Interacting Brownian motions in infinite dimensions with logarithmic interaction potentials II: Airy random point field

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Abstract

We give a new sufficient condition of the quasi-Gibbs property. This result is a refinement of one given in a previous paper (Osada (in press) [18]), and will be used in a forthcoming 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 previous paper excludes the Airy RPFs, although Airy RPFs are the most significant RPFs appearing in random matrix theory. We will use the result of the present paper to solve the ISDE for which the unlabeled equilibrium state is the Airy β RPF with β=1,2,4.

Original languageEnglish
Pages (from-to)813-838
Number of pages26
JournalStochastic Processes and their Applications
Volume123
Issue number3
DOIs
Publication statusPublished - Jan 1 2013

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

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  • Prizes

    The Itô Prize

    Osada, Hirofumi (Recipient), 2013

    Prize

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