Displaying similar documents to “Reflected planar brownian motions, intertwining relations and crossing probabilities”

Interlaced processes on the circle

Anthony P. Metcalfe, Neil O’Connell, Jon Warren (2009)

Annales de l'I.H.P. Probabilités et statistiques

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When two Markov operators commute, it suggests that we can couple two copies of one of the corresponding processes. We explicitly construct a number of couplings of this type for a commuting family of Markov processes on the set of conjugacy classes of the unitary group, using a dynamical rule inspired by the RSK algorithm. Our motivation for doing this is to develop a parallel programme, on the circle, to some recently discovered connections in random matrix theory between reflected...