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Dyson Brownian motion

From Wikipedia, the free encyclopedia

In mathematics, the Dyson Brownian motion is a real-valued continuous-time stochastic process named for Freeman Dyson.[1] Dyson studied this process in the context of random matrix theory.

There are several equivalent definitions:[2][3]

Definition by stochastic differential equation:where are different and independent Wiener processes.


Start with a Hermitian matrix with eigenvalues , then let it perform Brownian motion in the space of Hermitian matrices. Its eigenvalues constitute a Dyson Brownian motion.

Start with independent Wiener processes started at different locations , then condition on those processes to be non-intersecting for all time. The resulting process is a Dyson Brownian motion starting at the same .[4]

References

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  1. ^ Dyson, Freeman J. (1962-11-01). "A Brownian-Motion Model for the Eigenvalues of a Random Matrix". Journal of Mathematical Physics. 3 (6): 1191–1198. doi:10.1063/1.1703862. ISSN 0022-2488.
  2. ^ Bouchaud, Jean-Philippe; Potters, Marc, eds. (2020), "Dyson Brownian Motion", A First Course in Random Matrix Theory: for Physicists, Engineers and Data Scientists, Cambridge: Cambridge University Press, pp. 121–135, ISBN 978-1-108-48808-2, retrieved 2023-11-25
  3. ^ Tao, Terence (2010-01-19). "254A, Notes 3b: Brownian motion and Dyson Brownian motion". What's new. Retrieved 2023-11-25.
  4. ^ Grabiner, David J. (1999). "Brownian motion in a Weyl chamber, non-colliding particles, and random matrices". Annales de l'I.H.P. Probabilités et statistiques. 35 (2): 177–204. ISSN 1778-7017.