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arXiv · 0711.3797

A PDE for the multi-time joint probability of the Airy process

Dong Wang
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Abstract

This paper gives a PDE for multi-time joint probability of the Airy process, which generalizes Adler and van Moerbeke's result on the 2-time case. As an intermediate step, the PDE for the multi-time joint probability of the Dyson Brownian motion is also given.

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Dong Wang. 2007-11-26. A PDE for the multi-time joint probability of the Airy process. https://arxiv.org/abs/0711.3797

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