1306.5663 (Manuela Girotti)

Riemann-Hilbert approach to gap probabilities for the Bessel process    [PDF]

Manuela Girotti

We consider the gap probability for the Bessel process in the single-time and multi-time case. We prove that the scalar and matrix Fredholm determinants of such process can be expressed in terms of determinants of integrable kernels \`a la Its-Izergin-Korepin-Slavnov and thus related to suitable Riemann-Hilbert problems. In the single-time case, we construct a Lax pair formalism and we derive a Painlev\'e III equation related to the Fredholm determinant.

View original: http://arxiv.org/abs/1306.5663