Noncolliding Brownian Motion and Determinantal Processes

Abstract

A system of one-dimensional Brownian motions (BMs) conditioned never to collide with each other is realized as (i) Dyson's BM model, which is a process of eigenvalues of hermitian matrix-valued diffusion process in the Gaussian unitary ensemble (GUE), and as (ii) the $h$-transform of absorbing BM in a Weyl chamber, where the harmonic function $h$ is the product of differences of variables (the Vandermonde determinant). The Karlin-McGregor formula gives determinantal expression to the transition probability density of absorbing BM. We show from the Karlin-McGregor formula, if the initial state is in the eigenvalue distribution of GUE, the noncolliding BM is a determinantal process, in the sense that any multitime correlation function is given by a determinant specified by a matrix-kernel. By taking appropriate scaling limits, spatially homogeneous and inhomogeneous infinite determinantal processes are derived. We note that the determinantal processes related with noncolliding particle systems have a feature in common such that the matrix-kernels are expressed using spectral projections of appropriate effective Hamiltonians. On the common structure of matrix-kernels, continuity of processes in time is proved and general property of the determinantal processes is discussed.

v3: LaTeX, 43 pages, no figure, minor corrections made for publication in J. Stat. Phys

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• The Pearcey Process
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• Fluctuations of a one-dimensional polynuclear growth model in a half space
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Cited by in corpus (3)

• Maximum distributions of bridges of noncolliding Brownian paths
• Two Bessel Bridges Conditioned Never to Collide, Double Dirichlet Series, and Jacobi Theta Function
• Correlation function of the Schur process with a fixed final partition