Related papers: On the partial connection between random matrices …
Nonintersecting motion of Brownian particles in one dimension is studied. The system is constructed as the diffusion scaling limit of Fisher's vicious random walk. N particles start from the origin at time t=0 and then undergo mutually…
Random matrices whose entries come from a stationary Gaussian process are studied. The limiting behavior of the eigenvalues as the size of the matrix goes to infinity is the main subject of interest in this work. It is shown that the…
Large ensembles of stochastically evolving interacting particles describe phenomena in diverse fields including statistical physics, neuroscience, biology, and engineering. In such systems, the infinitesimal evolution of each particle…
The spectra of empirical correlation matrices, constructed from multivariate data, are widely used in many areas of sciences, engineering and social sciences as a tool to understand the information contained in typically large datasets. In…
We study the distribution of the maximal height of the outermost path in the model of $N$ nonintersecting Brownian motions on the half-line as $N\to \infty$, showing that it converges in the proper scaling to the Tracy-Widom distribution…
This is a brief survey of laws of large numbers, fluctuation results and large deviation principles for asymmetric interacting particle systems that represent moving interfaces on the plane. We discuss the exclusion process, the Hammersley…
Since the introduction of Dyson's Brownian motion in early 1960's, there have been a lot of developments in the investigation of stochastic processes on the space of Hermitian matrices. Their properties, especially, the properties of their…
Consider a system of interacting particles indexed by the nodes of a graph whose vertices are equipped with marks representing parameters of the model such as the environment or initial data. Each particle takes values in a countable state…
We study interacting particle systems on the real line which generalize the Hammersley process [D. Aldous and P. Diaconis, Prob. Theory Relat. Fields 103, 199-213 (1995)]. Particles jump to the right to a randomly chosen point between their…
Noncolliding diffusion processes reported in the present paper are $N$-particle systems of diffusion processes in one-dimension, which are conditioned so that all particles start from the origin and never collide with each other in a finite…
We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…
A noncolliding diffusion process is a conditional process of $N$ independent one-dimensional diffusion processes such that the particles never collide with each other. This process realizes an interacting particle system with long-ranged…
Many growth processes lead to intriguing stochastic patterns and complex fractal structures which exhibit local scale invariance properties. Such structures can often be described effectively by space-time trajectories of interacting…
We prove that the distribution function of the largest eigenvalue in the Gaussian Unitary Ensemble (GUE) in the edge scaling limit is expressible in terms of Painlev\'e II. Our goal is to concentrate on this important example of the…
We establish a correspondence between the evolution of the distribution of eigenvalues of a $N\times N$ matrix subject to a random Gaussian perturbing matrix, and a Fokker-Planck equation postulated by Dyson. Within this model, we prove the…
We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…
We develop Random Batch Methods for interacting particle systems with large number of particles. These methods use small but random batches for particle interactions, thus the computational cost is reduced from $O(N^2)$ per time step to…
We relate the distribution of eigenvalues of a random symmetric matrix in the Gaussian Orthogonal Ensemble to the distribution of critical values of a random linear combination of eigenfunctions of the Laplacian on a compact Riemann…
We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes constructed from the corresponding eigenvalues. We show that…
We consider a general interacting particle system with interactions on a random graph, and study the large population limit of this system. When the sequence of underlying graphs converges to a graphon, we show convergence of the…