Looking for an answer to a colleague’s question, I was reading a 1962 seminal paper by Freeman J. Dyson: “A Brownian-Motion Model for the Eigenvalues of a Random Matrix” published in J. Math. Phys. 3, 1191 (1962).
The question was, how the original proof of Dyson’s result about his Brownian motion of eigenvalues of random matrices was carried out? I will try to reproduce Dyson’s arguments. His physics paper was missing some of the computations; I will also not go to all technical details, but rather work out finite cases at an elementary level.
Arguments similar to the original Dyson’s ones also appear (in a more advanced form) in this post by T. Tao. He deals with the proof of Theorem 2 (Dyson’s Brownian motion), but does not mention the proof Theorem 1 (density of eigenvalues) in that post.
One of the versions of my “job talk” in Fall 2013 describing many facets of integrable probability. It is supposed to be accessible. The talk is based on  and on the previous two talks. More details can also be found in arXiv:1106.1596 [math.PR] by Corwin and arXiv:1212.3351 [math.PR] by Borodin and Gorin.
These are lecture notes for a mini-course given at the Cornell Probability Summer School in July 2013. Topics include lozenge tilings of polygons and their representation theoretic interpretation, the $(q,t)$-deformation of those leading to the Macdonald processes, nearest neighbor dynamics on Macdonald processes, their limit to semi-discrete Brownian polymers, and large time asymptotic analysis of polymer’s partition function.
We develop spectral theory for the generator of the $q$-Boson (stochastic) particle system. Our central result is a Plancherel type isomorphism theorem for this system.
We introduce a new interacting (stochastic) particle system $q$-PushASEP which interpolates between the q-TASEP introduced by Borodin and Corwin (see arXiv:1111.4408, and also arXiv:1207.5035; arXiv:1305.2972; arXiv:1212.6716) and the $q$-PushTASEP introduced recently by Borodin and Petrov (arXiv:1305.5501).
The talk is devoted to the construction of Markov dynamics on interlacing arrays which act nicely on the Macdonald measures. In a particular case one gets $q$-deformed Robinson-Schensted insertion algorithms. The talk is based on , , see also , .
Macdonald processes are certain probability measures on two-dimensional arrays of interlacing particles introduced by Borodin and Corwin (arXiv:1111.4408 [math.PR]). They are defined in terms of nonnegative specializations of the Macdonald symmetric functions and depend on two parameters $(q,t)$, where $0\le q, t < 1$. Our main result is a classification of continuous time, nearest neighbor Markov dynamics on the space of interlacing arrays that act nicely on Macdonald processes.
In the recent paper [arXiv:1109.1412], Borodin and Olshanski have presented a novel proof of the celebrated Edrei-Voiculescu theorem which describes the boundary of the Gelfand-Tsetlin graph as a region in an infinite-dimensional coordinate space.
We study large-scale height fluctuations of random stepped surfaces corresponding to uniformly random lozenge tilings of polygons on the triangular lattice.