Infinite-dimensional stochastic differential equations arising from Airy random point fields
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arXiv
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| Format: | Preprint |
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2014
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| author | Osada, Hirofumi Tanemura, Hideki |
| author_facet | Osada, Hirofumi Tanemura, Hideki |
| contents | The Airy$_{β}$ random point fields ($ β= 1,2,4$) are random point fields emerging as the soft-edge scaling limits of eigenvalues of Gaussian random matrices. We construct the unlabeled diffusion reversible with respect to the Airy$_{β}$ random point field for each $ β= 1,2,4$. We identify the infinite-dimensional stochastic differential equations (ISDEs) describing the labeled stochastic dynamics for the unlabeled diffusion mentioned above. We prove the existence and pathwise uniqueness of strong solutions of these ISDEs. Furthermore, the solution of the ISDE is the limit of the solutions of the stochastic differential equations describing the dynamics of the $ N $-particle system in the soft-edge limit. We thus establish the construction of the stochastic dynamics whose unlabeled dynamics are reversible with respect to the Airy random point fields.
When $ β=2 $, the solution equals the stochastic dynamics defined by the space-time correlation functions obtained by Prähofer--Spohn, Johansson, Katori--Tanemura, and Corwin--Hammond, among others. We develop a new method whereby these ISDEs have unique, strong solutions. We expect that our approach is valid for other soft-edge scaling limits of stochastic dynamics arising from the random matrix theory. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1408_0632 |
| institution | arXiv |
| publishDate | 2014 |
| record_format | arxiv |
| spellingShingle | Infinite-dimensional stochastic differential equations arising from Airy random point fields Osada, Hirofumi Tanemura, Hideki Probability Mathematical Physics 2010: 60B20, 60H10, 60J60, 60K35, 82C22 The Airy$_{β}$ random point fields ($ β= 1,2,4$) are random point fields emerging as the soft-edge scaling limits of eigenvalues of Gaussian random matrices. We construct the unlabeled diffusion reversible with respect to the Airy$_{β}$ random point field for each $ β= 1,2,4$. We identify the infinite-dimensional stochastic differential equations (ISDEs) describing the labeled stochastic dynamics for the unlabeled diffusion mentioned above. We prove the existence and pathwise uniqueness of strong solutions of these ISDEs. Furthermore, the solution of the ISDE is the limit of the solutions of the stochastic differential equations describing the dynamics of the $ N $-particle system in the soft-edge limit. We thus establish the construction of the stochastic dynamics whose unlabeled dynamics are reversible with respect to the Airy random point fields. When $ β=2 $, the solution equals the stochastic dynamics defined by the space-time correlation functions obtained by Prähofer--Spohn, Johansson, Katori--Tanemura, and Corwin--Hammond, among others. We develop a new method whereby these ISDEs have unique, strong solutions. We expect that our approach is valid for other soft-edge scaling limits of stochastic dynamics arising from the random matrix theory. |
| title | Infinite-dimensional stochastic differential equations arising from Airy random point fields |
| topic | Probability Mathematical Physics 2010: 60B20, 60H10, 60J60, 60K35, 82C22 |
| url | https://arxiv.org/abs/1408.0632 |