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# Scaling limit of vicious walks and two-matrix model

## I INTRODUCTION

The vicious walker models, in which random walkers walk without intersecting with any others in a given time interval, were introduced by Michael Fisher and applications of the models to various wetting and melting phenomena were described in his Boltzmann medal lecture Fis84 . Recently, using the standard one-to-one correspondence between walks and Young tableaux, Guttmann et al.GOV98  and Krattenthaler et al.KGV00  showed that exact formulae for total numbers of one-dimensional vicious walks, some of which were conjectured in previous papers Fis84 ; HF84 ; AME91 ; EG95 , are derived following the theory of symmetric functions associated with Young diagrams Mac95 ; Ful97 ; Sta99  or the representation theory of classical groups FH91 . Important analogies between the ensembles of Young tableaux and those of Gaussian random matrices were reported by Johansson Joh00 , and then Baik Bai00  and Nagao and Forrester NF02 ; Fold  studied the vicious walker models using the random matrix theory Meh91 ; Dei00 .

The purpose of the present paper is to demonstrate more explicit relations among the vicious walker model, the symmetric function called the Schur function and the Gaussian ensembles of random matrices by considering the diffusion scaling limit of the one-dimensional vicious walks. Since each random walk converges to a Brownian motion in the scaling limit, the limit process of $`N`$ vicious walkers will be a system of $`N`$ nonintersecting Brownian motions Spohn . In order to enumerate all possible nonintersecting paths of walkers realized on a spatio-temporal plane, we use the so-called Lindström-Gessel-Viennot formula Lin73 ; GV85 ; Stem90 , which leads us to a useful determinantal expression for the transition probability density of nonintersecting Brownian motions. We found that its initial-configuration dependence can be generally described by using the Schur function and the well-known properties of this function enable us to define the nonintersecting Brownian motions in which all particles start from a single position. Because the nonintersecting condition will be imposed for a given time interval, say $`T`$, all the particles are immediately disunited from the initial point, and then they walk randomly keeping the nonintersecting condition. We have studied the time dependence of the spatial distribution of particle positions. We report in this paper that the position distribution of $`N`$ nonintersecting Brownian motions can be identified with the distribution of eigenvalues of $`N\times N`$ complex hermitian matrix $`H`$ coupled to a real symmetric matrix $`A`$, in which $`H`$ and $`A`$ are randomly chosen from the Gaussian ensembles. Such a two-matrix model was studied by Pandey and Mehta PM83 ; MP83 , in which one parameter was introduced to control the coupling strength between two matrices. We will show that the time dependence of our process can be expressed by the parameter dependence of Pandey-Mehta’s two-matrix model.

Here we consider the probability density function of $`N`$ real variables $`\{x_1,\mathrm{},x_N\}`$ with a real parameter $`\beta 0`$,

$`P_\beta (x_1,\mathrm{},x_N)`$ $`=`$ $`Ce^{\beta {\scriptscriptstyle x_j^2/2}}{\displaystyle \underset{1j<kN}{}}|x_jx_k|^\beta `$ (1)
$`=`$ $`C\mathrm{exp}(\beta W(\{x_j\}))`$
with

$$W(\{x_j\})=\frac{1}{2}\underset{j=1}{\overset{N}{}}x_j^2\underset{1j<kN}{}\mathrm{ln}|x_jx_k|,$$
(2)
where $`C`$ is a normalization constant. It is known that (1) with $`\beta =1,2`$ and 4 describe the distributions of eigenvalues of random matrices in the Gaussian orthogonal, unitary and symplectic ensembles, respectively (abbreviated as GOE, GUE and GSE, respectively) Meh91 . For the one-dimensional $`N`$ Brownian motions, in which all particles start from the origin and the nonintersecting condition is imposed in the time interval $`(0,T]`$, we will show that (i) at the very early stage, i.e. $`t/T1`$, the particle distribution is described by using GUE, (ii) as time $`t`$ is going on, a transition from GUE to GOE is observed, and (iii) at the final stage $`t=T`$ the particle distribution can be identified with GOE. As shown by the second equality of (1), the Gaussian ensemble of random matrices can be regarded as the thermodynamical equilibrium of one dimensional gas system with (two-dimensional) Coulomb repulsive potential (2) at the inverse temperature $`\beta `$. Here it should be noted that the vicious walkers on a lattice have only contact repulsive interactions to satisfy the nonintersecting condition. The global effective interactions among walkers are accumulated by taking the diffusion scaling limit and as its result a long-ranged Coulomb gas system is constructed. Such emergence of long-range effects in macroscopic scales from systems having only short-ranged microscopic interactions is found only at critical points in thermodynamical equilibrium systems, but it is a typical phenomenon observed in a various interacting particle systems in far from equilibrium.

In particular, in the limit $`T\mathrm{}`$, that is, when the nonintersecting condition will be imposed forever, we can derive a system of stochastic differential equations for the process with the drift terms which act as the repulsive two-body forces proportional to the inverse of distances between particles. In other words, the scaling limit of vicious walks with $`T\mathrm{}`$ can realize Dyson’s Brownian motion model at $`\beta =2`$ Dys62 . It is reasonable to obtain such a stochastic process from the vicious walker model, since it is known that Dyson’s Brownian motion model at $`\beta =2`$ can be mapped to the free fermion model Spohn ; BF97 . The transition from GUE to GOE is, however, first reported for vicious walkers with $`T<\mathrm{}`$ and explained using the two-matrix model in the present paper.

## II MODEL AND LINDSTRÖM-GESSEL-VIENNOT DETERMINANT

One-dimensional vicious walks are defined as a subset of simple random walks as follows. Let $`\{R_k^{s_j}\}_{k0},j=1,2,\mathrm{},N`$, be the $`N`$ independent symmetric simple random walks on $`𝐙=\{\mathrm{},2,1,0,1,2\mathrm{}\}`$ started from $`N`$ distinct positions, $`2s_1<2s_2<\mathrm{}<2s_N`$, $`s_j𝐙`$. That is,

$$R_0^{s_j}=2s_j,\text{and}R_{k+1}^{s_j}=R_k^{s_j}1\text{or}R_k^{s_j}+1,$$

for $`j=1,2,\mathrm{},N,k=0,1,2,\mathrm{}.`$ Fix the time interval $`K`$ as a positive even number. The total number of walks is $`2^{NK}`$, all of which are assumed to be realized with equal probability $`2^{NK}`$. We consider a subset of walks such that any of walkers does not meet other walkers up to time $`K`$. In other words, the condition

$$R_k^{s_1}<R_k^{s_2}<\mathrm{}<R_k^{s_N},k=1,2,\mathrm{},K,$$
(3)
is imposed. Such a subset of walks is called the vicious walks (up to time $`K`$) Fis84 ; HF84 . Let $`N_N(K;\{e_j\}|\{s_j\})`$ be the total number of the vicious walks, in which the $`N`$ walkers starting from $`2s_1<2s_2<\mathrm{}<2s_N`$ arrive at the positions $`2e_1<2e_2<\mathrm{}<2e_N`$ at time $`K`$. Then the probability that such vicious walks with those fixed end-points are realized in all possible random walks started from the given initial positions, which is denoted as $`V_N(\{R_k^{s_j}\}_{k=0}^K;R_K^{s_j}=2e_j)`$, is

$$V_N(\{R_k^{s_j}\}_{k=0}^K;R_K^{s_j}=2e_j)=\frac{N_N(K;\{e_j\}|\{s_j\})}{2^{NK}}.$$

We also consider the probability

$$V_N(\{R_k^{s_j}\}_{k=0}^K)=\underset{e_1<e_2<\mathrm{}<e_N}{}V_N(\{R_k^{s_j}\}_{k=0}^K;R_K^{s_j}=2e_j).$$

Consider a subset of the square lattice $`𝐙^2`$,

$$_K=\{(x,y)𝐙^2:x+y=\text{even},0yK\},$$

and the set $`_K`$ of all edges which connect the nearest-neighbor pairs of vertices in $`_K`$. The lattice $`(_K,_K)`$ provides the spatio-temporal plane and each walk of the $`j`$-th walker, $`j=1,2,\mathrm{},N`$, can be represented as a sequence of successive edges connecting vertices $`𝐒_j=(2s_j,0)`$ and $`𝐄_j=(2e_j,K)`$ on it, which we call the lattice path running from $`𝐒_j`$ to $`𝐄_j`$. If such lattice paths share a common vertex, they are said to intersect. Under the vicious walk condition (3), what we consider is a set of all $`N`$-tuples of nonintersecting paths Stem90 . Let $`\pi (𝐒𝐄)`$ be the set of all lattice paths from $`𝐒`$ to $`𝐄`$, and $`\pi _0(\{𝐒_j\}_{j=1}^N\{𝐄_j\}_{j=1}^N)`$ be the set of all $`N`$-tuples $`(\pi _1,\mathrm{},\pi _N)`$ of nonintersecting lattice paths, in which $`\pi _j`$ runs from $`𝐒_j`$ to $`𝐄_j`$, $`j=1,2,\mathrm{},N`$. If we write the number of elements in a set $`A`$ as $`|A|`$, then $`N_N(K;\{e_j\}|\{s_j\})=|\pi _0(\{𝐒_j\}_{j=1}^N\{𝐄_j\}_{j=1}^N)|`$.

The Lindström-Gessel-Viennot theorem gives Lin73 ; GV85 ; Stem90  (see also Fis84 ; EG95 ; Fold ),

$$N_N(K;\{e_j\}|\{s_j\})=\underset{1j,kN}{det}(|\pi (𝐒_k𝐄_j)|).$$

Since $`|\pi (𝐒_k𝐄_j)|=\left(\genfrac{}{}{0pt}{}{K}{K/2+s_ke_j}\right),`$ we have the following binomial determinantal expressions

$`V_N(\{R_k^{s_j}\}_{k=0}^K;R_K^{s_j}=2e_j)`$
$`=2^{NK}\underset{1j,kN}{det}\left(\left({\displaystyle \genfrac{}{}{0pt}{}{K}{K/2+s_ke_j}}\right)\right),`$ (4)
and

$`V_N(\{R_k^{s_j}\}_{k=0}^K)`$ (5)
$`=`$ $`2^{NK}{\displaystyle \underset{e_1<e_2<\mathrm{}<e_N}{}}\underset{1j,kN}{det}\left(\left({\displaystyle \genfrac{}{}{0pt}{}{K}{K/2+s_ke_j}}\right)\right).`$
## III SCALING LIMIT OF VICISOUS WALKS

Recently Krattenthaler et al. KGV00  evaluated the asymptotes of (5) for large $`K`$ in the two special initial-configurations, (i) $`s_j=j1`$ and (ii) $`s_j=2(j1)`$, as

$$V_N(\{R_k^{s_j}\}_{k=0}^K)=a_Nb_N(\{s_j\})K^{N(N1)/4}\left(1+𝒪(1/K)\right),$$
(6)
where

$`a_N`$ $`=`$ $`\{\begin{array}{cc}(2^N/\pi )^{N/4}{\displaystyle \underset{j=1}{\overset{N/2}{}}}(2j2)!\hfill & \text{if}N=\text{even}\hfill \\ (2^{N+1}/\pi )^{(N1)/4}{\displaystyle \underset{j=1}{\overset{(N1)/2}{}}}(2j1)!\hfill & \text{if}N=\text{odd},\hfill \end{array}`$ (9)
and

$$b_N(\{j1\})=1,b_N(\{2(j1)\})=2^{N(N1)/2}.$$
(10)
We found that their result can be immediately generalized as

$$b_N(\{s(j1)\})=s^{N(N1)/2}$$

for $`s_j=s(j1),s=1,2,3,\mathrm{}.`$ This observation suggests that we can take the scaling limit $`L\mathrm{}`$, where the time interval $`KL`$ and the initial spacing of walkers $`s\sqrt{L}`$.

### III.1 Schur function

In order to describe the scaling limit of the vicious walks, the symmetric function called the Schur function is useful. Here we give some of the fundamental properties of Schur function Mac95 ; FH91 ; Ful97 ; Sta99 , which will be used below.

A partition $`\lambda =(\lambda _1,\lambda _2,\mathrm{},\lambda _N)`$ is a non-increasing series of non-negative integers, $`\lambda _1\lambda _2\mathrm{}\lambda _N0`$. Let $`V`$ be the $`N`$-dimensional complex vector space. Then the Schur function $`s_\lambda (z_1,\mathrm{},z_N)`$ associated with $`\lambda `$ is a function of $`(z_1,\mathrm{},z_N)V`$ defined by

$$s_\lambda (z_1,\mathrm{},z_N)=\frac{\underset{1j,kN}{det}\left(z_j^{\lambda _k+Nk}\right)}{\underset{1j,kN}{det}\left(z_j^{Nk}\right)}.$$
(11)
Let $`\mathrm{\Delta }_\lambda (\{z_j\})`$ be the numerator of (11), which is an $`N\times N`$ determinant. If we set $`z_\mathrm{}_1=z_\mathrm{}_2`$ for $`1\mathrm{}_1<\mathrm{}_2N`$, then $`\mathrm{\Delta }_\lambda (\{z_j\})=0`$, since the $`\mathrm{}_1`$-th row is equal to the $`\mathrm{}_2`$-th row. Then it is divisible by each of the differences $`z_\mathrm{}_1z_\mathrm{}_2,1\mathrm{}_1<\mathrm{}_2N`$, and hence by their product $`_{1j<kN}(z_jz_k)`$. This product of all differences is known as the Vandermonde determinant, which is nothing but the denominator of (11);

$$\mathrm{\Delta }_0(\{z_j\})\underset{1j,kN}{det}(z_j^{Nk})=\underset{1j<kN}{}(z_jz_k).$$
(12)
Therefore it is concluded that the ratio of two determinants $`\mathrm{\Delta }_\lambda /\mathrm{\Delta }_0`$ is a polynomial in $`z_1,\mathrm{},z_N`$. Moreover, it can be readily seen from (11) that the Schur function is a homogeneous polynomial of degree $`_{j=1}^N\lambda _j`$ in $`z_1,\mathrm{},z_N`$.

Let $`q`$ be a complex variable and set $`z_j=q^{j1}`$ in (11). Then we have

$$s_\lambda (1,q,q^2,\mathrm{},q^{N1})=\frac{\underset{1j,kN}{det}(q^{(j1)(\lambda _k+Nk)})}{\underset{1j,kN}{det}(q^{(j1)(Nk)})}.$$

Appropriate application of the formula of Vandermonde determinant (12) gives the product form

$`s_\lambda (1,q,q^2,\mathrm{},q^{N1})`$
$`=q^{{\scriptscriptstyle (j1)\lambda _j}}{\displaystyle \underset{1j<kN}{}}{\displaystyle \frac{q^{\lambda _j\lambda _k+kj}1}{q^{kj}1}}.`$
Taking the limit $`q1`$, we have the formula

$$s_\lambda (1,1,\mathrm{},1)=\underset{1j<kN}{}\frac{\lambda _j\lambda _k+kj}{kj}.$$
(13)
The Schur function is a character of the irreducible representation specified by $`\lambda `$ of the group $`GL(V)`$ and (13) gives the dimension of the representation.

### III.2 Diffusion scaling limit

We set

$$K=Lt,s_j=\frac{\sqrt{L}}{2}x_j,e_j=\frac{\sqrt{L}}{2}y_j,$$
(14)
for $`j=1,2,\mathrm{},N,`$ and take the limit $`L\mathrm{}`$. Since in this limit each random walk $`R_k^{s_j}`$ converges to a Brownian motion, whose distribution function solves the diffusion equation, this scaling limit is especially called diffusion scaling limit. First we remark that, for each strictly increasing series of integers $`y_1<y_2<\mathrm{}<y_N`$, a weakly decreasing series of integers $`\xi (y)=(\xi _1(y),\mathrm{},\xi _N(y))`$ can be assigned by setting

$$\xi _j(y)=y_{Nj+1}(Nj),j=1,2,\mathrm{},N.$$
(15)
Then we can prove that, for given $`t>0`$, $`x_1<x_2<\mathrm{}<x_N`$, and $`y_1<y_2<\mathrm{}<y_N`$,

$`\underset{L\mathrm{}}{lim}\left({\displaystyle \frac{\sqrt{L}}{2}}\right)^NV_N\left(\left\{R_k^{\sqrt{L}x_j/2}\right\}_{k=0}^{Lt};R_{Lt}^{\sqrt{L}x_j/2}=\sqrt{L}y_j\right)`$ (16)
$`=`$ $`(2\pi t)^{N/2}\underset{1j,kN}{det}\left[\mathrm{exp}\left({\displaystyle \frac{1}{2t}}(x_ky_j)^2\right)\right]`$
$`=`$ $`(2\pi t)^{N/2}s_{\xi (y)}(e^{x_1/t},e^{x_2/t},\mathrm{},e^{x_N/t})`$
$`\times \mathrm{exp}\left({\displaystyle \frac{1}{2t}}{\displaystyle \underset{j=1}{\overset{N}{}}}(x_j^2+y_j^2)\right)h_N(\{e^{x_j/t}\}),`$
where $`s_{\xi (y)}(z_1,\mathrm{},z_N)`$ is the Schur function associated with $`\xi (y)`$, defined by (11) with $`\lambda =\xi (y)`$, and

$`h_N(\{z_j\})`$ $``$ $`\underset{1j,kN}{det}(z_j^{k1})`$ (17)
$`=`$ $`(1)^{N(N1)/2}\mathrm{\Delta }_0(\{z_j\})`$
$`=`$ $`{\displaystyle \underset{1j<kN}{}}(z_kz_j).`$
The proof is given as follows. Setting (14), we apply Stirling’s formula to the RHS of (4) multiplied by $`(\sqrt{L}/2)^N`$,

$`\underset{L\mathrm{}}{lim}2^{NLt}\left({\displaystyle \frac{\sqrt{L}}{2}}\right)^N\underset{1j,kN}{det}\left(\left({\displaystyle \genfrac{}{}{0pt}{}{Lt}{\frac{Lt}{2}+\frac{\sqrt{L}(x_ky_j)}{2}}}\right)\right)`$ (18)
$`=`$ $`\underset{1j,kN}{det}\left(\underset{L\mathrm{}}{lim}2^{Lt}\left({\displaystyle \frac{\sqrt{L}}{2}}\right)\left({\displaystyle \genfrac{}{}{0pt}{}{Lt}{\frac{Lt}{2}+\frac{\sqrt{L}(x_ky_j)}{2}}}\right)\right)`$
$`=`$ $`\underset{1j,kN}{det}\left[{\displaystyle \frac{1}{\sqrt{2\pi t}}}e^{(x_ky_j)^2/2t}\right],`$
which gives the first equality of (16). For the second equality, we rewrite (18) as

$$(2\pi t)^{N/2}e^{{\scriptscriptstyle (x_j^2+y_j^2)/2t}}\underset{1j,kN}{det}\left(e^{x_ky_j/t}\right).$$

The determinant is written as

$`\underset{1j,kN}{det}\left(e^{x_ky_j/t}\right)`$
$`={\displaystyle \frac{det_{1j,kN}\left((e^{x_j/t})^{y_{Nk+1}}\right)}{det_{1j,kN}\left((e^{x_j/t})^{Nk}\right)}}\times h_N(\{e^{x_j/t}\}).`$
Using (15) and the definition of Schur function (11), the second equality of (16) is obtained.

We consider the rescaled one-dimensional lattice $`𝐙/(\sqrt{L}/2)`$, where the unit length is $`2/\sqrt{L}`$, and let $`\stackrel{~}{R}_k^x`$ denote the symmetric simple random walk starting from $`x`$ on $`𝐙/(\sqrt{L}/2)`$. Then (16) implies that

$`\underset{L\mathrm{}}{lim}V_N\left(\left\{\stackrel{~}{R}_k^{x_j}\right\}_{k=0}^{Lt};\stackrel{~}{R}_{Lt}^{x_j}[y_j,y_j+dy_j]\right)`$
$`=f_N(t;\{y_j\}|\{x_j\})d^Ny.`$
Here we can give two expressions for $`f_N(t;\{y_j\}|\{x_j\})`$,

$`f_N(t;\{y_j\}|\{x_j\})`$ (19)
$`=`$ $`(2\pi t)^{N/2}\underset{1j,kN}{det}\left[\mathrm{exp}\left({\displaystyle \frac{1}{2t}}(x_ky_j)^2\right)\right]`$
$`=`$ $`(2\pi t)^{N/2}s_{\xi (y)}(e^{x_1/t},e^{x_2/t},\mathrm{},e^{x_N/t})`$
$`\times \mathrm{exp}\left({\displaystyle \frac{1}{2t}}{\displaystyle \underset{j=1}{\overset{N}{}}}(x_j^2+y_j^2)\right)h_N(\{e^{x_j/t}\}).`$
Since the vicious walkers are defined by imposing the nonintersecting condition (3) up to a given time $`K`$, the process depends on the choice of $`K`$. That is, the process is temporally inhomogeneous. This feature should be inherited in the process obtained in the diffusion scaling limit. Since each random walk converges to a Brownian motion in the diffusion scaling limit, the limit process of the $`N`$ vicious walkers can be called the $`N`$ nonintersecting Brownian motions. Let $`T>0`$ and we consider the $`N`$ nonintersecting Brownian motions in the time interval $`(0,T]`$. Set

$$𝒩_N(t;\{x_j\})=_{y_1<\mathrm{}<y_N}d^Nyf_N(t;\{y_j\}|\{x_j\}).$$

For $`0s<tT,x_1<\mathrm{}<x_N,y_1<\mathrm{}<y_N`$, the transition probability density from the configuration $`\{x_j\}`$ at time $`s`$ to $`\{y_j\}`$ at $`t`$ is given by

$$g_N^T(s,\{x_j\};t,\{y_j\})=\frac{f_N(ts;\{y_j\}|\{x_j\})𝒩_N(Tt;\{y_j\})}{𝒩_N(Ts;\{x_j\})},$$
(20)
since the numerator in RHS gives the nonintersecting probability for $`(0,T]`$ specified with the configurations $`\{x_j\}`$ and $`\{y_j\}`$ at times $`s`$ and $`t`$, respectively, and the denominator gives the probability only specified with $`\{x_j\}`$ at $`s`$, where we have used the Markov property of the process. The temporal inhomogeneity is obvious, since RHS depends not only $`ts`$ but also $`Ts`$ and $`Tt`$.

### III.3 $`t\mathrm{}`$ asymptote of $`𝒩_N(t;\{x_j\})`$

It should be noted that, since $`𝒩_N(t;\{x_j\})`$ is the integral of $`f_N(t;\{y_j\}|\{x_j\})`$ over all possible end-positions $`\{y_j\}`$, it is the probability that $`N`$ Brownian motions starting from $`\{x_j\}`$ do not intersect up to time $`t`$. Before studying the stochastic process defined by the transition probability density (20), here we assume $`|𝐱|_{j=1}^N|x_j|<\mathrm{}`$ and evaluate the $`t\mathrm{}`$ asymptote of $`𝒩_N(t;\{x_j\})`$. In order to do that, the second expression of $`f_N(t;\{y_j\}|\{x_j\})`$ in (19) will be useful,

$`𝒩_N(t;\{x_j\})={\displaystyle \frac{e^{{\scriptscriptstyle x_j^2/2t}}}{(2\pi t)^{N/2}}}h_N(\{e^{x_j/t}\})`$
$`\times {\displaystyle _{y_1<\mathrm{}<y_N}}d^Nys_{\xi (y)}(e^{x_1/t},\mathrm{},e^{x_N/t})e^{{\scriptscriptstyle y_j^2/2t}}.`$
By (13), (15) and (17),

$`\underset{t\mathrm{}}{lim}s_{\xi (y)}(e^{x_1/t},\mathrm{},e^{x_N/t})=s_{\xi (y)}(1,1,\mathrm{},1)`$
$`=h_N(\{y_j\})/{\displaystyle \underset{1j<kN}{}}(kj),`$
and

$$\underset{t\mathrm{}}{lim}t^{N(N1)/2}h_N(\{e^{x_j/t}\})=h_N(\{x_j\}).$$

We define

$$b_N(\{x_j\})=h_N(\{x_j\})/\underset{1j<kN}{}(kj).$$

Remark that this definition of $`b_N(\{x\})`$ is consistent with (10). Then we have

$`𝒩_N(t;\{x_j\})=t^{N^2/2}{\displaystyle \frac{b_N(\{x_j\})}{(2\pi )^{N/2}N!}}`$
$`\times {\displaystyle }d^Nye^{{\scriptscriptstyle y_j^2/2t}}|h_N(\{y_j\})|\times (1+𝒪(1/t))`$
$`=t^{N(N1)/4}{\displaystyle \frac{b_N(\{x_j\})}{(2\pi )^{N/2}N!}}`$
$`\times {\displaystyle }d^Nue^{{\scriptscriptstyle u_j^2/2}}|h_N(\{u_j\})|\times (1+𝒪(1/t)),`$
as $`t`$ tends to infinity, where we have used the facts that with the absolute values the product of differences $`|h_N(\{y_j\})|`$ is invariant under permutation of $`y_j`$, and $`u_j=y_j/\sqrt{t}`$. The last integral is the special case ($`\gamma =1/2`$ and $`a=1/2`$) of

$`{\displaystyle d^Nue^{a{\scriptscriptstyle u_j^2}}\underset{1j<kN}{}|u_ku_j|^{2\gamma }}`$ (21)
$`=`$ $`(2\pi )^{N/2}(2a)^{N(\gamma (N1)+1)/2}{\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{\mathrm{\Gamma }(1+j\gamma )}{\mathrm{\Gamma }(1+\gamma )}},`$
which is found in Mehta Meh91  (eq.(17.6.7) on page 354), whose proof was given in Mac82  by use of Selberg’s integral Sel44 . Here $`\mathrm{\Gamma }(x)`$ is the Gamma function with the values $`\mathrm{\Gamma }(3/2)=\sqrt{\pi }/2`$ and $`_{j=1}^N\mathrm{\Gamma }(1+j/2)=2^{N(N1)/2}(\sqrt{\pi }/2)^NN!a_N,`$ where $`a_N`$ is given by (9). Then we have

$`𝒩_N(t;\{x_j\})`$ (22)
$`=`$ $`t^{\psi _N}2^{2\psi _N}a_Nb_N(\{x_j\})\left(1+𝒪(1/t)\right)`$
with

$$\psi _N=\frac{1}{4}N(N1),$$
(23)
as $`t`$ tends to infinity, where $`\psi _N`$ is known as the critical exponent of survival probability of vicious walkers Fis84 ; HF84 ; MB93a ; MB93b . Since

$$t^{\psi _N}2^{2\psi _N}b_N(\{x_j\})=(Lt)^{\psi _N}b_N(\{\sqrt{L}x_j/2\}),$$

(22) suggests that the result (6) with (9) and (10) of Krattenthaler et al. shall be generalized for arbitrary initial positions of vicious walkers on the lattice.

## IV GAUSSIAN RANDOM MATRIX ENSEMBLES AND DYSON’S BROWNIAN MOTIONS

In this section we study two special choices of $`T`$ ; $`T=t`$ and $`T\mathrm{}`$. We show that there is an interesting correspondence between these choices of $`T`$ and the Gaussian ensembles of random matrices. In order to see it we consider the limit $`|𝐱|0`$, where $`|𝐱|_{j=1}^N|x_j|`$. It will be shown that the second expression of $`f_N(t;\{y_j\}|\{x_j\})`$ in (19) is useful for taking this limit.

### IV.1 $`T=t`$ case and GOE

Since the first expression in (19) gives $`lim_{t0}f_N(t;\{y_j\}|\{x_j\})=_{j=1}^N\delta (x_jy_j)`$ with Dirac’s delta functions, $`𝒩_N(0;\{x_j\})=1`$ for any $`\{x_j\}`$. Then setting $`T=t`$ makes (20) depend only on $`ts`$. Set $`s=0`$ and use the second expression in (19) for $`f_N(t;\{y_j\}|\{x_j\})`$ and $`𝒩_N(t;\{x_j\})`$. By virtue of the Schur function (13), for $`t>0`$ and $`|𝐱|1`$, we have

$`f_N(t;\{y_j\}|\{x_j\})=(2\pi t)^{N/2}h_N(\{e^{x_j/t}\})`$
$`\times s_{\xi (y)}(1,\mathrm{},1)e^{{\scriptscriptstyle y_j^2/2t}}\left(1+𝒪(|x|)\right)`$
$`={\displaystyle \frac{t^{N/2}}{(2\pi )^{N/2}}}e^{{\scriptscriptstyle y_j^2/2t}}h_N(\{y_j\})`$
$`\times {\displaystyle \underset{1j<kN}{}}{\displaystyle \frac{e^{x_k/t}e^{x_j/t}}{kj}}\times (1+𝒪(|x|)),`$
and

$`𝒩_N(t;\{x_j\})=(2\pi t)^{N/2}h_N(\{e^{x_j/t}\})`$
$`\times {\displaystyle _{y_1<\mathrm{}<y_N}}d^Nys_{\xi (y)}(1,\mathrm{},1)e^{{\scriptscriptstyle y_j^2/2t}}(1+𝒪(|x|))`$
$`={\displaystyle \frac{t^{N(N1)/4}}{(2\pi )^{N/2}c_N}}{\displaystyle \underset{1j<kN}{}}{\displaystyle \frac{e^{x_k/t}e^{x_j/t}}{kj}}\left(1+𝒪(|x|)\right),`$
where the integral (21) was used and

$$c_N=\frac{2^{N(N2)/2}}{\pi ^{N/2}a_N}=\left(2^{N/2}\underset{j=1}{\overset{N}{}}\mathrm{\Gamma }(j/2)\right)^1.$$

Then (20) gives

$$g_N^t(0,\{0\};t,\{y_j\})=c_Nt^{\zeta _N}e^{{\scriptscriptstyle y_j^2/2t}}h_N(\{y_j\})$$

for $`y_1<\mathrm{}<y_N`$ with

$$\zeta _N=\frac{1}{4}N(N+1).$$

It means that

$$g_N^t(0,\{0\};t,\{y_j\})=N!g_N^{\mathrm{GOE}}(\{y_i\};t)$$

for $`y_1<\mathrm{}<y_N`$, where

$$g_N^{\mathrm{GOE}}(\{y_j\};\sigma ^2)=\frac{c_N}{N!}\sigma ^{2\zeta _N}\mathrm{exp}\left(\frac{1}{2\sigma ^2}\underset{j=1}{\overset{N}{}}y_j^2\right)h_N(\{y_j\})$$
(24)
is the probability density function of eigenvalues $`\{y_j\}`$ of random matrices in the Gaussian orthogonal ensemble with variance $`\sigma ^2`$ Meh91 .

### IV.2 $`T\mathrm{}`$ limit and GUE

Let

$$p_N(s,\{x_j\};t,\{y_j\})\underset{T\mathrm{}}{lim}g_N^T(s,\{x_j\};t,\{y_j\}).$$

By use of (22) we can determine the explicit form for any initial configuration $`x_1<x_2<\mathrm{}<x_N`$ in this case as

$$p_N(0,\{x_j\};t,\{y_j\})=\frac{h_N(\{y_j\})}{h_N(\{x_j\})}f_N(t;\{y_j\}|\{x_j\}),$$
(25)
where $`h_N`$ is given by (17). Moreover, if we take the limit $`|𝐱|0`$, we have

$$p_N(0,\{0\};t,\{y_j\})=c_N^{}t^{\zeta _N^{}}e^{{\scriptscriptstyle y_j^2/2t}}h_N(\{y_j\})^2,$$
(26)
with

$$\zeta _N^{}=\frac{N^2}{2}\text{and}c_N^{}=\left((2\pi )^{N/2}\underset{j=1}{\overset{N}{}}\mathrm{\Gamma }(j)\right)^1.$$

That is, we have the identity

$$p_N(0,\{0\};t,\{y_j\})=N!g_N^{\mathrm{GUE}}(\{y_i\};t),$$

for $`y_1<\mathrm{}<y_N`$, where

$$g_N^{\mathrm{GUE}}(\{y_j\};\sigma ^2)=\frac{c_N^{}}{N!}\sigma ^{2\zeta _N^{}}\mathrm{exp}\left(\frac{1}{2\sigma ^2}\underset{j=1}{\overset{N}{}}y_j^2\right)h_N(\{y_j\})^2$$
(27)
is the probability density function of eigenvalues $`\{y_j\}`$ of random matrices in the Gaussian unitary ensemble with variance $`\sigma ^2`$ Meh91 .

In the case $`T\mathrm{}`$, the nonintersecting condition will be imposed forever, while in the case $`T=t`$, there will be no condition in the future. The distributions of particles at present depend on the condition in the future.

By generalizing the calculation, which we did in the case $`T=t`$, for arbitrary $`T`$ and comparing the result with (26), we have

$`{\displaystyle \frac{g_N^T(0,\{0\};t,\{y_j\})}{p_N(0,\{0\};t,\{y_j\})}}=\overline{c}_NT^{\psi _N}{\displaystyle \frac{𝒩_N(Tt;\{y_j\})}{h_N(\{y_j\})}}`$ (28)
for $`y_1<\mathrm{}<y_N`$, with (23) and

$$\overline{c}_N=\frac{c_N}{c_N^{}}=\pi ^{N/2}\underset{j=1}{\overset{N}{}}\frac{\mathrm{\Gamma }(j)}{\mathrm{\Gamma }(j/2)}.$$

When $`N=2`$, we can consider the process of one variable $`y=y_2y_1`$. In this case $`g_2^T`$ and $`p_2`$ define the Brownian meander and the Bessel process, respectively, both of which are stochastic processes well-studied in probability theory RY98 . The equality (28) can be regarded as the multi-variable generalization of Imhof’s relation Imh84  between the Brownian meander and the Bessel process.

### IV.3 Dyson’s Brownian motions

In the limit $`T\mathrm{}`$ we have obtained the compact expression (25) for any $`x_1<\mathrm{}<x_N`$ and $`y_1<\mathrm{}<y_N`$. In this section, we show that a system of stochastic differential equations can be explicitly derived for (25). Using it we will explain why we have the GUE distribution.

Let

$$E_k(\{x_j\})=\underset{j=1;jk}{\overset{N}{}}\frac{1}{x_kx_j}\text{for}k=1,2,\mathrm{}N.$$

It is easy to verify that

$$E_k(\{x_j\})=\frac{}{x_k}\mathrm{log}h_N(\{x_j\}),$$
(29)
for $`k=1,2,\mathrm{},N`$, and

$$\underset{k=1}{\overset{N}{}}\left[\frac{}{x_k}E_k(\{x_j\})+\left(E_k(\{x_j\})\right)^2\right]=0.$$
(30)
Using these equalities, we can prove that $`p_N(0,\{x_j\};t,\{y_j\})`$ solves the equation

$$\frac{}{t}u(t;\{x_j\})=\frac{1}{2}\mathrm{\Delta }u(t;\{x_j\})+\underset{k=1}{\overset{N}{}}E_k(\{x_j\})\frac{}{x_k}u(t;\{x_j\}),$$
(31)
where $`\mathrm{\Delta }=_{k=1}^N^2/x_k^2`$. The proof is the following. First we remark that the first expression in (19) states that $`f_N`$ is a finite summation of the products of Gaussian kernels and thus it satisfies the diffusion equation For89 . Therefore

$$\frac{}{t}p_N(0,\{x_j\};t,\{y_j\})=\frac{1}{2}\frac{h_N(\{y_j\})}{h_N(\{x_j\})}\mathrm{\Delta }f_N(t;\{y_j\}|\{x_j\}).$$

Then we can find that, if $`\{E_k(\{x_j\})\}`$ satisfy the equations

$`{\displaystyle \underset{k=1}{\overset{N}{}}}E_k(\{x_j\}){\displaystyle \frac{1}{h_N(\{x_j\})}}{\displaystyle \frac{}{x_k}}f_N(t;\{y_j\}|\{x_j\})`$ (32)
$`=`$ $`{\displaystyle \underset{k=1}{\overset{N}{}}}\left\{{\displaystyle \frac{}{x_k}}{\displaystyle \frac{1}{h_N(\{x_j\})}}\right\}\left\{{\displaystyle \frac{}{x_k}}f_N(t;\{y_j\}|\{x_j\})\right\}`$
and

$$\underset{k=1}{\overset{N}{}}E_k(\{x_j\})\frac{}{x_k}\frac{1}{h_N(\{x_j\})}=\frac{1}{2}\underset{k=1}{\overset{N}{}}\frac{^2}{x_k^2}\frac{1}{h_N(\{x_j\})},$$
(33)
(31) holds with $`u(t;\{x_j\})=p_N(0,\{x_j\};t,\{y_j\})`$. It is easy to see that (32) is satisfied if (29) holds for any $`k=1,2,\mathrm{},N`$. Moreover, using (29), we can reduce (33) to (30). Then the proof is completed.

The above result implies that the process defined in the limit $`T\mathrm{}`$ is the system of $`N`$ particles with positions $`x_1(t),x_2(t),\mathrm{},x_N(t)`$ at time $`t`$ on the real axis, whose time evolution is governed by the stochastic differential equations

$$dx_k(t)=E_k(\{x_j(t)\})dt+dB_k(t),$$
(34)
$`k=1,2,\mathrm{},N,`$ where $`\{B_k(t)\}_{k=1}^N`$ are the independent standard Brownian motions;

$`B_j(0)=0,B_j(t)=0,`$
$`(B_j(t)B_j(s))(B_k(t)B_k(s))=|ts|\delta _{jk}`$
for any $`t,s>0,j,k=1,2,\mathrm{},N`$. Because of the scaling property of Brownian motion, $`\sqrt{a}B_j(t)`$ is equal to $`B_j(at)`$ in distribution for arbitrary $`a>0`$. Then, if we set $`t=2t^{}`$ and write $`x_k(t)=\stackrel{~}{x}_k(t^{})`$, (34) are in the $`\alpha =0,\beta =2`$ case of the equations

$$d\stackrel{~}{x}_k(t^{})=\beta \frac{}{\stackrel{~}{x}_k}W^\alpha (\{\stackrel{~}{x}_j(t^{})\})dt^{}+\sqrt{2}dB_k(t^{}),$$
(35)
$`k=1,2,\mathrm{},N,`$ with

$$W^\alpha (\{\stackrel{~}{x}_j\})=\alpha \underset{j=1}{\overset{n}{}}\frac{\stackrel{~}{x}_j^2}{2}\underset{1j<kn}{}\mathrm{log}(\stackrel{~}{x}_k\stackrel{~}{x}_j).$$

When $`\alpha =1`$, (35) is known as the stochastic differential equations for the Dyson Brownian motions at the inverse temperature $`\beta `$ and the stationary distribution $`\mathrm{exp}(\beta W^1(\{\stackrel{~}{x}_j\}))`$ Dys62 . If $`\alpha =0`$, the factor $`\mathrm{exp}(\beta \alpha \stackrel{~}{x}_j^2/2)`$ will be replaced by $`\mathrm{exp}(\stackrel{~}{x}_j^2/4t^{})`$ for finite $`t^{}`$ and thus when $`t^{}=\sigma ^2/\beta `$ we may have the Gaussian distribution $`\mathrm{exp}((\beta /4\sigma ^2)\stackrel{~}{x}_j^2)h_N(\{\stackrel{~}{x}_j\})^\beta `$. Setting $`\beta =2`$ gives the form (27).

It should be noted that the system of diffusion equations describing the Dyson Brownian motions with $`\beta =2`$ can be mapped to the free fermion model Spohn ; BF97 .

For general $`T<\mathrm{}`$, we will have the stochastic differential equations

$$dx_k(t)=E_k^T(\{x_j(t)\})dt+dB_k(t),$$

for $`k=1,2,\mathrm{},N`$, with

$$E_k^T(\{x_j\})=\frac{}{x_k}\mathrm{ln}𝒩_N(Tt;\{x_j\}).$$

## V TWO-MATRIX MODEL

In Section III we have constructed a system of nonintersecting Brownian motions in one dimension as the diffusion scaling limit of vicious walks. The obtained transition probability density (20) is temporally inhomogeneous and the particle distribution depends not only the observation time $`ts`$ but also on the time interval $`T`$, in which nonintersecting condition is imposed. In the case that all particles start from the origin at time $`s=0`$, it was shown in Section IV that, (i) if $`T=t`$, it can be identified with the eigenvalue distribution of random matrices in GOE, and (ii) if $`T\mathrm{}`$, it becomes GUE.

For a fixed $`T<\mathrm{}`$, the above results are summarized as follows. Consider the one dimensional $`N`$ Brownian motions all starting from the origin at time $`t=0`$. We impose the nonintersecting condition for the time interval $`(0,T]`$. As the ratio $`t/T0`$, the particle distribution is asymptotically described by GUE. On the other hand, at $`t=T`$, it can be identified with GOE. This implies that as time $`t`$ is going on from 0 to $`T`$, there occurs a transition of distribution from GUE to GOE. In this section, we study this transition.

GUE is the ensemble of complex hermitian matrices and GOE is that of real symmetric matrices. The degrees of freedom are, when the matrix sizes are $`N`$, $`N^2`$ and $`N(N+1)/2`$, respectively. If we change the variables from these independent matrix elements to the eigenvalues and other mutually independent variables, and then if we integrate the distribution functions over all variables other than eigenvalues, we will have the probability density functions for $`N`$ real eigenvalues as (27) and (24) Meh91 .

Although the vicious walker model has no matrix structure at all, here we show that its diffusion scaling limit, nonintersecting Brownian motions, can be regarded as the reduction of a one-parameter family of ensembles of matrix structures to a variable space of eigenvalues. The “hidden structure” is not a single matrix but a two-matrix model, in which a complex hermitian matrix is coupled with a real symmetric matrix.

In the first subsection we will derive the two-matrix model from the nonintersecting Brownian motions and the transition from GUE to GOE will be discussed in the second subsection. In the third subsection we will show that the obtained two-matrix model can be identified with the two-matrix model of Pandey and Mehta PM83 ; MP83  by appropriate scale transformation of matrix elements.

### V.1 From vicious walker model to two-matrix model

The generalized Imhof relation (28) with (26) gives

$`g_N^T(0,\{0\};t,\{y_j\})`$ (36)
$``$ $`e^{{\scriptscriptstyle y_j^2/2t}}h_N(\{y_j\}){\displaystyle d^Nz\mathrm{sgn}(h_N(\{z_j\}))}`$
$`\times \underset{1j,kN}{det}\left[\mathrm{exp}({\displaystyle \frac{1}{2(Tt)}}(y_jz_k)^2)\right],`$
where $`\mathrm{sgn}(x)=x/|x|`$. The RHS is rewritten as

$`h_N(\{y_j\}){\displaystyle d^Nz\mathrm{sgn}(h_N(\{z_j\}))}`$
$`\times \underset{1j,kN}{det}\left[\mathrm{exp}({\displaystyle \frac{1}{2t}}y_j^2{\displaystyle \frac{1}{2(Tt)}}(y_jz_k)^2)\right]`$
$`=`$ $`h_N(\{y_j\}){\displaystyle d^Nz\mathrm{sgn}(h_N(\{z_j\}))e^{{\scriptscriptstyle z_j^2/2T}}}`$
$`\times \underset{1j,kN}{det}\left[\mathrm{exp}({\displaystyle \frac{T}{2t(Tt)}}(y_j{\displaystyle \frac{t}{T}}z_k)^2)\right].`$
Setting $`(t/T)z_j=a_j,j=1,2,\mathrm{},N`$, we have

$`g_N^T(0,\{0\};t,\{y_j\})`$ (37)
$``$ $`h_N(\{y_j\}){\displaystyle d^Na\mathrm{sgn}(h_N(\{a_j\}))\mathrm{exp}\left(\frac{T}{2t^2}\underset{j=1}{\overset{N}{}}a_j^2\right)}`$
$`\times \underset{1j,kN}{det}\left[\mathrm{exp}({\displaystyle \frac{T}{2t(Tt)}}(y_ja_k)^2)\right].`$
Consider an ensemble of $`N\times N`$ real symmetric matrices $`\{A\}`$ with an integration measure

$$dA\underset{1jkN}{}dA_{jk}.$$

Let $`\{a_1,a_2,\mathrm{},a_N\}`$ be the eigenvalues of the matrix $`A`$ and $`\{p_1,p_2,\mathrm{},p_{N(N1)/2}\}`$ be other mutually independent variables. Then

$$dA=J(\{a_j\},\{p_j\})\underset{j=1}{\overset{N}{}}da_j\underset{k=1}{\overset{N(N1)/2}{}}dp_k,$$

where $`J(\{a_j\},\{p_j\})`$ is the Jacobian

$$J(\{a_j\},\{p_j\})=\left|\frac{(A_{11},A_{12},\mathrm{},A_{NN})}{(a_1,\mathrm{},a_N,p_1,\mathrm{},p_{N(N1)/2})}\right|.$$

It is known that we can write

$$J(\{a_j\},\{p_k\})=|h_N(\{a_j\})|f(\{p_k\}),$$

where $`f(\{p_k\})`$ is independent of $`a_j`$’s Meh91 . Therefore, for any function $`G(\{a_j\})`$ of $`\{a_1,\mathrm{},a_N\}`$, we have the identity

$$𝑑AG(\{a_j\})=c\underset{j=1}{\overset{N}{}}da_j|h_N(\{a_j\})|G(\{a_j\})$$
(38)
with

$$c=\underset{k=1}{\overset{N(N1)/2}{}}dp_kf(\{p_j\}).$$

Set

$`G(\{a_j\})`$ $`=`$ $`{\displaystyle \frac{1}{|h_N(\{a_j\})|}}\mathrm{sgn}(h_N(\{a_j\}))\mathrm{exp}\left({\displaystyle \frac{T}{2t^2}}{\displaystyle \underset{j=1}{\overset{N}{}}}a_j^2\right)`$
$`\times \underset{1j,kN}{det}\left[\mathrm{exp}({\displaystyle \frac{T}{2t(Tt)}}(y_ja_k)^2)\right].`$
Then using the formula (38), (37) becomes

$`g_N^T(0,\{0\};t,\{y_j\})`$ (39)
$``$ $`h_N(\{y_j\}){\displaystyle 𝑑A\frac{1}{h_N(\{a_j\})}\mathrm{exp}\left(\frac{T}{2t^2}\underset{j=1}{\overset{N}{}}a_j^2\right)}`$
$`\times \underset{1j,kN}{det}\left[\mathrm{exp}({\displaystyle \frac{T}{2t(Tt)}}(y_ja_k)^2)\right].`$
Next we use the following integral formula HC57 ; IZ80 ; Meh81 ; for $`N\times N`$ hermitian matrices $`A`$ and $`B`$ having eigenvalues $`\{a_1,\mathrm{},a_N\}`$ and $`\{b_1,\mathrm{},b_N\}`$, respectively, and for any constant $`\gamma `$,

$`{\displaystyle 𝑑U\mathrm{exp}\left[\gamma \mathrm{tr}(AU^{}BU)^2\right]}`$
$``$ $`{\displaystyle \frac{1}{h_N(\{a_j\})h_N(\{b_j\})}}\underset{1j,kN}{det}\left[\mathrm{exp}\left(\gamma (a_jb_k)^2\right)\right],`$
where the integral is taken over the group of unitary matrices $`U`$. Then (39) can be written as

$`g_N^T(0,\{0\};t,\{y_j\})`$ (40)
$``$ $`h_N(\{y_j\})^2{\displaystyle 𝑑U𝑑A\mathrm{exp}\left(\frac{T}{2t^2}\mathrm{tr}A^2\right)}`$
$`\times \mathrm{exp}\left({\displaystyle \frac{T}{2t(Tt)}}\mathrm{tr}(U^{}YUA)^2\right),`$
where $`Y`$ is the $`N\times N`$ diagonal matrix such that $`Y_{jk}=y_j\delta _{jk}.`$ Since $`U`$ is a unitary matrix, $`H=U^{}YU`$ is an $`N\times N`$ complex hermitian matrix. Then the integrand of (40) can be regarded as a weight for two matrices $`H`$ and $`A`$ given as

$$\mathrm{exp}\left(\mathrm{tr}\left(\gamma _HH^2\gamma _{HA}HA+\gamma _AA^2\right)\right)$$

with

$$\gamma _H=\frac{T}{2t(Tt)},\gamma _{HA}=\frac{T}{t(Tt)},\gamma _A=\frac{T^2}{2t^2(Tt)}.$$
(41)
Consider an ensemble of $`N\times N`$ complex hermitian matrices $`\{H\}`$ with the integration measure

$$dH=\underset{1jkN}{}d\mathrm{Re}(H_{jk})\underset{1j<kN}{}d\mathrm{Im}(H_{jk}).$$

For each complex hermitian matrix $`H`$, let $`\{y_1,\mathrm{},y_N\}`$ be a set of eigenvalues and $`U`$ be the $`N\times N`$ unitary matrix such that $`H=U^{}YU`$ with $`Y_{jk}=y_j\delta _{jk}`$. Then it is known that the integration measure $`dH`$ can be factorized into the product of the Haar measure for unitary matrices $`dU`$ and an integration measure for eigenvalues Meh91 ; Dei00

$$dHdU\times h_N(\{y_j\})^2\underset{j=1}{\overset{N}{}}dy_j.$$

Now we introduce a two-matrix model, which consists of an $`N\times N`$ real symmetric matrix $`A`$ and an $`N\times N`$ complex hermitian matrix $`H`$, with a probability density function

$$\mu _N(H,A)=\frac{1}{Z_N}\mathrm{exp}\left(\mathrm{tr}(\gamma _HH^2\gamma _{HA}HA+\gamma _AA^2)\right).$$

Here $`\gamma _H,\gamma _{HA},\gamma _A`$ are given as (41) and $`Z_N`$ is the partition function of the two-matrix model,

$$Z_N=𝑑H𝑑A\mathrm{exp}\left(\mathrm{tr}(\gamma _HH^2\gamma _{HA}HA+\gamma _AA^2)\right).$$

Then the relation

$$g_N^T(0,\{0\};t,\{y_j\})h_N(\{y_j\})^2𝑑U𝑑A\mu _N(U^{}YU,A)$$

is established.

### V.2 Transition from GUE to GOE

Consider the Gaussian ensembles of real symmetric matrices $`\{A\}`$ and complex hermitian matrices $`\{H\}`$ with sizes $`N`$ with the probability density functions

$$\nu _N(A)=C_A\mathrm{exp}\left(\frac{1}{2\sigma _A^2}\mathrm{tr}A^2\right),$$

and

$$\stackrel{~}{\nu }_N(H)=C_H\mathrm{exp}\left(\frac{1}{2\sigma _H^2}\mathrm{tr}H^2\right),$$

respectively, where

$$\sigma _A^2=\frac{t^2}{T},\sigma _H^2=t\left(1\frac{t}{T}\right),$$

and $`C_A=2^{N/2}(\pi \sigma _A^2)^{\zeta _N},C_H=2^{N/2}(\pi \sigma _H^2)^{\zeta _N^{}}.`$ Then consider the convolution

$$\widehat{\mu }_N(H)=𝑑A\nu _N(A)\stackrel{~}{\nu }_N(HA).$$

Since, for $`1j,kN`$,

$$H_{jk}=\mathrm{Re}(H_{jk})+i\mathrm{Im}(H_{jk})$$

with $`i=\sqrt{1}`$, and

$$\mathrm{Re}(A_{jk})=A_{jk},\mathrm{Im}(A_{jk})=0,$$

the convolution is also Gaussian distribution in the form

$`\widehat{\mu }_N(H)`$
$``$ $`\mathrm{exp}\left({\displaystyle \underset{j,k}{}}\left\{{\displaystyle \frac{\left(\mathrm{Re}(H_{jk})\right)^2}{2(\sigma _H^2+\sigma _A^2)}}+{\displaystyle \frac{\left(\mathrm{Im}(H_{jk})\right)^2}{2\sigma _H^2}}\right\}\right).`$
Then (40) gives

$`g_N^T(0,\{0\};t,\{y_j\})h_N(\{y_j\})^2{\displaystyle 𝑑U\widehat{\mu }_N(H)}`$
$``$ $`h_N(\{y_j\})^2\times `$
$`{\displaystyle 𝑑U\mathrm{exp}\left(\underset{j,k}{}\left\{\frac{\left(\mathrm{Re}(H_{jk})\right)^2}{2\sigma _{\mathrm{Re}}^2}+\frac{\left(\mathrm{Im}(H_{jk})\right)^2}{2\sigma _{\mathrm{Im}}^2}\right\}\right)},`$
where $`H=U^{}YU`$ and

$$\sigma _{\mathrm{Re}}^2=t,\sigma _{\mathrm{Im}}^2=t\left(1\frac{t}{T}\right).$$
(43)
Now the transition from GUE to GOE is explicitly represented by the time-dependent variances (43). With a fixed finite $`T`$, if $`0<tT`$, $`\sigma _{\mathrm{Re}}^2=t\sigma _{\mathrm{Im}}^2.`$ Then the real and imaginary parts of complex hermitian matrix elements are equally distributed as in GUE. While $`\sigma _{\mathrm{Re}}^2`$ increases linearly in $`t`$, $`\sigma _{\mathrm{Im}}^2`$ increases in time $`t`$ only up to time $`t=T/2`$ and then decreases in time. At time $`t=T`$, $`\sigma _{\mathrm{Im}}^2=0`$, which implies that the imaginary parts of matrix elements are zeros with probability one. Then the distribution is identified with GOE.

### V.3 Pandey-Mehta’s two-matrix model

As an interpolation between GUE and GOE, Pandey and Mehta introduced a family of Gaussian ensembles of hermitian matrices $`\{H\}`$ with one parameter $`\alpha [0,1]`$ PM83 ; MP83 ,

$`\mu _N^{\mathrm{PM}}(H,\alpha )`$ (44)
$`=`$ $`C_{\mathrm{PM}}\mathrm{exp}\left({\displaystyle \underset{j,k}{}}\left\{{\displaystyle \frac{\left(\mathrm{Re}(H_{jk})\right)^2}{4v^2}}+{\displaystyle \frac{\left(\mathrm{Im}(H_{jk})\right)^2}{4v^2\alpha ^2}}\right\}\right),`$
where $`v^2=\{2(1+\alpha ^2)\}^1`$ and $`C_{\mathrm{PM}}=2^{N/2}\alpha ^{N(N1)/2}(2\pi v^2)^{N^2/2}.`$ Set

$$\kappa =\sqrt{\frac{t(2Tt)}{T}}.$$
(45)
Then, it is easy to see that, if

$$\alpha ^2=1\frac{t}{T},$$
(46)
the equality

$$\kappa ^N\widehat{\mu }_N(\kappa H)=\mu _N^{\mathrm{PM}}(H,\alpha )$$
(47)
is established.

For an even integer $`N`$ and an antisymmetric $`N\times N`$ matrix $`B=(b_{jk})`$ we put

$`\mathrm{Pf}_{1j<kN}(b_{jk})`$
$`=`$ $`{\displaystyle \frac{1}{(N/2)!}}{\displaystyle \underset{\sigma }{}}\mathrm{sgn}(\sigma )b_{\sigma (1)\sigma (2)}b_{\sigma (3)\sigma (4)}\mathrm{}b_{\sigma (N1)\sigma (N)},`$
where the summation is extended over all permutations $`\sigma `$ of $`(1,2,\mathrm{},N)`$ with restriction $`\sigma (2k1)<\sigma (2k)`$, $`k=1,2,\mathrm{},N/2`$. This expression is known as the Pfaffian Stem90 . Pandey and Mehta showed that the probability density function of eigenvalues $`\{y_j\}`$ of the complex hermitian matrices, which are distributed following (44), is given by

$`g_N^{\mathrm{PM}}(\{y_j\},\alpha )`$ $`=`$ $`C_N(\alpha )\mathrm{exp}\left[{\displaystyle \frac{1}{2}}(1+\alpha ^2){\displaystyle \underset{j=1}{\overset{N}{}}}y_j^2\right]`$ (48)
$`\times h_N(\{y_j\})\mathrm{Pf}_{1j<kN}(F_{jk}),`$
where, setting

$$f(x)\left(\frac{1\alpha ^4}{\pi \alpha ^2}\right)^{1/2}_0^x\mathrm{exp}\left(\frac{1\alpha ^4}{4\alpha ^2}y^2\right)𝑑y,$$

if $`N`$ is even, $`F_{jk}=f(y_jy_k),j,k=1,2,\mathrm{},N,`$ and if $`N`$ is odd, we use above and in addition $`F_{j,N+1}=F_{N+1,j}=1,j=1,2,\mathrm{},N,F_{N+1,N+1}=0,`$ and $`C_N(\alpha )^1=2^{3N/2}(1\alpha ^2)^{N(N1)/4}(1+\alpha ^2)^{N(N+1)/4}_{j=1}^N\mathrm{\Gamma }(1+j/2)`$ PM83 ; MP83 . Then the relation (LABEL:eqn:gNTa4) and the equality (47) with (45) and (46) imply the expression

$`g_N^T(0,\{0\};t,\{y_j\})=c_NT^{N(N1)/4}t^{N^2/2}h_N(\{y_j\})`$
$`\times \mathrm{exp}\left({\displaystyle \frac{1}{2t}}{\displaystyle \underset{j=1}{\overset{N}{}}}y_j^2\right)\mathrm{Pf}_{1j<k\widehat{N}}(\stackrel{~}{F}_{jk}(Tt,\{y_{\mathrm{}}\})),`$
(49)
where

$$\widehat{N}=\{\begin{array}{cc}N& \text{if }N\text{ is even}\hfill \\ N+1& \text{if }N\text{ is odd},\hfill \end{array}$$

and

$`\stackrel{~}{F}_{jk}(t,\{y_{\mathrm{}}\})`$ (55)
$`=`$ $`\{\begin{array}{cc}{\displaystyle \frac{2}{\sqrt{\pi }}}\mathrm{Erf}\left({\displaystyle \frac{y_ky_j}{2\sqrt{t}}}\right)& \text{if}1j,kN,\hfill \\ & \\ 1& \text{if}1jN,k=N+1,\hfill \\ 1& \text{if}j=N+1,1kN,\hfill \\ 0& \text{if}j=k=N+1\hfill \end{array}`$
with

$$\mathrm{Erf}(x)=_0^x𝑑ue^{u^2}.$$

In order to derive (48), Pandey and Mehta performed integration over alternative variables and then used the theory of Pfaffian PM83 ; MP83 ; Meh91 . In Appendix, we will give the integration version of Okada’s minor-summation formula Oka89 . It should be noted that using it (49) can be readily obtained from (36) and this derivation provides another proof of the equality (47).

## VI CONCLUDING REMARKS

In the present paper we performed the diffusion scaling limit of vicious walker model in one dimension and constructed the nonintersecting Brownian motions for any finite number $`N`$ of particles all starting from the origin. There the Schur function plays an important role to represent the transition probability density. We have shown that the spatial distribution of particles depends not only the observation time $`t`$ but also on the time interval $`T`$ in which the nonintersecting condition is imposed, and it can be described by use of the probability density function of eigenvalues of $`N\times N`$ random matrices in Gaussian ensembles. It was shown that the particle distribution depends on the ratio $`t/T`$ and a transition from GUE distribution to GOE distribution occurs in its time development. Such a transition between different ensembles of random matrices had been studied in the two-matrix model by Pandey and Mehta, in which a parameter $`\alpha `$ was introduced and a one-parameter family of random matrix ensembles was considered. The present work showed that the scaling limit of vicious walk model realizes such a two-matrix model as a stochastic process, in such a way that the parameter $`\alpha `$ is continuously changed following (46) as the system is developing in time $`t`$ up to $`T`$.

In the present paper, since we have considered only the transition probability density between two different times, a two-matrix model was analyzed. As briefly reported in NKT02 , however, multi-time correlations among particles at intermediate times between $`t=0`$ and $`t=T`$ can be identified with inter-matrix correlations in a multimatrix model. The corresponding multimatrix model for calculating $`M`$-intermediate-time correlation functions is a version of Nagao’s $`(M+1)`$ matrix model, where one real symmetric matrix is combined at the end of a chain of $`M`$ complex hermitian matrices Nag01 . This observation implies that the diffusion scaling limit of the vicious walker model is mathematically identified with a matrix chain, which is set along the time axis. The time development from GUE to GOE in the process can be then regarded as appearance of an edge effect, as the observation time $`t`$ on the time axis is approaching to the end point $`t=T`$ in this chain structure. Further study on the relations between multimatrix models and nonequilibrium interacting particle systems is desired.

###### Acknowledgements.

The authors acknowledge useful discussions with P. Forrester, T. Nagao, C. Krattenthaler, J. Cardy and T. Fukui.

*

## Appendix A INTEGRATION VERSION OF OKADA’S MINOR-SUMMATION FORMULA

Assume $`1nm`$ and let $`z(j,k),1jn,1km`$, be indeterminates and $`Z(z(j,k))`$ be the $`n\times m`$ matrix with $`(j,k)`$-element $`z(j,k)`$. We consider the sum of all minors of $`Z`$ with a given size $`r`$. That is, we define

$$d(a_1,\mathrm{},a_r)=\underset{1b_1<b_2<\mathrm{}<b_rm}{}\underset{1j,kr}{det}(z(a_j,b_k))$$

for $`r=1,2,\mathrm{},m`$. Okada proved the following equalities known as the minor-summation formula Oka89 ; if $`r`$ is odd, then

$`d(a_1,\mathrm{},a_r)=`$
$`\mathrm{Pf}\left(\begin{array}{ccccc}0& d(a_1)& d(a_2)& \mathrm{}& d(a_r)\\ d(a_1)& 0& d(a_1,a_2)& \mathrm{}& d(a_1,a_r)\\ d(a_2)& d(a_1,a_2)& 0& \mathrm{}& d(a_2,a_r)\\ & & \mathrm{}& & \\ d(a_r)& d(a_1,a_r)& d(a_2,a_r)& \mathrm{}& 0\end{array}\right),`$
if $`r`$ is even, then

$`d(a_1,\mathrm{},a_r)=`$
$`\mathrm{Pf}\left(\begin{array}{ccccc}0& d(a_1,a_2)& d(a_1,a_3)& \mathrm{}& d(a_1,a_r)\\ d(a_1,a_2)& 0& d(a_2,a_3)& \mathrm{}& d(a_2,a_r)\\ d(a_1,a_3)& d(a_2,a_3)& 0& \mathrm{}& d(a_3,a_r)\\ & \mathrm{}& & \\ d(a_1,a_r)& d(a_2,a_r)& d(a_3,a_r)& \mathrm{}& 0\end{array}\right).`$
Now we give the integration version of Okada’s formula. Let $`z(x,y)`$ be a square integrable continuous function of real variables $`x,y`$. Then

$`{\displaystyle _{\mathrm{}<y_1<\mathrm{}<y_n<\mathrm{}}}d^ny\underset{1j,kn}{det}(z(x_j,y_k))`$ (56)
$`=`$ $`\mathrm{Pf}_{1j<k\widehat{n}}(F_{jk}(\{x_{\mathrm{}}\})),`$
where

$$\widehat{n}=\{\begin{array}{cc}n& \text{if }n\text{ is even}\hfill \\ n+1& \text{if }n\text{ is odd},\hfill \end{array}$$

and

$$F_{jk}(\{x_{\mathrm{}}\})=\{\begin{array}{cc}I_z(x_j,x_k)& \text{if}1j<kn,\hfill \\ I_z(x_j,x_k)& \text{if}1k<jn,\hfill \\ I_z(x_j)& \text{if}1jn,k=n+1,\hfill \\ I_z(x_k)& \text{if}j=n+1,1kn,\hfill \\ 0& \text{if}1j=kn+1\hfill \end{array}$$

with

$`I_z(x_j)={\displaystyle _{\mathrm{}}^{\mathrm{}}}z(x_j,y)𝑑y,`$
$`I_z(x_j,x_k)={\displaystyle _{\mathrm{}<y_1<y_2<\mathrm{}}}\left|\begin{array}{cc}z(x_j,y_1)& z(x_j,y_2)\\ z(x_k,y_1)& z(x_k,y_2)\end{array}\right|𝑑y_1𝑑y_2.`$
The proof is the following. We write the integral in LHS of (56) as a limit of summation;

$`{\displaystyle _{\mathrm{}<y_1<\mathrm{}<y_n<\mathrm{}}}d^ny\underset{1j,kn}{det}\left(z(x_j,y_k)\right)`$
$`=`$ $`\underset{M\mathrm{}}{lim}{\displaystyle _{M/2y_1<\mathrm{}<y_nM/2}}d^ny\underset{1j,kn}{det}\left(z(x_j,y_k)\right)`$
$`=`$ $`\underset{M\mathrm{}}{lim}\underset{\delta 0}{lim}\delta ^n{\displaystyle \underset{1b_1<\mathrm{}<b_Nm(M,\delta )}{}}\underset{1j,kn}{det}(z(x_j,\widehat{y}(b_k))),`$
where $`m(M,\delta )=[M/\delta ]`$, the greatest integer not greater than $`M/\delta `$, and

$$\widehat{y}(b)=\frac{M\delta }{m(M,\delta )1}b\left\{\frac{M\delta }{m(M,\delta )1}+\frac{M}{2}\right\}.$$

Let

$`\stackrel{~}{d}(x_j)`$ $`=`$ $`{\displaystyle \underset{1b_1m(M,\delta )}{}}z(x_j,\widehat{y}(b_1)),`$
$`\stackrel{~}{d}(x_j,x_k)`$ $`=`$ $`{\displaystyle \underset{1b_1<b_2m(M,\delta )}{}}\left|\begin{array}{cc}z(x_j,\widehat{y}(b_1))& z(x_j,\widehat{y}(b_2))\\ z(x_k,\widehat{y}(b_1))& z(x_k,\widehat{y}(b_2))\end{array}\right|,`$
and set

$$S_{jk}(\{x_{\mathrm{}}\})=\{\begin{array}{cc}\stackrel{~}{d}(x_j,x_k)& \text{if}1j<kn,\hfill \\ \stackrel{~}{d}(x_j,x_k)& \text{if}1k<jn,\hfill \\ \stackrel{~}{d}(x_j)& \text{if}1jn,k=n+1,\hfill \\ \stackrel{~}{d}(x_j)& \text{if}j=n+1,1kn,\hfill \\ 0& \text{if}1j=kn+1.\hfill \end{array}$$

Then Okada’s formula gives

$`{\displaystyle _{\mathrm{}<y_1<\mathrm{}<y_n<\mathrm{}}}d^ny\underset{1j,kn}{det}(z(x_j,y_k))`$ (57)
$`=`$ $`\underset{M\mathrm{}}{lim}\underset{\delta 0}{lim}\delta ^n\mathrm{Pf}_{1j<k\widehat{n}}(S_{jk}(\{x_{\mathrm{}}\})).`$
Since the Pfaffian in (57) is a finite summation of $`n/2`$ products of $`\stackrel{~}{d}(x_j,x_k)`$’s if $`n`$ is even, and it is a finite summation of $`(n1)/2`$ products of $`\stackrel{~}{d}(x_j,x_k)`$’s multiplied by $`\stackrel{~}{d}(x_{\mathrm{}})`$ if $`n`$ is odd, we may have

$`{\displaystyle _{\mathrm{}<y_1<\mathrm{}<y_n<\mathrm{}}}d^ny\underset{1j,kn}{det}(z(x_j,y_k))`$
$`=`$ $`\mathrm{Pf}_{1j<k\widehat{n}}\left(\underset{M\mathrm{}}{lim}\underset{\delta 0}{lim}\delta ^{\alpha (j,k)}S_{jk}(\{x_{\mathrm{}}\})\right),`$
where

$`\alpha (j,k)`$ $`=`$ $`2\text{for}1j<kn,`$
$`\alpha (j,n+1)`$ $`=`$ $`1\text{for}1jn.`$
Since $`z(x,y)`$ is assumed to be square integrable and continuous,

$`\underset{M\mathrm{}}{lim}\underset{\delta 0}{lim}\delta S_{jn+1}(\{x_{\mathrm{}}\})`$ $`=`$ $`I_z(x_j),`$
$`\underset{M\mathrm{}}{lim}\underset{\delta 0}{lim}\delta ^2S_{jk}(\{x_{\mathrm{}}\})`$ $`=`$ $`I_z(x_j,x_k),`$
for $`1j,kn`$. Then the proof is completed.

By elementary calculation we can show that

$`I_z(x)=1,`$
$`I_z(x,y)={\displaystyle \frac{2}{\sqrt{\pi }}}\mathrm{Erf}\left({\displaystyle \frac{yx}{2\sqrt{t}}}\right)`$
for $`z(x,y)=\frac{1}{\sqrt{2\pi t}}e^{(xy)^2/2t}.`$ Applying (56) with $`n=N`$, the expression (49) is obtained from (36).