Dyson's Brownian motions, intertwining and interlacing
Probability
2007-05-23 v1
Abstract
A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.
Keywords
Cite
@article{arxiv.math/0509720,
title = {Dyson's Brownian motions, intertwining and interlacing},
author = {Jon Warren},
journal= {arXiv preprint arXiv:math/0509720},
year = {2007}
}
Comments
13 pages