Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. (English. French summary) Zbl 1447.60024

Summary: We access the edge of Gaussian beta ensembles with one spike by analyzing high powers of the associated tridiagonal matrix models. In the classical cases \(\beta =1,2,4\), this corresponds to studying the fluctuations of the largest eigenvalues of additive rank one perturbations of the GOE/GUE/GSE random matrices. In the infinite-dimensional limit, we arrive at a one-parameter family of random Feynman-Kac type semigroups, which features the stochastic Airy semigroup of V. Gorin and M. Shkolnikov [Ann. Probab. 46, No. 4, 2287–2344 (2018; Zbl 1430.60011)] as an extreme case. Our analysis also provides Feynman-Kac formulas for the spiked stochastic Airy operators, introduced by A. Bloemendal and B. Virág [Probab. Theory Relat. Fields 156, No. 3–4, 795–825 (2013; Zbl 1356.60014)]. The Feynman-Kac formulas involve functionals of a reflected Brownian motion and its local times, thus, allowing to study the limiting operators by tools of stochastic analysis. We derive a first result in this direction by obtaining a new distributional identity for a reflected Brownian bridge conditioned on its local time at zero. A key feature of our proof consists of a novel strong invariance result for certain non-negative random walks and their occupation times that is based on the Skorokhod reflection map.


60B20 Random matrices (probabilistic aspects)
60H25 Random operators and equations (aspects of stochastic analysis)
47D08 Schrödinger and Feynman-Kac semigroups
60J55 Local time and additive functionals
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