Random matrix central limit theorems for nonintersecting random walks

DOI10.1214/009117906000001105MaRDI QIDQ2456030zbMATH OpenOpenAlexFDO

Authors Jinho Baik, Toufic M. Suidan

Publication date 17 October 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0605212

zbMATH Keywords

strong approximationRiemann-Hilbert problemTracy-Widom distributionnonintersecting random walkssine kernelStieltjes-Wigert polynomials

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Abstract: We consider nonintersecting random walks satisfying the condition that the increments have a finite moment generating function. We prove that in a certain limiting regime where the number of walks and the number of time steps grow to infinity, several limiting distributions of the walks at the mid-time behave as the eigenvalues of random Hermitian matrices as the dimension of the matrices grows to infinity.

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Cited in

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• Central limit theorems for radial random walks on \(p \times q\) matrices for \(p \to \infty\)
• Plancherel-Rotach asymptotics for \(q\)-orthogonal polynomials
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