相关论文: Some exact correlations in the Dyson Brownian moti…
The circular Dyson Brownian motion model refers to the stochastic dynamics of the log-gas on a circle. It also specifies the eigenvalues of certain parameter-dependent ensembles of unitary random matrices. This model is considered with the…
In this letter we present an analytic method for calculating the transition probability between two random Gaussian matrices with given eigenvalue spectra in the context of Dyson Brownian motion. We show that in the Coulomb gas language, in…
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 analyze the rate of convergence of the local statistics of Dyson Brownian motion to the GOE/GUE for short times $t=o(1)$ with deterministic initial data V . Our main result states that if the density of states of $V$ is bounded both…
Circular Brownian motion models of random matrices were introduced by Dyson and describe the parametric eigenparameter correlations of unitary random matrices. For symmetric unitary, self-dual quaternion unitary and an analogue of…
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…
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 present a theory for the steady-state dynamics of a two-dimensional system of spherically symmetric active Brownian particles. The derivation of the theory consists of two steps. First, we integrate out the self-propulsions and obtain a…
Recent applications in queuing theory and statistical mechanics have isolated the process formed by the eigenvalues of successive minors of the GUE. Analogous eigenvalue processes, formed in general from the eigenvalues of nested sequences…
In a recent work the present authors have shown that the eigenvalue probability density function for Dyson Brownian motion from the identity on $U(N)$ is an example of a newly identified class of random unitary matrices called cyclic…
The diffusion coefficient--a measure of dissipation, and the entropy--a measure of fluctuation are found to be intimately correlated in many physical systems. Unlike the fluctuation dissipation theorem in linear response theory, the…
Eigenvalue correlations of random matrix ensembles as a function of an external perturbation are investigated vis the Dyson Brownian Motion Model in the situation where the level density has a hard edge singularity. By solving a linearized…
We present a modified Brownian motion model for random matrices where the eigenvalues (or levels) of a random matrix evolve in "time" in such a way that they never cross each other's path. Also, owing to the exact integrability of the level…
This paper is devoted to generalize some previous results presented in Gaioli et al., Int. J. Theor. Phys. 36, 2167 (1997). We evaluate the autocorrelation function of the stochastic acceleration and study the asymptotic evolution of the…
In this paper we study mesoscopic fluctuations for Dyson's Brownian motion with $\beta=2$. Dyson showed that the Gaussian Unitary Ensemble (GUE) is the invariant measure for this stochastic evolution and conjectured that, when starting from…
This paper is the third chapter of three of the author's undergraduate thesis. In this paper, we study the convergence of local bulk statistics for linearized covariance matrices under Dyson's Brownian motion. We consider deterministic…
Dyson's Brownian motion model with the parameter $\beta=2$, which we simply call the Dyson model in the present paper, is realized as an $h$-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial…
Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…
The Dyson Brownian Motion (DBM) describes the stochastic evolution of $N$ points on the line driven by an applied potential, a Coulombic repulsion and identical, independent Brownian forcing at each point. We use an explicit tamed Euler…
We prove eigenvalue processes from dynamical random matrix theory including Dyson Brownian motion, Wishart process, and Dynkin's Brownian motion of ellipsoids are results of projecting Brownian motion through Riemannian submersions induced…