Non-colliding Brownian particles in one dimension is studied. $N$ Brownian particles start from the origin at time 0 and then they do not collide with each other until finite time $T$. We derive the determinantal expressions for the multitime correlation functions using the self-dual quaternion matrices. We consider the scaling limit of the infinite particles $N \to \infty$ and the infinite time interval $T \to \infty$. Depending on the scaling, two limit theorems are proved for the multitime correlation functions, which may define temporally inhomogeneous infinite particle systems.
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.
In the paper [7] we studied the temporally inhomogeneous system of non-colliding Brownian motions and proved that multi-time correlation functions are generally given by the quaternion determinants in the sense of Dyson and Mehta. In this report we give another proof of the equivalent statement using Fredholm determinant and Fredholm pfaffian, and claim that the present system is a typical example of pfaffian processes.
We consider non-colliding Brownian motions with two starting points and two endpoints. The points are chosen so that the two groups of Brownian motions just touch each other, a situation that is referred to as a tacnode. The extended kernel for the determinantal point process at the tacnode point is computed using new methods and given in a different form from that obtained for a single time in previous work by Delvaux, Kuijlaars and Zhang. The form of the extended kernel is also different from that obtained for the extended tacnode kernel in another model by Adler, Ferrari and van Moerbeke. W…
We consider non-colliding Brownian bridges starting from two points and returning to the same position. These positions are chosen such that, in the limit of large number of bridges, the two families of bridges just touch each other forming a tacnode. We obtain the limiting process at the tacnode, the "asymmetric tacnode process". It is a determinantal point process with correlation kernel given by two parameters: (1) the curvature's ratio λ>0 of the limit shapes of the two families of bridges, (2) a parameter σcontrolling the interaction on the fluctuation scale. This generalizes the result f…
We prove tightness and limiting Brownian-Gibbs description for line ensembles of non-colliding Brownian bridges above a hard wall, which are subject to geometrically growing self-potentials of tilted area type. Statistical properties of the resulting ensemble are very different from that of non-colliding Brownian bridges without self-potentials. The model itself was introduced in order to mimic level lines of (2+1)-dimensional discrete Solid-On-Solid random interfaces above a hard wall.
We prove that self-diffusion constants of interacting Brownian particles in $ \mathbb{R}$ always vanish if the particles do not collide with each other. We represent self-diffusion constants by additive functionals of reversible Markov processes as obtained in O. 1998.
We introduce a semi-implicit Euler-Maruyama approximation which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particles systems with nearest neighbour repulsion, and study its rates of convergence in both $L^p$-norm and path-wise sense.
The present paper is concerned with properties of multiple Schramm--Loewner evolutions (SLEs) labelled by a parameter $κ\in (0,8]$. Specifically, we consider the solution of the multiple Loewner equation driven by a time change of Dyson's Brownian motions in the non-colliding regime. Although it is often considered that several properties of the solution can be studied by means of commutation relations of SLEs and the absolute continuity, this method is available only in the case that the curves generated by commuting SLEs are separated. Beyond this restriction, it is not even obvious that the…
We consider tightness for families of non-colliding Brownian bridges above a hard wall, which are subject to geometrically growing self-potentials of tilted area type. The model is introduced in order to mimic level lines of $2+1$ discrete Solid-On-Solid random interfaces above a hard wall.
In this article, we study multiple $SLE_κ$, for $κ\in(0,4]$, driven by Dyson Brownian motion. This model was introduced in the unit disk by Cardy in connection with the Calogero-Sutherland model. We prove the Carathéodory convergence of perturbed Loewner chains under different initial conditions and under different diffusivity $κ\in (0,4]$ for the case of $N=2$ driving forces. Our proofs use the analysis of Bessel processes and estimates on Loewner differential equation with multiple driving forces. In the last section, we estimate the Hausdorff distance of the hulls under perturbations of the…
A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.
Let $n$ particles move in standard Brownian motion in one dimension, with the process terminating if two particles collide. This is a specific case of Brownian motion constrained to stay inside a Weyl chamber; the Weyl group for this chamber is $A_{n-1}$, the symmetric group. For any starting positions, we compute a determinant formula for the density function for the particles to be at specified positions at time $t$ without having collided by time $t$. We show that the probability that there will be no collision up to time $t$ is asymptotic to a constant multiple of $t^{-n(n-1)/4}$ as $t$ go…
In this paper, we use Malliavin calculus to show the existence and continuity of density functions of $d$-dimensional non-colliding particle systems such as hyperbolic particle systems and Dyson Brownian motion with smooth drift. For this purpose, we apply results proved by Florit and Nualart (1995) and Naganuma (2013) on locally non-degenerate Wiener functionals.
Yor's generalized meander is a temporally inhomogeneous modification of the $2(ν+1)$-dimensional Bessel process with $ν> -1$, in which the inhomogeneity is indexed by $κ\in [0, 2(ν+1))$. We introduce the non-colliding particle systems of the generalized meanders and prove that they are the Pfaffian processes, in the sense that any multitime correlation function is given by a Pfaffian. In the infinite particle limit, we show that the elements of matrix kernels of the obtained infinite Pfaffian processes are generally expressed by the Riemann-Liouville differintegrals of functions comprising the…
This paper is based on the talk in "Probability Symposium" at Research Institute of Mathematical Sciences (Kyoto University) on 2013/12/18, and gives an announcement of some parts of the results in [1,8,10,11]. We show two instances of dynamical rigidity of Ginibre interacting Brownian motion in infinite dimensions. This stochastic dynamics is given by the infinite-dimensional stochastic differential equation describing infinite-many Brownian particles in the plane interacting through two-dimensional Coulomb potential. The first dynamical rigidity is that the Ginibre interacting Brownian motio…
We solve infinite-dimensional stochastic differential equations (ISDEs) describing an infinite number of Brownian particles interacting via two-dimensional Coulomb potentials. The equilibrium states of the associated unlabeled stochastic dynamics are the Ginibre random point field and Dyson's measures, which appear in random matrix theory. To solve the ISDEs we establish an integration by parts formula for these measures. Because the long-range effect of two-dimensional Coulomb potentials is quite strong, the properties of Brownian particles interacting with two-dimensional Coulomb potentials …
We consider Gibbs measures relative to Brownian motion of Feynman-Kac type, with single site potential V. We show that for a large class of V, including the Coulomb potential, there exist infinitely many infinite volume Gibbs measures.
We present general theorems solving the long-standing problem of the existence and pathwise uniqueness of strong solutions of infinite-dimensional stochastic differential equations (ISDEs) called interacting Brownian motions. These ISDEs describe the dynamics of infinite-many Brownian particles moving in $ \mathbb{R}^d $ with free potential $ Φ$ and mutual interaction potential $ Ψ$. We apply the theorems to essentially all interaction potentials of Ruelle's class such as the Lennard-Jones 6-12 potential and Riesz potentials, and to logarithmic potentials appearing in random matrix theory. We …
We investigate the construction of diffusions consisting of infinitely numerous Brownian particles moving in $\mathbb{R}^d$ and interacting via logarithmic functions (two-dimensional Coulomb potentials). These potentials are very strong and act over a long range in nature. The associated equilibrium states are no longer Gibbs measures. We present general results for the construction of such diffusions and, as applications thereof, construct two typical interacting Brownian motions with logarithmic interaction potentials, namely the Dyson model in infinite dimensions and Ginibre interacting Bro…
We give a new sufficient condition of the quasi-Gibbs property. This result is a refinement of one given in a previous paper (\cite{o.rm}), and will be used in a forth coming paper to prove the quasi-Gibbs property of Airy random point fields (RPFs) and other RPFs appearing under soft-edge scaling. The quasi-Gibbs property of RPFs is one of the key ingredients to solve the associated infinite-dimensional stochastic differential equation (ISDE). Because of the divergence of the free potentials and the interactions of the finite particle approximation under soft-edge scaling, the result of the p…
We consider an infinite system of non overlapping globules undergoing Brownian motions in R^3. The term globules means that the objects we are dealing with are spherical, but with a radius which is random and time-dependent. The dynamics is modelized by an infinite-dimensional Stochastic Differential Equation with local time. Existence and uniqueness of a strong solution is proven for such an equation with fixed deterministic initial condition. We also find a class of reversible measures.
With the help of the Gauss-Laplace transform for the exit time from a cone of planar Brownian motion, we obtain some infinite divisibility properties for the reciprocal of this exit time.
We review probabilistic approaches to the Gross-Pitaevskii theory describing interacting dilute systems of particles. The main achievement are large deviations principles for the mean occupation measure of a large system of interacting Brownian motions in a trapping potential. The corresponding rate functions are given as variational problems whose solution provide effective descriptions of the infinite system.
We construct a measure valued Markov process which we call infinite canonical super-Brownian motion, and which corresponds to the canonical measure of super-Brownian motion conditioned on non-extinction. Infinite canonical super-Brownian motion is a natural candidate for the scaling limit of various random branching objects on $\Z^d$ when these objects are (a) critical; (b) mean-field and (c) infinite. We prove that ICSBM is the scaling limit of the spread-out oriented percolation incipient infinite cluster above 4 dimensions and of incipient infinite branching random walk in any dimension. We…
Consider the infinite Atlas model: a semi-infinite collection of particles driven by independent standard Brownian motions with zero drifts, except for the bottom-ranked particle which receives unit drift. We derive a continuum one-parameter family of product-of-exponentials stationary gap distributions, with exponentially growing density at infinity. This result shows that there are infinitely many stationary gap distributions for the Atlas model, and hence resolves a conjecture of Pal and Pitman (2008) in the negative. This result is further generalized for infinite systems of competing Brow…
In this paper we study the controllability results of impulsive neutral stochastic functional differential equations with infinite delay driven by fractional Brownian motion in a real separable Hilbert space. The controllability results are obtained using stochastic analysis and a fixed-point strategy. Finally, an illustrative example is provided to demonstrate the effectiveness of the theoretical result.
The paper identifies families of quasi-stationary initial conditions for infinite Brownian particle systems within a large class and provides a construction of the particle systems themselves started from such initial conditions. Examples of particle systems falling into our framework include Brownian versions of TASEP-like processes such as the diffusive scaling limit of the q-TASEP process. In this context the spacings between consecutive particles form infinite-dimensional versions of the softly reflected Brownian motions recently introduced in the finite-dimensional setting by O'Connell an…
Parametric and nonparametric inference for stochastic processes driven by a fractional Brownian motion were investigated in Mishura (2008) and Prakasa Rao(2010) among others. Similar problems for processes driven by an infinite dimensional fractional Brownian motion were studied in Prakasa Rao (2004,2013), Cialenco (2009) and others. Parametric estimation for processes driven by infinite dimensional mixed fractional Brownian motion is discussed in this article.
Two-sided infinite systems of Brownian particles with rank-dependent dynamics, indexed by all integers, exhibit different properties from their one-sided infinite counterparts, indexed by positive integers, and from finite systems. Consider the gap process, which is formed by spacings between adjacent particles. In stark contrast with finite and one-sided infinite systems, two-sided infinite systems can have one- or two-parameter family of stationary gap distributions, or the gap process weakly converging to zero as time goes to infinity.
In this paper we study the controllability of fractional neutral stochastic functional differential equations with infinite delay driven by fractional Brownian motion in a real separable Hilbert space. The controllability results are obtained by using stochastic analysis and a fixed-point strategy. Finally, an illustrative example is provided to demonstrate the effectiveness of the theoretical result.
An embedding of the group $\Diff(S^{1})$ of orientation preserving diffeomorphims of the unit circle $S^1$ into an infinite-dimensional symplectic group, $\Sp(\infty)$, is studied. The authors prove that this embedding is not surjective. A Brownian motion is constructed on $\Sp(\infty)$. This study is motivated by recent work of H. Airault, S. Fang and P. Malliavin.
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the uniqueness viscosity solution of the related HJBI equation.
Consider a system of infinitely many Brownian particles on the real line. At any moment, these particles can be ranked from the bottom upward. Each particle moves as a Brownian motion with drift and diffusion coefficients depending on its current rank. The gaps between consecutive particles form the (infinite-dimensional) gap process. We find a stationary distribution for the gap process. We also show that if the initial value of the gap process is stochastically larger than this stationary distribution, this process converges back to this distribution as time goes to infinity. This continues …
We prove the sets of polynomials on configuration spaces are cores of Dirichlet forms describing interacting Brownian motion in infinite dimensions. Typical examples of these stochastic dynamics are Dyson's Brownian motion and Airy interacting Brownian motion. Both particle systems have logarithmic interaction potentials, and naturally arise from random matrix theory. The results of the present paper will be used in a forth coming paper to prove the identity of the infinite-dimensional stochastic dynamics related to the random matrix theories constructed by apparently different methods: the me…
We introduce an infinite time horizon Brownian bridge which is determined by a stochastic Langevin equation with time dependent drift coefficient. We show that this process goes to zero almost surely when the time goes to infinity and study the existence and asymptotic behavior of its local time as well as its Hölder continuity in time variable and in location variable. The main difficulty is the lack of stationarity of the process so that the powerful tools for stationary (Gaussian) processes are not applicable. We employ the Garsia-Rodemich-Rumsey inequality to get around this type of diffic…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent and saturating number variance behaviour. We derive a general expression for the number variance for the spatial particle configurations arising from these systems and this enables us to deduce various limiting distribution results for the fluctuations of the associated counting functions. In particular, knowledge of the number variance allows us to introdu…
The infinite Brownian loop on a Riemannian manifold is the limit in distribution of the Brownian bridge of length $T$ around a fixed origin when $T \rightarrow +\infty$. The aim of this note is to study its long-time asymptotics on Riemannian symmetric spaces $G/K$ of noncompact type and of general rank. This amounts to the behavior of solutions to the heat equation subject to the Doob transform induced by the ground spherical function. Unlike the standard Brownian motion, we observe in this case phenomena which are similar to the Euclidean setting, namely $L^1$ asymptotic convergence without …
The Dirichlet forms related to various infinite systems of interacting Brownian motions are studied. For a given random point field $ μ$, there exist two natural infinite-volume Dirichlet forms $ (\mathcal{E}^{\mathsf{upr}},\mathcal{D}^{\mathsf{upr}})$ and $(\mathcal{E}^{\mathsf{lwr}},\mathcal{D}^{\mathsf{lwr}})$ on $ L^2(\mathsf{S} ,μ) $ describing interacting Brownian motions each with unlabeled equilibrium state $ μ$. The former is a decreasing limit of a scheme of such finite-volume Dirichlet forms, and the latter is an increasing limit of another scheme of such finite-volume Dirichlet for…
An embedding of the group $\Diff(S^{1})$ of orientation preserving diffeomorphims of the unit circle $S^1$ into an infinite-dimensional symplectic group, $\Sp(\infty)$, is studied. The authors prove that this embedding is not surjective. A Brownian motion is constructed on $\Sp(\infty)$. This study is motivated by recent work of H. Airault, S. Fang and P. Malliavin. The Ricci curvature of the infinite-dimensional symplectic group is computed. The result shows that in almost all directions, the Ricci curvature is negative infinity.
Let $B(t), t\in \mathbb{R}$ be a standard Brownian motion. In this paper, we derive the exact asymptotics of the probability of Parisian ruin on infinite time horizon for the following risk process \begin{align}\label{Rudef} R_u^δ(t)=e^{δt}\left(u+c\int^{t}_{0}e^{-δv}d v-σ\int_{0}^{t}e^{-δv}d B(v)\right),\quad t\geq0, \end{align} where $u\geq 0$ is the initial reserve, $δ\geq0$ is the force of interest, $c>0$ is the rate of premium and $σ>0$ is a volatility factor. Further, we show the asymptotics of the Parisian ruin time of this risk process.
The aim of this paper is to present the analysis for the solutions of nonlinear stochastic functional differential equation driven by G-Brownian motion with infinite delay (G-SFDEwID). Under some useful assumptions, we have proved that the G-SFDEwID admits a unique local solution. The mentioned theory has been further generalized to show that G-SFDEwID admits a unique strong global solution. The asymptotic properties, mean square boundedness and convergence of solutions with different initial data have been derived. We have assessed that the solution map $X_t$ is mean square bounded and two so…
We extend to the vector-valued situation some earlier work of Ciesielski and Roynette on the Besov regularity of the paths of the classical Brownian motion. We also consider a Brownian motion as a Besov space valued random variable. It turns out that a Brownian motion, in this interpretation, is a Gaussian random variable with some pathological properties. We prove estimates for the first moment of the Besov norm of a Brownian motion. To obtain such results we estimate expressions of the form $\E \sup_{n\geq 1}\|ξ_n\|$, where the $ξ_n$ are independent centered Gaussian random variables with va…
The inverse problem of fractional Brownian motion and other Gaussian processes with stationary increments involves inverting an infinite hermitian positively definite Toeplitz matrix (a matrix that has equal elements along its diagonals). The problem of inverting Toeplitz matrices is interesting on its own and has various applications in physics, signal processing, statistics, etc. A large body of literature has emerged to study this question since the seminal work of Szegö on Toeplitz forms in 1920's. In this paper we obtain, for the first time, an explicit general formula for the inverse of …
Consider a system of particles moving independently as Brownian motions until two of them meet, when the colliding pair annihilates instantly. The construction of such a system of annihilating Brownian motions (aBMs) is straightforward as long as we start with a finite number of particles, but is more involved for infinitely many particles. In particular, if we let the set of starting points become increasingly dense in the real line it is not obvious whether the resulting systems of aBMs converge and what the possible limit points (entrance laws) are. In this paper, we show that aBMs arise as…
We prove existence of infinite volume Gibbs measures relative to Brownian motion. We require the pair potential W to fulfill a uniform integrability condition, but otherwise our restrictions on the potentials are relatively weak. In particular, our results are applicable to the massless Nelson model. We also prove an upper bound for path fluctuations under the infinite volume Gibbs measures.
Let D be the space of non-commutative distributions of k-tuples of selfadjoints in a C*-probability space (for a fixed k). We introduce a semigroup of transformations B_t of D, such that every distribution in D evolves under the B_t towards infinite divisibility with respect to free additive convolution. The very good properties of B_t come from some special connections that we put into evidence between free additive convolution and the operation of Boolean convolution. On the other hand we put into evidence a relation between the transformations B_t and free Brownian motion. More precisely, w…
We provide a unified approach to the three main non-compact models of random geometry, namely the Brownian plane, the infinite-volume Brownian disk, and the Brownian half-plane. This approach allows us to investigate relations between these models, and in particular to prove that complements of hulls in the Brownian plane are infinite-volume Brownian disks.
