Determinantal martingales and noncolliding diffusion processes
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Publication:404593
DOI10.1016/j.spa.2014.06.002zbMath1296.60213arXiv1305.4412OpenAlexW1990799308MaRDI QIDQ404593
Publication date: 4 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.4412
martingalesrandom matrix theorydeterminantal processesharmonic Doob transformsnoncolliding diffusion processes
Interacting particle systems in time-dependent statistical mechanics (82C22) Brownian motion (60J65) Diffusion processes (60J60) Random matrices (algebraic aspects) (15B52) Martingales and classical analysis (60G46)
Related Items (15)
Critical behavior of nonintersecting Brownian motions at a tacnode ⋮ Partial isometries, duality, and determinantal point processes ⋮ Noncolliding system of continuous-time random walks ⋮ Elliptic determinantal processes and elliptic Dyson models ⋮ Strong Markov property of determinantal processes with extended kernels ⋮ Exact solution of interacting particle systems related to random matrices ⋮ Time-convergent random matrices from mean-field pinned interacting eigenvalues ⋮ Macdonald denominators for affine root systems, orthogonal theta functions, and elliptic determinantal point processes ⋮ Determinantal process starting from an orthogonal symmetry is a Pfaffian process ⋮ Elliptic determinantal process of type A ⋮ Captive diffusions and their applications to order-preserving dynamics ⋮ Elliptic Bessel processes and elliptic Dyson models realized as temporally inhomogeneous processes ⋮ Piecewise-tunneled captive processes and corridored random particle systems ⋮ Determinantal martingales and correlations of noncolliding random walks ⋮ On a family of coupled diffusions that can never change their initial order
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