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arXiv · 2403.10724

Multilevel Dyson Brownian motions via the superposition principle

Benjamin Budway·Mykhaylo Shkolnikov
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Abstract

Multilevel Dyson Brownian motions (MDBMs) combine Dyson Brownian motions of different dimensions into a single process in a canonical way. This paper completes the theory of MDBMs for $β\ge2$. Specifically, we use the superposition principle of Figalli and Trevisan to construct the MDBMs for all $β>2$ in a unified manner. This also extends their stochastic differential equation representation, first discovered by Gorin and Shkolnikov, to all $β>2$ and proves the uniqueness of the MDBMs for all $β>2$. Finally, we show that their limit as $β\downarrow2$ is given by the $β=2$ MDBM, commonly referred to as the Warren process.

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Benjamin Budway, Mykhaylo Shkolnikov. 2024-03-15. Multilevel Dyson Brownian motions via the superposition principle. https://arxiv.org/abs/2403.10724

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