Related papers: Convergence of local statistics of Dyson Brownian …
We consider Dyson Brownian motion for classical values of $\beta$ with deterministic initial data $V$. We prove that the local eigenvalue statistics coincide with the GOE/GUE in the fixed energy sense after time $t \gtrsim 1/N$ if the…
We consider the edge statistics of Dyson Brownian motion with deterministic initial data. Our main result states that if the initial data has a spectral edge with rough square root behavior down to a scale $\eta_* \geq N^{-2/3}$ and no…
We study Dyson Brownian motion with general potential $V$ and for general $\beta \geq 1$. For short times $t = o (1)$ and under suitable conditions on $V$ we obtain a local law and corresponding rigidity estimates on the particle locations;…
We consider the local statistics of $H = V^* X V + U^* Y U$ where $V$ and $U$ are independent Haar-distributed unitary matrices, and $X$ and $Y$ are deterministic real diagonal matrices. In the bulk, we prove that the gap statistics and…
In this paper, we compare the solutions of Dyson Brownian motion with general $\beta$ and potential $V$ and the associated McKean-Vlasov equation near the edge. Under suitable conditions on the initial data and potential $V$, we obtain the…
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
In this paper, we study the edge behavior of Dyson Brownian motion with general $\beta$. Specifically, we consider the scenario where the averaged initial density near the edge, on the scale $\eta_*$, is lower bounded by a square root…
This paper is the third chapter of three of the author's undergraduate thesis. In this paper, we study the convergence of local bulk statistics for linearized covariance matrices under Dyson's Brownian motion. We consider deterministic…
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…
The circular Dyson Brownian motion model refers to the stochastic dynamics of the log-gas on a circle. It also specifies the eigenvalues of certain parameter-dependent ensembles of unitary random matrices. This model is considered with the…
We establish high probability estimates on the eigenvalue locations of Brownian motion on the $N$-dimensional unitary group, as well as estimates on the number of eigenvalues lying in any interval on the unit circle. These estimates are…
The Dyson Brownian motion model for transistions to the CUE is considered. For initial eigenvalue probability density functions corresponding to the COE and CSE, the density-density correlation function between an eigenvalue at position…
We consider the $N$-particle noncolliding Bernoulli random walk --- a discrete time Markov process in $\mathbb{Z}^{N}$ obtained from a collection of $N$ independent simple random walks with steps $\in\{0,1\}$ by conditioning that they never…
We study the statistics of near-extreme events of Brownian motion (BM) on the time interval [0,t]. We focus on the density of states (DOS) near the maximum \rho(r,t) which is the amount of time spent by the process at a distance r from the…
We establish the consistency of a local time approximation of a diffusion at a sticky threshold based on high-frequency observations. First, we prove the result for sticky Brownian motion, and then extend it to It\^o diffusions with a…
We prove that the empirical law of eigenvalues of Brownian motion on the Lie Group $\mathrm{GL}(N,\mathbb{C})$ converges almost surely to a deterministic probability measure, characterized by a free stochastic differential equation. This…
In this article we establish some estimates related to the Gaussian densities and to Hermite polynomials in order to obtain an almost sure estimate for each term of the It\^{o}-Wiener expansion of the self-intersection local times of the…
In this paper we define Brownian local time as the almost sure limit of the local times of a nested sequence of simple, symmetric random walks. The limit is jointly continuous in $(t,x)$. The rate of convergence is $n^{\frac14} (\log…
For general $\beta \geq 1$, we consider Dyson Brownian motion at equilibrium and prove convergence of the extremal particles to an ensemble of continuous sample paths in the limit $N \to \infty$. For each fixed time, this ensemble is…
We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and…