Warren, Jon. (2007) Dyson's Brownian motions, intertwining and interlacing. Electronic Journal of Probability, Vol.12 . pp. 573-590. ISSN 1083-6489

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Abstract

A reflected Brownian motion in the Gelfand-Tsetlin cone is used to construct Dyson's process of non-colliding Brownian motions. The key step of the construction is to consider two interlaced families of Brownian paths with paths belonging to the second family reflected off paths belonging to the first. Such families of paths are known to arise in the Arratia flow of coalescing Brownian motions. A determinantal formula for the distribution of coalescing Brownian motions is presented.

Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Brownian motion processes
Journal or Publication Title:	Electronic Journal of Probability
Publisher:	University of Washington. Dept. of Mathematics
ISSN:	1083-6489
Date:	2007
Volume:	Vol.12
Number of Pages:	18
Page Range:	pp. 573-590
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/32057

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