• Corpus ID: 119624967

The Laguerre Unitary Process

@article{Ipsen2019TheLU,
  title={The Laguerre Unitary Process},
  author={J. R. Ipsen},
  journal={arXiv: Mathematical Physics},
  year={2019}
}
  • J. R. Ipsen
  • Published 1 March 2019
  • Mathematics
  • arXiv: Mathematical Physics
We define a new matrix-valued stochastic process with independent stationary increments from the Laguerre Unitary Ensemble, which in a certain sense may be considered a matrix generalisation of the gamma process. We show that eigenvalues of this matrix-valued process forms a spatiotemporal determinantal point process and give an explicit expression for the correlation kernel in terms of Laguerre polynomials. Furthermore, we show that in an appropriate long time scaling limit, this correlation… 
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