相关论文: Dyson Brownian Motion and motion by mean curvature
We consider the problem of strong existence and uniqueness of a Brownian motion forced to stay in the quadrant by an electrostatic repulsion from the sides that works obliquely. The results are reminiscent of the study of a Brownian motion…
We offer an alternative viewpoint on Dyson's original paper regarding the application of Brownian motion to random matrix theory (RMT). In particular we show how one may use the same approach in order to study the stochastic motion in the…
We obtain the uniform convergence rate for the Gaussian fluctuation of the radial part of the Brownian motion on a hyperbolic space. We also show that this result is sharp if the dimension of the hyperbolic space is two or general odd. Our…
In this paper, we consider tridiagonal matrices the eigenvalues of which evolve according to $\beta$-Dyson Brownian motion. This is the stochastic gradient flow on $\mathbb{R}^n$ given by, for all $1 \leq i \leq n,$ \[ d\lambda_{i,t} =…
We introduce multilevel versions of Dyson Brownian motions of arbitrary parameter $\beta>0$, generalizing the interlacing reflected Brownian motions of Warren for $\beta=2$. Such processes unify $\beta$ corners processes and Dyson Brownian…
Dyson's model is a one-dimensional system of Brownian motions with long-range repulsive forces acting between any pair of particles with strength proportional to the inverse of distances with proportionality constant $\beta/2$. We give…
Brownian motion is modelled by a harmonic oscillator (Brownian particle) interacting with a continuous set of uncoupled harmonic oscillators. The interaction is linear in the coordinates and the momenta. The model has an analytical solution…
We show that for all positive beta the semigroups of beta-Dyson Brownian motions of different dimensions are intertwined. The proof relates beta-Dyson Brownian motions directly to Jack symmetric polynomials and omits an approximation of the…
Given a submersion $\phi: M \to N$, where $M$ is Riemannian, we construct a stochastic process $X$ on $M$ such that the image $Y:=\phi(X)$ is a (reversed, scaled) mean curvature flow of the fibers of the submersion. The model example is the…
The purpose of this paper is to construct a Brownian motion $X := (X_t)_{t\geq 0}$ taking values in a Riemannian manifold $M$, together with a compact valued process $D:= (D_t)_{t\geq 0}$ such that, at least for small enough ${\mathscr…
In active Brownian motion, an internal propulsion mechanism interacts with translational and rotational thermal noise and other internal fluctuations to produce directed motion. We derive the distribution of its extreme fluctuations 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…
The eigenvalue spectrum of the sum of large random matrices that are mutually "free", i.e., randomly rotated, can be obtained using the formalism of R-transforms, with many applications in different fields. We provide a direct…
The general covariance of the diffusion equation is exploited in order to explore the curvature effects appearing on brownian motion over a d-dimensional curved manifold. We use the local frame defined by the so called Riemann normal…
Brownian motions in the infinite-dimensional group of all unitary operators are studied under strong continuity assumption rather than norm continuity. Every such motion can be described in terms of a countable collection of independent…
To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{\beta Z_t}, \beta >0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $ \alpha \geq 0$ which…
Multilevel Dyson Brownian motions (MDBMs) combine Dyson Brownian motions of different dimensions into a single process in a canonical way. This paper completes the theory of MDBMs for $\beta\ge2$. Specifically, we use the superposition…
We develop a theory of Brownian motion of a massive particle, including the effects of inertia (Kramers' problem), in spaces with curvature and torsion. This is done by invoking the recently discovered generalized equivalence principle,…
We study the influence of the intrinsic curvature on the large time behaviour of the heat equation in a tubular neighbourhood of an unbounded geodesic in a two-dimensional Riemannian manifold. Since we consider killing boundary conditions,…
A new type of Coulomb gas is defined, consisting of arbitrary numbers of point charges of two species executing Brownian motions under the influence of their mutual electrostatic repulsion. Being a generalization of a model of identical…