Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary

Abstract

We compute analytically the probability $S(t)$ that a set of $N$ Brownian paths do not cross each other and stay below a moving boundary $g(\tau )=W\sqrt{\tau }$ up to time $t$. We show that for large $t$ it decays as a power law $S(t)\sim t^{-\beta (N,W)}$. The decay exponent $\beta (N,W)$ is obtained as the ground state energy of a quantum system of $N$ non-interacting fermions in a harmonic well in the presence of an infinite hard wall at position $W$. Explicit expressions for $\beta (N,W)$ are obtained in various limits of $N$ and $W$, in particular for large $N$ and large $W$. We obtain the joint distribution of the positions of the walkers in the presence of the moving barrier $g(\tau )=W\sqrt{\tau }$ at large time. We extend our results to the case of $N$ Dyson Brownian motions (corresponding to the Gaussian Unitary Ensemble) in the presence of the same moving boundary $g(\tau )=W\sqrt{\tau }$. For $W=0$ we show that the system provides a realization of a Laguerre biorthogonal ensemble in random matrix theory. We obtain explicitly the average density near the barrier, as well as in the bulk far away from the barrier. Finally we apply our results to $N$ non-crossing Brownian bridges on the interval $[0,T]$ under a time-dependent barrier $g_B(\tau )=W\sqrt{\tau (1-\frac{\tau }{T})}$.

arXiv comment44 pages, 13 figures

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