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arXiv:0711.3797 [math.PR]AbstractReferencesReviewsResources

A PDE for the multi-time joint probability of the Airy process

Dong Wang

Published 2007-11-26Version 1

This paper gives a PDE for multi-time joint probability of the Airy process, which generalizes Adler and van Moerbeke's result on the 2-time case. As an intermediate step, the PDE for the multi-time joint probability of the Dyson Brownian motion is also given.

Comments: 21 pages
Categories: math.PR, math-ph, math.MP
Subjects: 60G60, 35Q53
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