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181
The Pearcey process
 Commun. Math. Phys
"... The extended Airy kernel describes the spacetime correlation functions for the Airy process, which is the limiting process for a polynuclear growth model. The Airy functions themselves are given by integrals in which the exponents have a cubic singularity, arising from the coalescence of two saddle ..."
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Cited by 43 (1 self)
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The extended Airy kernel describes the spacetime correlation functions for the Airy process, which is the limiting process for a polynuclear growth model. The Airy functions themselves are given by integrals in which the exponents have a cubic singularity, arising from the coalescence of two saddle points in an asymptotic analysis. Pearcey functions are given by integrals in which the exponents have a quartic singularity, arising from the coalescence of three saddle points. A corresponding Pearcey kernel appears in a random matrix model and a Brownian motion model for a fixed time. This paper derives an extended Pearcey kernel by scaling the Brownian motion model at several times, and a system of partial differential equations whose solution determines associated distribution functions. We expect there to be a limiting nonstationary process consisting of infinitely many paths, which we call the Pearcey process, whose spacetime correlation functions are expressible in terms of this extended kernel. I.
On the largest eigenvalue of Wishart matrices with identity covariance when n,p and p/n
, 2003
"... Let X be a n × p matrix and l1 the largest eigenvalue of the covariance matrix X ∗ X. The “null case ” where Xi,j ∼ N(0, 1) is of particular interest for principal component analysis. For this model, when n, p → ∞ and n/p → γ ∈ R ∗ +, it was shown in Johnstone (2001) that l1, properly centered and ..."
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Cited by 42 (6 self)
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Let X be a n × p matrix and l1 the largest eigenvalue of the covariance matrix X ∗ X. The “null case ” where Xi,j ∼ N(0, 1) is of particular interest for principal component analysis. For this model, when n, p → ∞ and n/p → γ ∈ R ∗ +, it was shown in Johnstone (2001) that l1, properly centered and scaled, converges to the TracyWidom law. We show that with the same centering and scaling, the result is true even when p/n or n/p → ∞, therefore extending the previous result to γ ∈ R+. The derivation uses ideas and techniques quite similar to the ones presented in Johnstone (2001). Following Soshnikov (2002), we also show that the same is true for the joint distribution of the k largest eigenvalues, where k is a fixed integer. Numerical experiments illustrate the fact that the TracyWidom approximation is reasonable even when one of the dimension is small. 1
Determinantal probability measures
, 2002
"... Determinantal point processes have arisen in diverse settings in recent years and have been investigated intensively. We initiate a detailed study of the discrete analogue, the most prominent example of which has been the uniform spanning tree measure. Our main results concern relationships with ma ..."
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Cited by 38 (4 self)
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Determinantal point processes have arisen in diverse settings in recent years and have been investigated intensively. We initiate a detailed study of the discrete analogue, the most prominent example of which has been the uniform spanning tree measure. Our main results concern relationships with matroids, stochastic domination, negative association, completeness for infinite matroids, tail triviality, and a method for extension of results from orthogonal projections to positive contractions. We also present several new avenues for further investigation, involving Hilbert spaces, combinatorics, homology,
Averages of characteristic polynomials in Random Matrix Theory
, 2004
"... We compute averages of products and ratios of characteristic polynomials associated with Orthogonal, Unitary, and Symplectic Ensembles of Random Matrix Theory. The pfaffian/determinantal formulas for these averages are obtained, and the bulk scaling asymptotic limits are found for ensembles with G ..."
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Cited by 35 (6 self)
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We compute averages of products and ratios of characteristic polynomials associated with Orthogonal, Unitary, and Symplectic Ensembles of Random Matrix Theory. The pfaffian/determinantal formulas for these averages are obtained, and the bulk scaling asymptotic limits are found for ensembles with Gaussian weights. Classical results for the correlation functions of the random matrix ensembles and their bulk scaling limits are deduced from these formulas by a simple computation. We employ a discrete approximation method: the problem is solved for discrete analogues of random matrix ensembles originating from representation theory, and then a limit transition is performed. Exact pfaffian/determinantal formulas for the discrete averages are proved using standard tools of linear algebra; no application of orthogonal or skeworthogonal polynomials is needed.
Noncolliding Brownian motion and determinantal processes
 J. STAT. PHYS
, 2007
"... A system of onedimensional Brownian motions (BMs) conditioned never to collide with each other is realized as (i) Dyson’s BM model, which is a process of eigenvalues of hermitian matrixvalued diffusion process in the Gaussian unitary ensemble (GUE), and as (ii) the htransform of absorbing BM in a ..."
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Cited by 29 (14 self)
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A system of onedimensional Brownian motions (BMs) conditioned never to collide with each other is realized as (i) Dyson’s BM model, which is a process of eigenvalues of hermitian matrixvalued diffusion process in the Gaussian unitary ensemble (GUE), and as (ii) the htransform of absorbing BM in a Weyl chamber, where the harmonic function h is the product of differences of variables (the Vandermonde determinant). The KarlinMcGregor formula gives determinantal expression to the transition probability density of absorbing BM. We show from the KarlinMcGregor formula, if the initial state is in the eigenvalue distribution of GUE, the noncolliding BM is a determinantal process, in the sense that any multitime correlation function is given by a determinant specified by a matrixkernel. By taking appropriate scaling limits, spatially homogeneous and inhomogeneous infinite determinantal processes are derived. We note that the determinantal processes related with noncolliding particle systems have a feature in common such that the matrixkernels are expressed using spectral projections of appropriate effective Hamiltonians. On the common structure of matrixkernels, continuity of processes in time is proved and general property of the determinantal processes is discussed.
Discrete gap probabilities and discrete Painlevé equations
 DUKE MATH J
, 2003
"... We prove that Fredholm determinants of the form det(1 − Ks), where Ks is the restriction of either the discrete Bessel kernel or the discrete 2F1kernel to {s, s + 1,...}, can be expressed, respectively, through solutions of discrete Painlevé II (dPII) and Painlevé V (dPV) equations. These Fredholm ..."
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Cited by 29 (6 self)
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We prove that Fredholm determinants of the form det(1 − Ks), where Ks is the restriction of either the discrete Bessel kernel or the discrete 2F1kernel to {s, s + 1,...}, can be expressed, respectively, through solutions of discrete Painlevé II (dPII) and Painlevé V (dPV) equations. These Fredholm determinants can also be viewed as distribution functions of the first part of the random partitions distributed according to a Poissonized Plancherel measure and a zmeasure, or as normalized Toeplitz determinants with symbols eη(ζ +ζ −1) and (1 + ξζ)
Gaussian fluctuation for the number of particles in Airy, Bessel, sine, and other determinantal random point
, 2000
"... We prove the Central Limit Theorem for the number of eigenvalues near the spectrum edge for hermitian ensembles of random matrices. To derive our results, we use a general theorem, essentially due to Costin and Lebowitz, concerning the Gaussian fluctuation of the number of particles in random point ..."
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Cited by 28 (1 self)
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We prove the Central Limit Theorem for the number of eigenvalues near the spectrum edge for hermitian ensembles of random matrices. To derive our results, we use a general theorem, essentially due to Costin and Lebowitz, concerning the Gaussian fluctuation of the number of particles in random point fields with determinantal correlation functions. As another corollary of CostinLebowitz Theorem we prove CLT for the empirical distribution function of the eigenvalues of random matrices from classical compact groups. 1 Introduction and Formulation of Results Random hermitian matrices were introduced in mathematical physics by Wigner in the fifties ([1], [2]). The main motivation of pioneers in this field 1 was to obtain a better understanding of the statistical behavior of energy levels of heavy nuclei. An archetypical example of random matrices is the
Multiple orthogonal polynomials of mixed type and nonintersecting Brownian motions
 J. Approx. Theory
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Nonequilibrium dynamics of Dyson’s model with infinite particles. arXiv:0812.4108
"... Abstract: Dyson’s model is a onedimensional system of Brownian motions with longrange repulsive forces acting between any pair of particles with strength proportional to the inverse of distances with proportionality constant β/2. We give sufficient conditions for initial configurations so that Dys ..."
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Cited by 27 (16 self)
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Abstract: Dyson’s model is a onedimensional system of Brownian motions with longrange repulsive forces acting between any pair of particles with strength proportional to the inverse of distances with proportionality constant β/2. We give sufficient conditions for initial configurations so that Dyson’s model with β = 2 and an infinite number of particles is well defined in the sense that any multitime correlation function is given by a determinant with a continuous kernel. The class of infinitedimensional configurations satisfying our conditions is large enough to study nonequilibrium dynamics. For example, we obtain the relaxation process starting from a configuration, in which every point of Z is occupied by one particle, to the stationary state, which is the determinantal point process with the sine kernel. 1