Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions

This paper proves an equality in law between the invariant measure of a reflected system of Brownian motions and a vector of point-to-line last passage percolation times in a discrete random environment. A consequence describes the distribution of the all-time supremum of Dyson Brownian motion with...

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Veröffentlicht in:Probability theory and related fields 2020-10, Vol.178 (1-2), p.121-171
Hauptverfasser: FitzGerald, Will, Warren, Jon
Format: Artikel
Sprache:eng
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Zusammenfassung:This paper proves an equality in law between the invariant measure of a reflected system of Brownian motions and a vector of point-to-line last passage percolation times in a discrete random environment. A consequence describes the distribution of the all-time supremum of Dyson Brownian motion with drift. A finite temperature version relates the point-to-line partition functions of two directed polymers, with an inverse-gamma and a Brownian environment, and generalises Dufresne’s identity. Our proof introduces an interacting system of Brownian motions with an invariant measure given by a field of point-to-line log partition functions for the log-gamma polymer.
ISSN:0178-8051
1432-2064
DOI:10.1007/s00440-020-00972-z