Strong Markov property of determinantal processes with extended kernels

Hirofumi Osada, Hideki Tanemura

研究成果: Article査読

7 被引用数 (Scopus)

抄録

Noncolliding Brownian motion (Dyson's Brownian motion model with parameter β=2) and noncolliding Bessel processes are determinantal processes; that is, their space-time correlation functions are represented by determinants. Under a proper scaling limit, such as the bulk, soft-edge and hard-edge scaling limits, these processes converge to determinantal processes describing systems with an infinite number of particles. The main purpose of this paper is to show the strong Markov property of these limit processes, which are determinantal processes with the extended sine kernel, extended Airy kernel and extended Bessel kernel, respectively. We also determine the quasi-regular Dirichlet forms and infinite-dimensional stochastic differential equations associated with the determinantal processes.

本文言語English
ページ(範囲)186-208
ページ数23
ジャーナルStochastic Processes and their Applications
126
1
DOI
出版ステータスPublished - 2016 1 1
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • モデリングとシミュレーション
  • 応用数学

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