Probability and Stochastic Analysis - University of Bonn

Abstract of "On the partial connection between random matrices and interacting particle systems"

with René Frings.

In the last decade there has been increasing interest in the fields of random matrices, interacting particle systems, stochastic growth models, and the connections between these areas. For instance, several objects appearing in the limit of large matrices arise also in the long time limit for interacting particles and growth models. Examples of these are the famous Tracy-Widom distribution functions and the Airy2 process.
The link is however sometimes fragile. For example, the connection between the eigenvalues in the Gaussian Orthogonal Ensembles (GOE) and growth on a flat substrate is restricted to one-point distribution, and the connection breaks down if we consider the joint distributions.
In this paper we first discuss known relations between random matrices and the asymmetric exclusion process (and a 2+1-dimensional extension). Then, we show that the correlation functions of the eigenvalues of the matrix minors for β=2 Dyson's Brownian motion have, when restricted to increasing times and decreasing matrix dimensions, the same correlation kernel as in the 2+1-dimensional interacting particle system under diffusion scaling limit. Finally, we analyze the analogous question for a diffusion on (complex) sample covariance matrices.

Postscript file: [PS]

PDF file: [PDF]

arXiv: 1006.3946