Open Access
2002 A Representation for Non-Colliding Random Walks
Neil O'Connell, Marc Yor
Author Affiliations +
Electron. Commun. Probab. 7: 1-12 (2002). DOI: 10.1214/ECP.v7-1042

Abstract

We define a sequence of mappings $\Gamma_k:D_0(R_+)^k\to D_0(R_+)^k$ and prove the following result: Let $N_1,\ldots,N_n$ be the counting functions of independent Poisson processes on $R_+$ with respective intensities $\mu_1 \lt \mu_2 \lt \cdots \lt \mu_n$. The conditional law of $N_1,\ldots,N_n$, given that $$N_1(t)\le\cdots\le N_n(t), \mbox{ for all }t\ge 0,$$ is the same as the unconditional law of $\Gamma_n(N)$. From this, we deduce the corresponding results for independent Poisson processes of equal rates and for independent Brownian motions (in both of these cases the conditioning is in the sense of Doob). This extends a recent observation, independently due to Baryshnikov (2001) and Gravner, Tracy and Widom (2001), which relates the law of a certain functional of Brownian motion to that of the largest eigenvalue of a GUE random matrix. Our main result can also be regarded as a generalisation of Pitman's representation for the 3-dimensional Bessel process.

Citation

Download Citation

Neil O'Connell. Marc Yor. "A Representation for Non-Colliding Random Walks." Electron. Commun. Probab. 7 1 - 12, 2002. https://doi.org/10.1214/ECP.v7-1042

Information

Accepted: 28 July 2001; Published: 2002
First available in Project Euclid: 16 May 2016

zbMATH: 1037.15019
MathSciNet: MR1887169
Digital Object Identifier: 10.1214/ECP.v7-1042

Subjects:
Primary: 15A52
Secondary: 60J27 , 60J45 , 60J65 , 60K25

Keywords: Burke's theorem , Charlierensemble , Eigenvalues of random matrices , GUE , Hermitian Brownianmotion , non-colliding Brownian motions , Pitman's representation theorem , queues in series , reversibility , Weyl chamber

Back to Top