Stochastic Airy semigroup through tridiagonal matrices

DOI10.1214/17-AOP1229MaRDI QIDQ1660635zbMATH OpenWikidataFDO

Authors Vadim Gorin, Mykhaylo Shkolnikov

Publication date 16 August 2018

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

Full work available at URL https://arxiv.org/abs/1601.06800, https://projecteuclid.org/euclid.aop/1528876829

zbMATH Keywords

Feynman-Kac formulamoment methodBrownian bridgetrace formulaBrownian excursionstochastic Airy operatorAiry point processstrong invariance principleintersection local timequantile transformGaussian beta ensemblepath transformationDumitriu-Edelman modelrandom matrix soft edgerandom walk bridgeVervaat transform

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Local time and additive functionals (60J55) Random operators and equations (aspects of stochastic analysis) (60H25) Schrödinger and Feynman-Kac semigroups (47D08)

Abstract: We determine the operator limit for large powers of random tridiagonal matrices as the size of the matrix grows. The result provides a novel expression in terms of functionals of Brownian motions for the Laplace transform of the Airy$$ process, which describes the largest eigenvalues in the $$ ensembles of random matrix theory. Another consequence is a Feynman-Kac formula for the stochastic Airy operator of Ram'{i}rez, Rider, and Vir'{a}g. As a side result, we find that the difference between the area underneath a standard Brownian excursion and one half of the integral of its squared local times is a Gaussian random variable.

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Cited in

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• Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions
• The \(\text{Airy}_{1}\) process is not the limit of the largest eigenvalue in GOE matrix diffusion
• Universal objects of the infinite beta random matrix theory
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• Semigroups for one-dimensional Schrödinger operators with multiplicative Gaussian noise

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