Non-Markov property of certain eigenvalue processes analogous to Dyson's model

Abstract

It is proven that the eigenvalue process of Dyson's random matrix process of size two becomes non-Markov if the common coefficient $1/\sqrt{2}$ in the non-diagonal entries is replaced by a different positive number.

8 pages, To appear in Proceedings of the 1st MSJ-SI, "Probabilistic Approach to Geometry", Adv. Stud. Pure Math., Math. Soc. Japan

References in corpus (1)

• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems

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