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Interlacing diffusions

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Author(s)
O'Connell, Neil 
Assiotis, Theodoros 
Warren, Jon 
Uri
http://hdl.handle.net/10197/10314
Date Issued
20 November 2019
Date Available
07T11:41:33Z May 2019
Abstract
We study in some generality intertwinings between h-transforms of Karlin-McGregor semigroups associated with one dimensional diffusion processes and those of their Siegmund duals. We obtain couplings so that the corresponding processes are interlaced and furthermore give formulae in terms of block determinants for the transition densities of these coupled processes. This allows us to build diffusion processes in the space of Gelfand-Tsetlin patterns so that the evolution of each level is Markovian. We show how known examples naturally fit into this framework and construct new processes related to minors of matrix valued diffusions. We also provide explicit formulae for the transition densities of the particle systems with one-sided collisions at either edge of such patterns.
Sponsorship
European Research Council
Other Sponsorship
MASDOC DTC grant
Type of Material
Journal Article
Publisher
Springer
Series
Lecture Notes in Mathematics
2252
Séminaire de Probabilités
2252
Copyright (Published Version)
2019 Springer
Keywords
  • Probability

  • Matrix valued diffusi...

  • Karlin-McGregor semig...

  • One dimensional diffu...

  • Siegmund duals

DOI
10.1007/978-3-030-28535-7_13
Language
English
Status of Item
Peer reviewed
Part of
Donati-Martin, C.m Lejay, A. and Rouault, A. Séminaire de Probabilités L
ISBN
978-3-030-28534-0
ISSN
0720-8766
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-nd/3.0/ie/
Owning collection
Mathematics and Statistics Research Collection
Scopus© citations
0
Acquisition Date
Jan 28, 2023
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