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Mark Adler

Publications and source records attributed to Mark Adler.

35 records · Page 2Linked to original sources
arXiv2009

Universality of the Pearcey process

Consider non-intersecting Brownian motions on the line leaving from the origin and forced to two arbitrary points. Letting the number of Brownian particles tend to infinity, and upon rescaling, there is a point of bifurcation, where the support of the density of particles goes from one interval to two intervals. In this paper, we show that at that very point of bifurcation a cusp appears, near which the Brownian paths fluctuate like the Pearcey process. This is a universality result within this class of problems. Tracy and Widom obtained such a result in the symmetric case, when the two target points are symmetric with regard to the origin. This asymmetry enabled us to improve considerably a result concerning the non-linear partial differential equations governing the transition probabilities for the Pearcey process, obtained by Adler and van Moerbeke.

math.PR↗
arXiv2008

Dyson's non-intersecting Brownian motions with a few outliers

Consider n non-intersecting particles on the real line (Dyson Brownian motions), all starting from the origin at time=0, and forced to return to x=0 at time=1. For large n, the average mean density of particles has its support, for each 0<t<1, within the interior of an ellipse. The Airy process is defined as the motion of these non-intersecting Brownian motions for large n, but viewed from an arbitrary point on the ellipse with an appropriate space-time rescaling. Assume now a finite number r of these particles are forced to a different target point. Does it affect the Brownian fluctuations along the ellipse for large n? In this paper, we show that no new process appears as long as one considers points on the ellipse, for which the t-coordinate is smaller than the t-coordinate of the point of tangency of the tangent to the curve passing through the target point. At this point of tangency the fluctuations obey a new statistics: the Airy process with r outliers (in short: {\bf r-Airy process}). The log of the transition probability of this new process is given by the Fredholm determinant of a new kernel (extending the Airy kernel) and it satisfies a non-linear PDE in x and the time.

math.PR↗
arXiv2006

Moment matrices and multi-component KP, with applications to random matrix theory

Questions on random matrices and on non-intersecting Brownian motions have led to the study of moment matrices with regard to several weights. The purpose of this paper is to show that the determinants of such moment matrices satisfy, upon adding one set of time deformations for each weight, the multi-component KP-hierarchy: these determinants are thus "tau-functions" for these integrable hierarchies. The tau-functions, so obtained, with appropriate shifts of the time-parameters (forward and backwards) will be expressed in terms of multiple orthogonal polynomials for these weights and their Cauchy transforms. As an application, the multi-component KP-hierarchy leads to a large set of non-linear PDE's, which are useful in finding partial differential equations for the transition probabilities of certain infinite-dimensional diffusions.

math-ph↗
arXiv2006

Joint probability for the Pearcey process

This paper is a step in the direction of understanding the behavior of non-intersecting Brownian motions on the real line, when the number of particles becomes large. Consider 2k non-intersecting Brownian motions, all starting at the origin, such that the k left paths end up at -a and the k right paths end up at +a at time t=1. The Karlin-McGregor formula enables one to express the transition probability in terms of a matrix model, consisting of Gaussian Hermitian random matrices in a chain with external source. It is shown that the log of the probability for this model satisfies a fourth order PDE with a quartic non-linearity, obtained by means of the 3-component KP hierarchy and Virasoro constraints. When the number of particles grows very large, the particles will be concentrated on two intervals near t=0 and on one interval near t=1. The Pearcey process is the infinite-dimensional diffusion, near the critical transition from two to one interval. An appropriate scaling limit of the PDE for the finite model leads to a non-linear PDE for the multi-time transition probabilities of the Pearcey process. We conjecture that each of the Markov clouds (like the Pearcey process) arising near phase transitions is related to some integrable system. Moreover, there is an intimate connection between the integrable system and the associated Riemann-Hilbert problem.

math.PR↗
arXiv2005

PDEs for the joint distributions of the Dyson, Airy and Sine processes

In a celebrated paper, Dyson shows that the spectrum of an n\times n random Hermitian matrix, diffusing according to an Ornstein-Uhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge and bulk scalings for Hermitian random matrices, applied to the Dyson process, lead to the Airy and Sine processes. In particular, the Airy process is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian motion, when the number of particles gets large, with space and time appropriately rescaled. In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy process at two different times. Similarly we find a PDE satisfied by the joint distribution of the Sine process. This hinges on finding a PDE for the joint distribution of the Dyson process, which itself is based on the joint probability of the eigenvalues for coupled Gaussian Hermitian matrices. The PDE for the Dyson process is then subjected to an asymptotic analysis, consistent with the edge and bulk rescalings. The PDEs enable one to compute the asymptotic behavior of the joint distribution and the correlation for these processes at different times t_1 and t_2, when t_2-t_1\to \infty, as illustrated in this paper for the Airy process. This paper also contains a rigorous proof that the extended Hermite kernel, governing the joint probabilities for the Dyson process, converges to the extended Airy and Sine kernels after the appropriate rescalings.

math.PR↗
arXiv2005

PDE's for the Gaussian ensemble with external source and the Pearcey distribution

The present paper studies a Gaussian Hermitian random matrix ensemble with external source, given by a fixed diagonal matrix with two eigenvalues a and -a. As a first result, the probability that the eigenvalues of the ensemble belong to a set satisfies a fourth order PDE with quartic non-linearity; the variables being the eigenvalue a and the boundary points of the set. This equation enables one to find a PDE for the Pearcey distribution. The latter describes the statistics of the eigenvalues near the closure of a gap; i.e., when the support of the equilibrium measure for large size random matrices has a gap, which can be made to close. Precisely, the Gaussian Hermitian random matrix ensemble with external source has this feature. In this work, we show the Pearcey distribution satisfies a a fourth order PDE with cubic non-linearity. The PDE for the finite problem is found by by showing that an appropriate integrable deformation of the random matrix ensemble with external source satisfies the three-component KP equation and Virasoro constraints.

math.PR↗
arXiv2004

Expectations of hook products on large partitions

Given uniform probability on words of length M=Np+k, from an alphabet of size p, consider the probability that a word (i) contains a subsequence of letters (p, p-1,...,1) in that order and (ii) that the maximal length of the disjoint union of p-1 increasing subsequences of the word is \leq M-N . A generating function for this probability has the form of an integral over the Grassmannian of p-planes in complex C^n. The present paper shows that the asymptotics of this probability, when N tends to infinity, is related to the kth moment of the chi^2-distribution of parameter 2p^2. This is related to the behavior of the integral over the Grassmannian Gr(p,C^n) of p-planes in C^n, when the dimension of the ambient space C^n becomes very large. A different scaling limit for the Poissonized probability is related to a new matrix integral, itself a solution of the Painlevé IV equation. This is part of a more general set-up related to the Painlevé V equation.

math.PR↗
arXiv2003

A PDE for the joint distributions of the Airy Process

In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy Process. The latter is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian motion, when the number of particles get large, with space and time appropriately rescaled. The question reduces to an asymptotic analysis on the equation governing the joint probability of the eigenvalues of coupled Gaussian Hermitian matrices. The differential equations lead to the asymptotic behavior of the joint distribution and the correlation for the Airy process at different times t_1 and t_2, when t_2-t_1 tends to infinity.

math.PR↗
arXiv2002

Rational solutions to the Pfaff lattice and Jack polynomials

The finite Pfaff lattice is given by commuting Lax pairs involving a finite matrix L (zero above the first subdiagonal) and a projection onto Sp(N). The lattice admits solutions such that the entries of the matrix L are rational in the time parameters t_1,t_2,..., after conjugation by a diagonal matrix. The sequence of polynomial tau-functions, solving the problem, belongs to an intriguing chain of subspaces of Schur polynomials, associated to Young diagrams, dual with respect to a finite chain of rectangles. Also, this sequence of tau-functions is given inductively by the action of a fixed vertex operator. As examples, one such sequence is given by Jack polynomials for rectangular Young diagrams, while another chain starts with any two-column Jack polynomial.

nlin.SI↗
arXiv2001

Hermitian, symmetric and symplectic random ensembles: PDEs for the distribution of the spectrum

Given the Hermitian, symmetric and symplectic ensembles, it is shown that the probability that the spectrum belongs to one or several intervals satisfies a nonlinear PDE. This is done for the three classical ensembles: Gaussian, Laguerre and Jacobi. For the Hermitian ensemble, the PDE (in the boundary points of the intervals) is related to the Toda lattice and the KP equation, whereas for the symmetric and symplectic ensembles the PDE is an inductive equation, related to the so-called Pfaff-KP equation and the Pfaff lattice. The method consists of inserting time-variables in the integral and showing that this integral satisfies integrable lattice equations and Virasoro constraints.

math-ph↗
arXiv2001

Darboux transforms on Band Matrices, Weights and associated Polynomials

Classically, it is well known that a single weight on a real interval leads to orthogonal polynomials. In "Generalized orthogonal polynomials, discrete KP and Riemann-Hilbert problems", Comm. Math. Phys. 207, pp. 589-620 (1999), we have shown that $m$-periodic sequences of weights lead to "moments", polynomials defined by determinants of matrices involving these moments and $2m+1$-step relations between them, thus leading to $2m+1$-band matrices $L$. Given a Darboux transformations on $L$, which effect does it have on the $m$-periodic sequence of weights and on the associated polynomials ? These questions will receive a precise answer in this paper. The methods are based on introducing time parameters in the weights, making the band matrix $L$ evolve according to the so-called discrete KP hierarchy. Darboux transformations on that $L$ translate into vertex operators acting on the $τ$-function.

nlin.SI↗
arXiv2000

Integrals over classical Groups, Random permutations, Toda and Toeplitz lattices

Matrix Fourier-like integrals over the classical groups O_+(n), O_-(n), Sp(n) and U(n) are connected with the distribution of the length of the longest increasing sequence in random permutations and random involutions and the spectrum of random matrices. One of the purposes of this paper is to show that all those integrals satisfy the Painlevé V equation with specific initial conditions. In this work, we present both, new results and known ones, in a unified way. Our method consists of inserting one set of time variables t=(t_1,t_2,...) in the integrals for the real compact groups and two sets of times (t,s) for the unitary group. The point is that these new time-dependent integrals satisfy integrable hierarchies: (i) O(n) and Sp(n) correspond to the standard Toda lattice. (ii) U(n) corresponds to the Toeplitz lattice, a very special reduction of the discrete sinh-Gordon equation. Both systems, the standard Toda lattice and the Toeplitz lattice are also reductions of the 2-Toda lattice, thus leading to a natural vertex operator, and so, a natural Virasoro algebra, a subalgebra of which annihilates the tau-functions. Combining these equations leads to the Painlevé V equation for the integrals.

math.CO↗
arXiv2000

Generalized orthogonal polynomials, discrete KP and Riemann-Hilbert problems

Classically, a single weight on an interval of the real line leads to moments, orthogonal polynomials and tridiagonal matrices. Appropriately deforming this weight with times t=(t_1,t_2,...), leads to the standard Toda lattice and tau-functions, expressed as Hermitian matrix integrals. This paper is concerned with a sequence of t-perturbed weights, rather than one single weight. This sequence leads to moments, polynomials and a (fuller) matrix evolving according to the discrete KP-hierarchy. The associated tau-functions have integral, as well as vertex operator representations. Among the examples considered, we mention: nested Calogero-Moser systems, concatenated solitons and m-periodic sequences of weights. The latter lead to 2m+1-band matrices and generalized orthogonal polynomials, also arising in the context of a Riemann-Hilbert problem. We show the Riemann-Hilbert factorization is tantamount to the factorization of the moment matrix into the product of a lower- times upper-triangular matrix.

nlin.SI↗
arXiv1999

Vertex operator solutions to the discrete KP-hierarchy

Vertex operators, which are disguised Darboux maps, transform solutions of the KP equation into new ones. In this paper, we show that the bi-infinite sequence obtained by Darboux transforming an arbitrary KP solution recursively forward and backwards, yields a solution to the discrete KP-hierarchy. The latter is a KP hierarchy where the continuous space x-variable gets replaced by a discrete n-variable. The fact that these sequences satisfy the discrete KP hierarchy is tantamount to certain bilinear relations connecting the consecutive KP solutions in the sequence. At the Grassmannian level, these relations are equivalent to a very simple fact, which is the nesting of the associated infinite-dimensional planes (flag). It turns out that many new and old systems lead to such discrete (semi-infinite) solutions, like sequences of soliton solutions, with more and more solitons, sequences of Calogero-Moser systems, having more and more particles, band matrices, etc... ; this will be developped in another paper. In this paper, as an other example, we show that the q-KP hierarchy maps, via a kind of Fourier transform, into the discrete KP hierarchy, enabling us to write down a very large class of solutions to the q-KP hierarchy.

solv-int↗
arXiv1999

The spectrum of coupled random matrices

The study of the spectrum of coupled random matrices has received rather little attention. To the best of our knowledge, coupled random matrices have been studied, to some extent, by Mehta. In this work, we explain how the integrable technology can be brought to bear to gain insight into the nature of the distribution of the spectrum of coupled Hermitean random matrices and the equations the associated probabilities satisfy. In particular, the two-Toda lattice, its algebra of symmetries and its vertex operators will play a prominent role in this interaction. Namely, the method is to introduce time parameters, in an artificial way, and to dress up a certain matrix integral with a vertex integral operator, for which we find Virasoro-like differential equations. These methods lead to very simple nonlinear third-order partial differential equations for the joint statistics of the spectra of two coupled Gaussian random matrices.

hep-th↗
arXiv1997

String-Orthogonal Polynomials, String equations, and 2-Toda symmetries

1. The 2-Toda lattice and its generic symmetries 2. A Larger class of symmetries for special initial conditions 3. Borel decomposition of Moment matrices, tau-functions and string-orthogonal polynomials 4. From string-orthogonal Polynomials to the 2-Toda lattice and the string equation 5. Virasoro constraints on two-matrix integrals

hep-th↗