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Maximum of Dyson Brownian motion and non-colliding systems with a boundary
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Alexei Borodin, California Institute of Technology
Patrik L Ferrari, Bonn University
Michael Prahofer, TU Munchen
Tomohiro Sasamoto, Chiba University
Jon Warren, University of Warwick
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Abstract
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
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Full text: PDF
Pages: 486-494
Published on: November 1, 2009
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Electronic Communications in Probability. ISSN: 1083-589X |
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