A PDE for the multi-time joint probability of the Airy process
arXiv:0711.3797
Abstract
This paper gives a PDE for multi-time joint probability of the Airy process, which generalizes Adler and van Moerbeke's result on the 2-time case. As an intermediate step, the PDE for the multi-time joint probability of the Dyson Brownian motion is also given.
21 pages