Interacting Brownian motions in infinite dimensions related to the origin of the spectrum of random matrices
The generalised sine random point field arises from the scaling limit at the origin of the eigenvalues of the generalised Gaussian ensembles. We solve an infinite-dimensional stochastic differential equation (ISDE) describing an infinite number of interacting Brownian particles which is reversible w...
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| Format: | Article |
| Language: | English |
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VTeX
2022-01-01
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| Series: | Modern Stochastics: Theory and Applications |
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| Online Access: | https://www.vmsta.org/doi/10.15559/21-VMSTA193 |