Random matrix central limit theorems for nonintersecting random walks

被引:27
|
作者
Baik, Jinho [1 ]
Suidan, Toufic M.
机构
[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA
[2] Univ Calif Santa Cruz, Dept Math, Santa Cruz, CA 95064 USA
来源
ANNALS OF PROBABILITY | 2007年 / 35卷 / 05期
关键词
nonintersecting random walks; Tracy-Widom distribution; sine kernel; strong approximation; Riemann-Hilbert problem; Stieltjes-Wigert polynomials;
D O I
10.1214/009117906000001105
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider nonintersecting random walks satisfying the condition that the increments have a finite moment generating function. We prove that in a certain limiting regime where the number of walks and the number of time steps grow to infinity, several limiting distributions of the walks at the mid-time behave as the eigenvalues of random Hermitian matrices as the dimension of the matrices grows to infinity.
引用
收藏
页码:1807 / 1834
页数:28
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