A PDE for the multi-time joint probability of the Airy process

Details A PDE for the multi-time joint probability of the Airy process A PDE for the multi-time joint probability of the Airy process

2007-11-26

arxiv.org/abs/0711.3797v1

Mathematics

Probability

21 pages

Scientific paper

This paper gives a PDE for multi-time joint probability of the Airy process,
which generalizes Adler and van Moerbeke's result on the 2-time case. As an
intermediate step, the PDE for the multi-time joint probability of the Dyson
Brownian motion is also given.

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