markov processes conditioned on large deviations
- A stationary model of non-intersecting directed polymers
- The Bessel line ensemble
- Disjoint optimizers and the directed landscape
- Last passage percolation with bounded edge passage time on complete graph
- Extremes of Gaussian random fields with nonadditive dependence structure
- Random walk on a building of type \(\tilde A_r\) and Brownian motion of the Weyl chamber
- Heavy tails in last-passage percolation
- The Heckman-Opdam Markov processes
- Multiple orthogonal polynomials of mixed type and non-intersecting Brownian motions
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