Laguerre and Jacobi analogues of the Warren process

2016/10/05 by Yi Sun, Sun, Yi
Computer Science · Mathematics · #15B52 #60B10 (secondary) #60J60 (primary) #60K35 #82C22 #Bayesian Methods and Mixture Models #FOS: Mathematics #FOS: Physical sciences #Mathematical Physics (math-ph) #Probability (math.PR) #Random Matrices and Applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1610.01635

openalex publication_date 2016/10/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries

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