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Maximum of Dyson Brownian motion and non-colliding systems with a boundary
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Borodin, Alexei, Ferrari, Patrik L., Prähofer, Michael, Sasamoto, Tomohiro and Warren, Jon (2009) Maximum of Dyson Brownian motion and non-colliding systems with a boundary. Electronic communications in probability, Vol.14 (No.47). pp. 486-494. doi:10.1214/ECP.v14-1503 ISSN 1083-589X.
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Official URL: http://dx.doi.org/10.1214/ECP.v14-1503
Abstract
We prove an equality-in-law relating the maximum of GUE Dyson's Brownian motion and the non-colliding systems with a wall. This generalizes the well known relation between the maximum of a Brownian motion and a reflected Brownian motion.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Brownian motion processes | ||||
Journal or Publication Title: | Electronic communications in probability | ||||
Publisher: | University of Washington. Dept. of Mathematics | ||||
ISSN: | 1083-589X | ||||
Official Date: | 1 November 2009 | ||||
Dates: |
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Volume: | Vol.14 | ||||
Number: | No.47 | ||||
Number of Pages: | 9 | ||||
Page Range: | pp. 486-494 | ||||
DOI: | 10.1214/ECP.v14-1503 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Funder: | National Science Foundation (U.S.) (NSF), Japan. Monbu Kagakushō [Japan. Ministry of Education, Culture, Sports, Science and Technology] (MK) | ||||
Grant number: | DMS-0707163 (NSF) |
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