TY - JOUR

T1 - Complex Brownian motion representation of the Dyson model

AU - Katori, Makoto

AU - Tanemura, Hideki

PY - 2013/1/12

Y1 - 2013/1/12

N2 - Dyson's Brownian motion model with the parameter β = 2, which we simply call the Dyson model in the present paper, is realized as an h-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial configuration with a finite number of particles, we define a set of entire functions and introduce a martingale for a system of independent complex Brownian motions (CBMs), which is expressed by a determinant of a matrix with elements given by the conformal transformations of CBMs by the entire functions. We prove that the Dyson model can be represented by the system of independent CBMs weighted by this determinantal martingale. From this CBM representation, the Eynard-Mehta-type correlation kernel is derived and the Dyson model is shown to be determinantal. The CBM representation is a useful extension of h-transform, since it works also in infinite particle systems. Using this representation, we prove the tightness of a series of processes, which converges to the Dyson model with an infinite number of particles, and the noncolliding property of the limit process.

AB - Dyson's Brownian motion model with the parameter β = 2, which we simply call the Dyson model in the present paper, is realized as an h-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial configuration with a finite number of particles, we define a set of entire functions and introduce a martingale for a system of independent complex Brownian motions (CBMs), which is expressed by a determinant of a matrix with elements given by the conformal transformations of CBMs by the entire functions. We prove that the Dyson model can be represented by the system of independent CBMs weighted by this determinantal martingale. From this CBM representation, the Eynard-Mehta-type correlation kernel is derived and the Dyson model is shown to be determinantal. The CBM representation is a useful extension of h-transform, since it works also in infinite particle systems. Using this representation, we prove the tightness of a series of processes, which converges to the Dyson model with an infinite number of particles, and the noncolliding property of the limit process.

KW - Complex Brownian motions

KW - Conformal martingales

KW - Determinantal process

KW - Dyson model

KW - Entire functions

KW - H-transform

KW - Noncolliding property

KW - Tightness

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U2 - 10.1214/ECP.v18-2554

DO - 10.1214/ECP.v18-2554

M3 - Article

AN - SCOPUS:84873338338

VL - 18

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

SN - 1083-589X

ER -