Nonintersecting Brownian excursions

Citation
A. Tracy, Craig et Widom, Harold, Nonintersecting Brownian excursions, Annals of applied probability , 17(3), 2007, pp. 953-979
ISSN journal
10505164
Volume
17
Issue
3
Year of publication
2007
Pages
953 - 979
Database
ACNP
SICI code
Abstract
We consider the process of n Brownian excursions conditioned to be nonintersecting. We show the distribution functions for the top curve and the bottom curve are equal to Fredholm determinants whose kernel we give explicitly. In the simplest case, these determinants are expressible in terms of Painlevé V functions. We prove that as n.., the distributional limit of the bottom curve is the Bessel process with parameter 1/2. (This is the Bessel process associated with Dyson.s Brownian motion.) We apply these results to study the expected area under the bottom and top curves.