Dyson's Brownian motions, intertwining and interlacing

Details Dyson's Brownian motions, intertwining and interlacing Dyson's Brownian motions, intertwining and interlacing

2005-09-30

arxiv.org/abs/math/0509720v1

Mathematics

Probability

13 pages

Scientific paper

A family of reflected Brownian motions is used to construct Dyson's process
of non-colliding Brownian motions. A number of explicit formulae are given,
including one for the distribution of a family of coalescing Brownian motions.

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