相关论文: Nonintersecting Brownian motions on the half-line …
We show that the squared maximal height of the top path among $N$ non-intersecting Brownian bridges starting and ending at the origin is distributed as the top eigenvalue of a random matrix drawn from the Laguerre Orthogonal Ensemble. This…
We consider finite collections of $N$ 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…
Consider a system of $N$ non-intersecting Brownian bridges in $[0,1]$, and let $\mathcal M_N(p)$ be the maximal height attained by the top path in the interval $[0,p]$, $p\in[0,1]$. It is known that, under a suitable rescaling, the…
We study a system of N non-intersecting Brownian motions on a line segment [0,L] with periodic, absorbing and reflecting boundary conditions. We show that the normalized reunion probabilities of these Brownian motions in the three models…
We study the extreme statistics of N non-intersecting Brownian motions (vicious walkers) over a unit time interval in one dimension. Using path-integral techniques we compute exactly the joint distribution of the maximum M and of the time…
We consider the diffusion scaling limit of the one-dimensional vicious walker model of Fisher and derive a system of nonintersecting Brownian motions. The spatial distribution of $N$ particles is studied and it is described by use of the…
In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy Process. The latter is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian…
We study the distribution of the supremum of the Airy process with $m$ wanderers minus a parabola, or equivalently the limit of the rescaled maximal height of a system of $N$ non-intersecting Brownian bridges as $N\to\infty$, where the…
In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the expansion of Brownian motion in this polynomial basis are…
We consider certain noncolliding interacting particle systems driven by Brownian noise. A key example is drifted Brownian motions conditioned not to intersect and related models of eigenvalues of Hermitian random matrices. We establish…
We study the Gaussian hermitian random matrix ensemble with an external matrix which has an arbitrary number of eigenvalues with arbitrary multiplicity. We compute the limiting eigenvalues correlations when the size of the matrix goes to…
Fractional Brownian motion is a non-Markovian Gaussian process $X_t$, indexed by the Hurst exponent $H$. It generalises standard Brownian motion (corresponding to $H=1/2$). We study the probability distribution of the maximum $m$ of the…
We study systems of interacting Brownian particles in one dimension constructed as the diffusion scaling limits of Fisher's vicious walk models. We define two types of nonintersecting Brownian motions, in which we impose no condition (resp.…
This paper is a step in the direction of understanding the behavior of non-intersecting Brownian motions on the real line, when the number of particles becomes large. Consider 2k non-intersecting Brownian motions, all starting at the…
The one-dimensional Brownian motion starting from the origin at time $t=0$, conditioned to return to the origin at time $t=1$ and to stay positive during time interval $0 < t < 1$, is called the Bessel bridge with duration 1. We consider…
Noncolliding diffusion processes reported in the present paper are $N$-particle systems of diffusion processes in one-dimension, which are conditioned so that all particles start from the origin and never collide with each other in a finite…
A family of random matrix ensembles interpolating between the GUE and the Ginibre ensemble of $n\times n$ matrices with iid centered complex Gaussian entries is considered. The asymptotic spectral distribution in these models is uniform in…
We consider fluctuations of the largest eigenvalues of the random matrix model $A+UBU^{*}$ where $A$ and $B$ are $N \times N$ deterministic Hermitian (or symmetric) matrices and $U$ is a Haar-distributed unitary (or orthogonal) matrix. We…
In the last decade there has been increasing interest in the fields of random matrices, interacting particle systems, stochastic growth models, and the connections between these areas. For instance, several objects appearing in the limit of…
We obtain Fisher-Hartwig asymptotics with root and jump type singularities in space-time under the law of the stationary Hermitian Ornstein-Uhlenbeck process, which serve as a dynamical generalization of earlier static results obtained by…