Generalized orthogonal polynomials, discrete KP and Riemann-Hilbert problems

Classically, a single weight on an interval of the real line leads to moments, orthogonal polynomials and tridiagonal matrices. Appropriately deforming this weight with times t=(t_1,t_2,...), leads to the standard Toda lattice and tau-functions, expressed as Hermitian matrix integrals. This paper is concerned with a sequence of t-perturbed weights, rather than one single weight. This sequence leads to moments, polynomials and a (fuller) matrix evolving according to the discrete KP-hierarchy. The associated tau-functions have integral, as well as vertex operator representations. Among the examples considered, we mention: nested Calogero-Moser systems, concatenated solitons and m-periodic sequences of weights. The latter lead to 2m+1-band matrices and generalized orthogonal polynomials, also arising in the context of a Riemann-Hilbert problem. We show the Riemann-Hilbert factorization is tantamount to the factorization of the moment matrix into the product of a lower- times upper-triangular matrix.Comment: 40 page

Vertex operator solutions to the discrete KP-hierarchy

Vertex operators, which are disguised Darboux maps, transform solutions of the KP equation into new ones. In this paper, we show that the bi-infinite sequence obtained by Darboux transforming an arbitrary KP solution recursively forward and backwards, yields a solution to the discrete KP-hierarchy. The latter is a KP hierarchy where the continuous space x-variable gets replaced by a discrete n-variable. The fact that these sequences satisfy the discrete KP hierarchy is tantamount to certain bilinear relations connecting the consecutive KP solutions in the sequence. At the Grassmannian level, these relations are equivalent to a very simple fact, which is the nesting of the associated infinite-dimensional planes (flag). It turns out that many new and old systems lead to such discrete (semi-infinite) solutions, like sequences of soliton solutions, with more and more solitons, sequences of Calogero-Moser systems, having more and more particles, band matrices, etc... ; this will be developped in another paper. In this paper, as an other example, we show that the q-KP hierarchy maps, via a kind of Fourier transform, into the discrete KP hierarchy, enabling us to write down a very large class of solutions to the q-KP hierarchy.Comment: 32 page

PDEs for the joint distributions of the Dyson, Airy and Sine processes

In a celebrated paper, Dyson shows that the spectrum of an n\times n random Hermitian matrix, diffusing according to an Ornstein-Uhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge and bulk scalings for Hermitian random matrices, applied to the Dyson process, lead to the Airy and Sine processes. In particular, the Airy process is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian motion, when the number of particles gets large, with space and time appropriately rescaled. In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy process at two different times. Similarly we find a PDE satisfied by the joint distribution of the Sine process. This hinges on finding a PDE for the joint distribution of the Dyson process, which itself is based on the joint probability of the eigenvalues for coupled Gaussian Hermitian matrices. The PDE for the Dyson process is then subjected to an asymptotic analysis, consistent with the edge and bulk rescalings. The PDEs enable one to compute the asymptotic behavior of the joint distribution and the correlation for these processes at different times t_1 and t_2, when t_2-t_1\to \infty, as illustrated in this paper for the Airy process. This paper also contains a rigorous proof that the extended Hermite kernel, governing the joint probabilities for the Dyson process, converges to the extended Airy and Sine kernels after the appropriate rescalings.Comment: Published at http://dx.doi.org/10.1214/009117905000000107 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Darboux transforms on Band Matrices, Weights and associated Polynomials

Classically, it is well known that a single weight on a real interval leads to orthogonal polynomials. In "Generalized orthogonal polynomials, discrete KP and Riemann-Hilbert problems", Comm. Math. Phys. 207, pp. 589-620 (1999), we have shown that $m$-periodic sequences of weights lead to "moments", polynomials defined by determinants of matrices involving these moments and $2m+1$-step relations between them, thus leading to $2m+1$-band matrices $L$. Given a Darboux transformations on $L$, which effect does it have on the $m$-periodic sequence of weights and on the associated polynomials ? These questions will receive a precise answer in this paper. The methods are based on introducing time parameters in the weights, making the band matrix $L$ evolve according to the so-called discrete KP hierarchy. Darboux transformations on that $L$ translate into vertex operators acting on the $\tau$-function.Comment: 43 page