Scaling Limit of Vicious Walkers, Gaussian Random Matrix Ensembles, and Dyson Brownian Motions

Abstract

We study systems of interacting Brownian particles in one dimension constructed as the diffusion scaling limits of Fisher's vicious walk models. We define two types of nonintersecting Brownian motions, in which we impose no condition (resp. nonintersecting condition forever) in the future for the first-type (resp. second-type). It is shown that, when all particles start from the origin, their positions at time 1 in the first-type (resp. at time 1/2 in the second-type) process are identically distributed with the eigenvalues of Gaussian orthogonal (resp.unitary) random matrices. The second-type process is described by the stochastic differential equations of the Dyson-type Brownian motions with repulsive two-body forces proportional to the inverse of distances. The present study demonstrates that the spatio-temporal coarse graining of random walk models with contact interactions can provide many-body systems with long-range interactions.