Related papers: The Ginibre evolution in the large-N limit
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which can be obtained by geometry-preserving transformations, and…
We present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. Our result can be viewed as a new improvement to the LIL.
Recently, the joint probability density functions of complex eigenvalues for products of independent complex Ginibre matrices have been explicitly derived as determinantal point processes. We express truncated series coming from the…
We propose a new simple construction of a coupling at a fixed time of two sub-Riemannian Brownian motions on the Heisenberg group and on the free step 2 Carnot groups. The construction is based on a Legendre expansion of the standard…
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special…
We give new and explicitly computable examples of Gibbs-non-Gibbs transitions of mean-field type, using the large deviation approach introduced in [4]. These examples include Brownian motion with small variance and related diffusion…
We give rigorous analytical results on the temporal behavior of two-point correlation functions --also known as dynamical response functions or Green's functions-- in closed many-body quantum systems. We show that in a large class of…
We investigate Stein-Malliavin approximations for nonlinear functionals of geometric interest of Gaussian random eigenfunctions on the unit $d$ -dimensional sphere ${\mathbb{S}}^{d},$ $d\geq 2.$ All our results are established in the high…
We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger of equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H=1/4 (the more…
We consider the general Wigner function for a particle confined to a finite interval and subject to Dirichlet boundary conditions. We derive the boundary corrections to the "star-genvalue" equation and to the time evolution equation. These…
The combination of functional limit theorems with the pathwise analysis of deterministic and stochastic differential equations has proven to be a powerful approach to the analysis of fast-slow systems. In a multivariate setting, this…
Many results in the theory of Gaussian processes rely on the eigenstructure of the covariance operator. However, eigenproblems are notoriously hard to solve explicitly and closed form solutions are known only in a limited number of cases.…
This article presents a weak law of large numbers and a central limit theorem for the scaled realised covariation of a bivariate Brownian semistationary process. The novelty of our results lies in the fact that we derive the suitable…
We show that Sine$_\beta$, the bulk limit of the Gaussian $\beta$-ensembles is the spectrum of a self-adjoint random differential operator \[ f\to 2 {R_t^{-1}} \left[ \begin{array}{cc} 0 &-\tfrac{d}{dt} \tfrac{d}{dt} &0 \end{array} \right]…
We study the quantum evolution under the combined action of the exponentials of two not necessarily commuting operators. We consider the limit in which the two evolutions alternate at infinite frequency. This case appears in a plethora of…
Recently Dorigoni, Green and Wen conjectured a remarkable exact formula for an integrated correlator of four superconformal primary operators in $\mathcal{N}=4$ supersymmetric Yang-Mills theory. In this work, we investigate its large $N$…
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. We give series expansions…
This is a concise review of the complex, real and quaternion real Ginibre random matrix ensembles and their elliptic deformations. Eigenvalue correlations are exactly reduced to two-point kernels and discussed in the strongly and weakly…
Non-Hermitian random matrices enjoy non-trivial correlations in the statistics of their eigenvectors. We study the overlap among left and right eigenvectors in Ginibre ensembles with quaternion valued Gaussian matrix elements. This concept…
We construct a model of Brownian Motion on a pseudo-Riemannian manifold associated with general relativity. There are two aspects of the problem: The first is to define a sequence of stopping times associated with the Brownian "kicks" or…