Dyson's Brownian motions, intertwining and interlacing

Abstract

A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.

13 pages

References in corpus (2)

• The Brownian web: Characterization and convergence
• Balls-in-boxes duality for coalescing random walks and coalescing Brownian motions