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Orthogonal polynomial ensembles in probability theory. (English) Zbl 1189.60024
Summary: We survey a number of models from physics, statistical mechanics, probability theory and combinatorics, which are each described in terms of an orthogonal polynomial ensemble. The most prominent example is apparently the Hermite ensemble, the eigenvalue distribution of the Gaussian Unitary Ensemble (GUE), and other well-known ensembles known in random matrix theory like the Laguerre ensemble for the spectrum of Wishart matrices. In recent years, a number of further interesting models were found to lead to orthogonal polynomial ensembles, among which the corner growth model, directed last passage percolation, the PNG droplet, non-colliding random processes, the length of the longest increasing subsequence of a random permutation, and others. Much attention has been paid to universal classes of asymptotic behaviors of these models in the limit of large particle numbers, in particular the spacings between the particles and the fluctuation behavior of the largest particle. Computer simulations suggest that the connections go even farther and also comprise the zeros of the Riemann zeta function. The existing proofs require a substantial technical machinery and heavy tools from various parts of mathematics, in particular complex analysis, combinatorics and variational analysis. Particularly in the last decade, a number of fine results have been achieved, but it is obvious that a comprehensive and thorough understanding of the matter is still lacking. Hence, it seems an appropriate time to provide a surveying text on this research area. In the present text, we introduce various models, explain the questions and problems, and point out the relations between the models. Furthermore, we concisely outline some elements of the proofs of some of the most important results. This text is aimed at non-experts with strong background in probability who want to achieve a quick survey over the field.

MSC:
60C05 Combinatorial probability
60F05 Central limit and other weak theorems
60K35 Interacting random processes; statistical mechanics type models; percolation theory
15B52 Random matrices (algebraic aspects)
82C22 Interacting particle systems in time-dependent statistical mechanics
82C41 Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics
33C45 Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.)
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
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