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arXiv · 0905.3989

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

Alexei Borodin·Patrik L. Ferrari·Michael Praehofer·Tomohiro Sasamoto·Jon Warren
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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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Alexei Borodin, Patrik L. Ferrari, Michael Praehofer, Tomohiro Sasamoto, Jon Warren. 2009-05-25. Maximum of Dyson Brownian motion and non-colliding systems with a boundary. https://arxiv.org/abs/0905.3989

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