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Multiple orthogonal polynomials of mixed type and non-intersecting Brownian motions

E. Daems·A. B. J. Kuijlaars
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Abstract

We present a generalization of multiple orthogonal polynomials of type I and type II, which we call multiple orthogonal polynomials of mixed type. Some basic properties are formulated, and a Riemann-Hilbert problem for the multiple orthogonal polynomials of mixed type is given. We derive a Christoffel-Darboux formula for these polynomials using the solution of the Riemann-Hilbert problem. The main motivation for studying these polynomials comes from a model of non-intersecting one-dimensional Brownian motions with a given number of starting points and endpoints. The correlation kernel for the positions of the Brownian paths at any intermediate time coincides with the Christoffel-Darboux kernel for the multiple orthogonal polynomials of mixed type with respect to Gaussian weights.

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E. Daems, A. B. J. Kuijlaars. 2005-11-18. Multiple orthogonal polynomials of mixed type and non-intersecting Brownian motions. https://arxiv.org/abs/math/0511470

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