相关论文: The transition between the gap probabilities from …
Solutions of the discrete Painlev\'e II hierarchy are shown to be in relation with a family of Toeplitz determinants describing certain quantities in multicritical random partitions models, for which the limiting behavior has been recently…
The parabolic Airy process is the Airy$_2$ process minus a parabola, initially defined by its finite-dimensional distributions, which are given by a Fredholm determinant formula with the extended Airy kernel. This process is also the…
We elaborate a systematic way to obtain higher order contributions in the nonlinear steepest descent method for Riemann-Hilbert problem associated with homogeneous Painleve II equation. The problem is reformulated as a matrix factorization…
We study double integral representations of Christoffel-Darboux kernels associated with two examples of Hermite-type matrix orthogonal polynomials. We show that the Fredholm determinants connected with these kernels are related through the…
We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We…
For $n$ equidistant observations of a L\'evy process at time distance $\Delta_n$ we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner.…
We present a systematic study of higher-order Airy-type differential equations providing the explicit form of the solutions, deriving their power series expansions and a probabilistic interpretation. Under suitable convergence hypotheses,…
The Riemann-Hilbert method is employed to carry out an asymptotic analysis of a family of $\sigma$-Painlev\'e V functions associated with Hankel determinants involving the confluent hypergeometric function of the second kind. In the…
In this paper, we develop a Riemann-Hilbert (RH) approach to the Cauchy problem for the two-component modified Camassa-Holm (2-mCH) equation based on its Lax pair. Further via a series of deformations to the RH problem by using the…
In a celebrated paper, Dyson shows that the spectrum of an n\times n random Hermitian matrix, diffusing according to an Ornstein-Uhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge…
At a typical cusp point of the disordered region in a random tiling model we expect to see a determinantal process called the Pearcey process in the appropriate scaling limit. However, in certain situations another limiting point process…
We present a perturbation theory by extending a prescription due to Feynman for computing the probability density function for the random flight motion. The method can be applied to a wide variety of otherwise difficult circumstances. The…
From a specific series of exchange conditions for a one-parameter Hamiltonian vector field, we establish an integrable hierarchy using Lax pairs derived from the dispersionless partial differential equation. An exterior differential form of…
An explicit Fredholm determinant formula is derived for the multipoint distribution of the height function of the totally asymmetric simple exclusion process (TASEP) with arbitrary right-finite initial condition. The method is by solving…
Hawkes process are very popular mathematical tools for modelling phenomena exhibiting a \textit{self-exciting} or \textit{self-correcting} behaviour. Typical examples are earthquakes occurrence, wild-fires, drought, capture-recapture, crime…
The Bessel process models the local eigenvalue statistics near $0$ of certain large positive definite matrices. In this work, we consider the probability \begin{align*} \mathbb{P}\Big( \mbox{there are no points in the Bessel process on }…
In recent developments, a general approach for solving Riemann--Hilbert problems numerically has been developed. We review this numerical framework, and apply it to the calculation of orthogonal polynomials on the real line. Combining this…
We obtain a formula for the $n$-dimensional distributions of the Airy$_1$ process in terms of a Fredholm determinant on $L^2(\rr)$, as opposed to the standard formula which involves extended kernels, on $L^2(\{1,...,n\}\times\rr)$. The…
We find the probability of two gaps of the form $(sc,sb)\cup (sa,+\infty)$, $c<b<a<0$, for large $s>0$, in the edge scaling limit of the Gaussian Unitary Ensemble of random matrices, including the multiplicative constant in the asymptotics.
The purpose of this article is to develop a theory behind the occurrence of "path-integral" kernels in the study of extended determinantal point processes and non-intersecting line ensembles. Our first result shows how determinants…