When two Markov operators commute, it suggests that we can couple two copies of one of the corresponding processes. We explicitly construct a number of couplings of this type for a commuting family of Markov processes on the set of conjugacy classes of the unitary group, using a dynamical rule inspired by the RSK algorithm. Our motivation for doing this is to develop a parallel programme, on the circle, to some recently discovered connections in random matrix theory between reflected and conditioned systems of particles on the line. One of the Markov chains we consider gives rise to a family of Gibbs measures on “bead configurations” on the infinite cylinder. We show that these measures have determinantal structure and compute the corresponding space–time correlation kernel.
Publié le : 2009-11-15
Classification:
Random matrices,
RSK correspondence,
coupling,
interlacing,
rank 1 perturbation,
random reflection,
Pitman’s theorem,
reflected Brownian motion,
Brownian motion in an alcove,
bead model on a cylinder,
determinantal point process,
random tiling,
dimer configuration,
60J99,
60B15,
82B21,
05E10
@article{1257529898,
author = {Metcalfe, Anthony P. and O'Connell, Neil and Warren, Jon},
title = {Interlaced processes on the circle},
journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
volume = {45},
number = {1},
year = {2009},
pages = { 1165-1184},
language = {en},
url = {http://dml.mathdoc.fr/item/1257529898}
}
Metcalfe, Anthony P.; O’Connell, Neil; Warren, Jon. Interlaced processes on the circle. Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, pp. 1165-1184. http://gdmltest.u-ga.fr/item/1257529898/