Determinantal Martingales and Interacting Particle Systems

Abstract

Determinantal process is a dynamical extension of a determinantal point process such that any spatio-temporal correlation function is given by a determinant specified by a single continuous function called the correlation kernel. Noncolliding diffusion processes are important examples of determinantal processes. In the present lecture, we introduce determinantal martingales and show that if the interacting particle system (IPS) has determinantal-martingale representation, then it becomes a determinantal process. From this point of view, the reason why noncolliding diffusion processes and noncolliding random walk are determinantal is simply explained by the fact that the harmonic transform with the Vandermonde determinant provides a proper determinantal martingale. Recently O'Connell introduced an interesting IPS, which can be regarded as a stochastic version of a quantum Toda lattice. It is a geometric lifting of the noncolliding Brownian motion and is not determinantal, but Borodin and Corwin discovered a determinant formula for a special observable for it. We also discuss this new topic from the present view-point of determinantal martingale.

AMS-LaTeX, 69 pages, no figure: a note prepared for the lectures at Faculty of Mathematics, Kyushu University, 24-28 June 2013

References in corpus (7)

• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• Differential Equations for Dyson Processes
• Littelmann paths and brownian paths
• Zeros of Airy Function and Relaxation Process
• Whittaker functions and related stochastic processes
• O'Connell's process as a vicious Brownian motion
• Survival probability of mutually killing Brownian motions and the O'Connell process