From the Pearcey to the Airy Process.

Mark Adler (Brandeis University)
Mattia Cafasso (Université de Montréal)
Pierre van Moerbeke (Université Catholique de Louvain)

Abstract


Putting dynamics into random matrix models leads to finitely many nonintersecting Brownian motions on the real line for the eigenvalues, as was discovered by Dyson. Applying scaling limits to the random matrix models, combined with Dyson's dynamics, then leads to interesting, infinite-dimensional diffusions for the eigenvalues. This paper studies the relationship between two of the models, namely the Airy and Pearcey processes and more precisely shows how to approximate the multi-time statistics for the Pearcey process by the one of the Airy process with the help of a PDE governing the gap probabilities for the Pearcey process.

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Pages: 1048-1064

Publication Date: June 1, 2011

DOI: 10.1214/EJP.v16-898

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