Stochastic Airy semigroup through tridiagonal matrices
We determine the operator limit for large powers of random symmetric tridiagonal matrices as the size of the matrix grows. The result provides a novel expression in terms of functionals of Brownian motions for the Laplace transform of the Airy β process, which describes the largest eigenvalues in th...
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| Other Authors: | |
| Format: | Article |
| Language: | English |
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Institute of Mathematical Statistics
2020
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| Subjects: | |
| Online Access: | https://hdl.handle.net/1721.1/123482 |
| Summary: | We determine the operator limit for large powers of random symmetric tridiagonal matrices as the size of the matrix grows. The result provides a novel expression in terms of functionals of Brownian motions for the Laplace transform of the Airy β process, which describes the largest eigenvalues in the β ensembles of random matrix theory. Another consequence is a Feynman-Kac formula for the stochastic Airy operator of Edelman-Sutton and Ramirez-Rider-Virag. As a side result, we find that the difference between the area underneath a standard Brownian excursion and one half of the integral of its squared local times is a Gaussian random variable. Keywords: Airy point process; Brownian bridge; Brownian excursion; Dumitriu–Edelman model; Feynman–Kac formula; Gaussian beta ensemble; intersection local time; moment method; path transformation; quantile transform; random matrix soft edge; random walk bridge; stochastic Airy operator; strong invariance principle; trace formula; Vervaat transform |
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