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The first passage time process of a L\'evy subordinator with heavy-tailed L\'evy measure has long-range dependent paths. The random fluctuations that appear under two natural schemes of summation and time scaling of such stochastic…
We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…
Consider non-intersecting Brownian motions on the line leaving from the origin and forced to two arbitrary points. Letting the number of Brownian particles tend to infinity, and upon rescaling, there is a point of bifurcation, where the…
It is known that after scaling a random Motzkin path converges to a Brownian excursion. We prove that the fluctuations of the counting processes of the ascent steps, the descent steps and the level steps converge jointly to linear…
We present a survey of techniques to obtain upper bounds for the variance of the passage time in first-passage percolation. The methods discussed are a combination of tools from the theory of concentration of measure, some of which we…
In this work the dynamics of a freely jointed random chain which fluctuates at constant temperature in some viscous medium is studied. The chain is regarded as a system of small particles which perform a brownian motion and are subjected to…
While originally discovered in the context of the Gaussian Unitary Ensemble, the Tracy-Widom distribution also rules the height fluctuations of growth processes. This suggests that there might be other nonequilibrium processes in which the…
Height fluctuations are studied in the one-dimensional totally asymmetric simple exclusion process with periodic boundaries, with a focus on how late time relaxation towards the non-equilibrium steady state depends on the initial condition.…
Fluctuations from a hydrodynamic limit of a one-dimensional asymmetric system come at two levels. On the central limit scale n^{1/2} one sees initial fluctuations transported along characteristics and no dynamical noise. The second order of…
A matrix random walk is a stochastic process of the form $B_k = (I+A_1)\cdots(I+A_k)$ where $A_j$ are independent ``step'' matrices in $\mathrm{M}_N(\mathbb{C})$. With the right entry-covariance, a rescaled matrix random walk converges to…
Let $A$ and $B$ be independent, central Wishart matrices in $p$ variables with common covariance and having $m$ and $n$ degrees of freedom, respectively. The distribution of the largest eigenvalue of $(A+B)^{-1}B$ has numerous applications…
We investigate the stochastic motion of a Brownian particle in the harmonic potential with a time-dependent force constant. It may describe the motion of a colloidal particle in an optical trap where the potential well is formed by a…
We study the fluctuations of the area $A(t)= \int_0^t x(\tau)\, d\tau$ under a self-similar Gaussian process (SGP) $x(\tau)$ with Hurst exponent $H>0$ (e.g., standard or fractional Brownian motion, or the random acceleration process) that…
We investigate the asymptotic fluctuation of three interacting particle systems: the geometric q-TASEP, the geometric q-PushTASEP and the q-PushASEP. We prove that the rescaled particle position converges to the GUE Tracy-Widom distribution…
A Brownian motion model is proposed to study parametric correlations in the transmission eigenvalues of open ballistic cavities. We find interesting universal properties when the eigenvalues are rescaled at the hard edge of the spectrum. We…
We consider small-time asymptotics for diffusion processes conditioned by their initial and final positions, under the assumption that the diffusivity has a sub-Riemannian structure, not necessarily of constant rank. We show that, if the…
Superconducting transitions are driven by thermal fluctuations close to the transition temperature, Tc. These fluctuations are averaged out in global measurements, leaving imprints on susceptibility and resistance measurements. Here, we use…
We develop a new semiclassical approach, which starts with the density matrix given by the Euclidean time path integral with fixed coinciding endpoints, and proceed by identifying classical (minimal Euclidean action) path, to be referred to…
We study the rate of convergence for the largest eigenvalue distributions in the Gaussian unitary and orthogonal ensembles to their Tracy-Widom limits. We show that one can achieve an $O(N^{-2/3})$ rate with particular choices of the…
The totally asymmetric simple exclusion process (TASEP) on the one-dimensional lattice with the Bernoulli \rho measure as initial conditions, 0<\rho<1, is stationary in space and time. Let N_t(j) be the number of particles which have…