AIRY PROCESSES WITH WANDERERS AND NEW UNIVERSALITY CLASSES

被引:22
|
作者
Adler, Mark [1 ]
Ferrari, Patrik L. [3 ]
van Moerbeke, Pierre [1 ,2 ]
机构
[1] Brandeis Univ, Dept Math, Waltham, MA 02454 USA
[2] Catholic Univ Louvain, Dept Math, B-1348 Louvain, Belgium
[3] Univ Bonn, Inst Appl Math, D-53115 Bonn, Germany
来源
ANNALS OF PROBABILITY | 2010年 / 38卷 / 02期
关键词
Dyson's Brownian motion; Airy process; Pearcey process; extended kernels; random Hermitian ensembles; quintic kernel; coupled random matrices; RANDOM MATRICES; LARGEST EIGENVALUE; BROWNIAN-MOTION; EXTERNAL SOURCE; DISTRIBUTIONS; GROWTH; DYSON; PDES;
D O I
10.1214/09-AOP493
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Consider n + m nonintersecting Brownian bridges, with n of them leaving from 0 at time t = -1 and returning to 0 at time t = -1, while the m remaining ones (wanderers) go from m points a(i) to m points b(i). First, we keep m fixed and we scale a(i), b(i) appropriately with n. In the large-n limit, we obtain a new Airy process with wanderers, in the neighborhood of root 2n, the approximate location of the rightmost particle in the absence of wanderers. This new process is governed by an Airy-type kernel, with a rational perturbation. Letting the number m of wanderers tend to infinity as well, leads to two Pearcey processes about two cusps, a closing and an opening cusp, the location of the tips being related by an elliptic curve. Upon tuning the starting and target points, one can let the two tips of the cusps grow very close; this leads to a new process, which might be governed by a kernel, represented as a double integral involving the exponential of a quintic polynomial in the integration variables.
引用
收藏
页码:714 / 769
页数:56
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