Probability and Stochastic Analysis - University of Bonn

Abstract of "Maximum of Dyson Brownian motion and non-colliding systems with a boundary"

with Alexei Borodin, Michael Prähofer, Tomohiro Sasamoto and Jon Warren.

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.

Postscript file: [PS]

PDF file: [PDF]

arXiv: 0905.3989