Laguerre and Jacobi analogues of the Warren process

Abstract

We define Laguerre and Jacobi analogues of the Warren process. That is, we construct local dynamics on a triangular array of particles so that the projections to each level recover the Laguerre and Jacobi eigenvalue processes of König-O'Connell and Doumerc and the fixed time distributions recover the joint distribution of eigenvalues in multilevel Laguerre and Jacobi random matrix ensembles. Our techniques extend and generalize the framework of intertwining diffusions developed by Pal-Shkolnikov. One consequence is the construction of particle systems with local interactions whose fixed time distribution recovers the hard edge of random matrix theory. An appendix by Andrey Sarantsev establishes strong existence and uniqueness for solutions to SDER's satisfied by these processes.

45 pages. v2: major revision, with an appendix by Andrey Sarantsev

References in corpus (3)

• The Laguerre process and generalized Hartman--Watson law
• Interlacing Diffusions
• On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries