Extreme statistics of non-intersecting Brownian paths
Abstract
We consider finite collections of non-intersecting Brownian paths on the line and on the half-line with both absorbing and reflecting boundary conditions (corresponding to Brownian excursions and reflected Brownian motions) and compute in each case the joint distribution of the maximal height of the top path and the location at which this maximum is attained. The resulting formulas are analogous to the ones obtained in [MFQR13] for the joint distribution of and , where is the Airy process, and we use them to show that in the three cases the joint distribution converges, as , to the joint distribution of and . In the case of non-intersecting Brownian bridges on the line, we also establish small deviation inequalities for the argmax which match the tail behavior of . Our proofs are based on the method introduced in [CQR13,BCR15] for obtaining formulas for the probability that the top line of these line ensembles stays below a given curve, which are given in terms of the Fredholm determinant of certain "path-integral" kernels.
Keywords
Cite
@article{arxiv.1611.10294,
title = {Extreme statistics of non-intersecting Brownian paths},
author = {Gia Bao Nguyen and Daniel Remenik},
journal= {arXiv preprint arXiv:1611.10294},
year = {2020}
}
Comments
Minor corrections, improved exposition. To appear in Electron. J. Probab