Extreme value distributions of noncolliding diffusion processes

zbMath1232.15026arXiv1006.5779MaRDI QIDQ3100052

Minami Izumi, Makoto Katori

Publication date: 22 November 2011

Full work available at URL: https://arxiv.org/abs/1006.5779

zbMATH Keywords

Brownian bridgerandom matrixextreme value distributionspecial functionnoncolliding Brownian motionnoncolliding Brownian meandernoncolliding diffusion processenoncolliding three-dimensional Bessel bridge

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Statistics of extreme values; tail inference (62G32) Interacting particle systems in time-dependent statistical mechanics (82C22) Eigenvalues, singular values, and eigenvectors (15A18) Diffusion processes (60J60) Random matrices (algebraic aspects) (15B52)

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