Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights

Details Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights

2007-12-09

arxiv.org/abs/0712.1333v1

Mathematics

Classical Analysis and ODEs

59 pages, 11 figures

Scientific paper

10.1007/s00220-008-0652-9

We study a model of $n$ non-intersecting squared Bessel processes in the confluent case: all paths start at time $t = 0$ at the same positive value $x = a$, remain positive, and are conditioned to end at time $t = T$ at $x = 0$. In the limit $n \to \infty$, after appropriate rescaling, the paths fill out a region in the $tx$-plane that we describe explicitly. In particular, the paths initially stay away from the hard edge at $x = 0$, but at a certain critical time $t^*$ the smallest paths hit the hard edge and from then on are stuck to it. For $t \neq t^*$ we obtain the usual scaling limits from random matrix theory, namely the sine, Airy, and Bessel kernels. A key fact is that the positions of the paths at any time $t$ constitute a multiple orthogonal polynomial ensemble, corresponding to a system of two modified Bessel-type weights. As a consequence, there is a $3 \times 3$ matrix valued Riemann-Hilbert problem characterizing this model, that we analyze in the large $n$ limit using the Deift-Zhou steepest descent method. There are some novel ingredients in the Riemann-Hilbert analysis that are of independent interest.

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