Mathematics – Probability
Scientific paper
2010-09-13
Mathematics
Probability
71 pages, 9 figures
Scientific paper
We study a model of $n$ one-dimensional non-intersecting Brownian motions with two prescribed starting points at time $t=0$ and two prescribed ending points at time $t=1$ in a critical regime where the paths fill two tangent ellipses in the time-space plane as $n \to \infty$. The limiting mean density for the positions of the Brownian paths at the time of tangency consists of two touching semicircles, possibly of different sizes. We show that in an appropriate double scaling limit, there is a new familiy of limiting determinantal point processes with integrable correlation kernels that are expressed in terms of a new Riemann-Hilbert problem of size $4\times 4$. We prove solvability of the Riemann-Hilbert problem and establish a remarkable connection with the Hastings-McLeod solution of the Painlev\'e II equation. We show that this Painlev\'e II transcendent also appears in the critical limits of the recurrence coefficients of the multiple Hermite polynomials that are associated with the non-intersecting Brownian motions. Universality suggests that the new limiting kernels apply to more general situations whenever a limiting mean density vanishes according to two touching square roots, which represents a new universality class.
Delvaux Steven
Kuijlaars Arno B. J.
Zhang Lun
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