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# 1 Introduction

## 1 Introduction

The system of one-dimensional symmetric simple random walks, in which none of walkers have met others in a given time period, is called the vicious walker model. ( See Fisher’s paper , in which it was introduced as a model of statistical mechanics.) The purpose of this paper is to study the scaling limit of vicious walkers as a stochastic process. Since each random walk tends to a Brownian motion in the diffusion scaling limit, an interacting system of $`N`$ Brownian motions will be constructed as the scaling limit of vicious walkers with an arbitrary finite number of walkers $`N`$. We show that a functional central limit theorem for vicious walkers holds and the limit process $`𝐗(t)=(X_1(t),X_2(t),\mathrm{},X_N(t))`$ is a temporally inhomogeneous diffusion, that is, its transition probability depends on the time interval $`(0,T]`$ in which the nonintersecting condition is imposed. We claim that when $`N=2`$, the process $`(X_2(t)X_1(t))/\sqrt{2}`$ is a one-dimensional Brownian motion conditioned to stay positive during a finite time interval $`(0,T]`$, which is called a Brownian meander in .

We also study the temporally homogeneous diffusion process $`𝐘(t)=(Y_1(t),Y_2(t),\mathrm{},Y_N(t))`$, which is obtained from the previous process by taking $`T\mathrm{}`$. The process $`𝐘(t)`$ is the Doob h-transform  of the absorbing Brownian motion in a Weyl chamber with harmonic function $`h_N(𝐱)=_{1i<jN}(x_jx_i)`$, and can be regarded as a system of Brownian motions with the drift terms acting as the repulsive two-body forces proportional to the inverse of distances between particles . In other words, if we set $`T\mathrm{}`$, the scaling limit of vicious walkers can realize a Dyson’s Brownian motion model studied in the random matrix theory . We show the following relation between the processes $`𝐗(t)`$ and $`𝐘(t)`$:

$$P(𝐗()dw)=\overline{c}_N(T)P(𝐘()dw)\frac{1}{h(w(T))},$$

where $`\overline{c}_N(T)`$ is the normalization constant. This equality is a generalization of Imhof’s formula, which relates the Brownian meander and the three-dimensional Bessel process .

The Gaussian ensembles of random matrices can be regarded as the thermodynamical equilibrium of Coulomb gas system and that is the reason why Dyson introduced a one-dimensional model of interacting Brownian particles with (two-dimensional) Coulomb repulsive potentials . Similar relations between our processes and random matrix ensembles can be seen. The distribution of $`𝐘(t)`$ is described by using the probability density of eigenvalues of random matrices in the Gaussian unitary ensemble (GUE) with variance $`t`$. Pandey and Mehta  introduced a Gaussian ensemble of Hermitian matrices depending on a parameter $`\alpha [0,1]`$. When $`\alpha =0`$, the ensemble is the Gaussian orthogonal ensemble (GOE), and when $`\alpha =1`$, it is the GUE. We will find that the probability density function of $`\sqrt{T/\{t(2Tt)\}}𝐗(t)`$ coincides with that of eigenvalues of matrices in the Pandey-Mehta ensemble with $`\alpha =\sqrt{(Tt)/T}`$.

We also study vicious walkers with wall restriction and prove the functional central limit theorem in the diffusion scaling limit. In this case the obtained temporally inhomogeneous diffusion process is a system of nonintersecting Brownian meanders, which is related to the nonstandard classes of random matrices .

## 2 Statement of Results

### 2.1 Vicious walkers without wall restriction

Let $`(\{𝐒_j\}_{j0},P^𝐳)`$ be the $`N`$-dimensional Markov chain starting from $`𝐳=(z_1,z_2,\mathrm{},z_N)`$, such that the coordinates $`S_j^k,k=1,2,\mathrm{},N`$, are independent simple random walks on $`𝐙`$. We always take the starting point $`𝐳`$ from the set

$$𝐙_<^N=\{𝐳=(z_1,z_2,\mathrm{},z_N)(2𝐙)^N;z_{k+1}z_k2𝐙_+,k=1,\mathrm{},N1\},$$

where $`𝐙_+`$ is the set of positive integers. Now we consider the condition that any of walkers does not meet other walkers up to time $`m`$, i.e.

$$S_j^1<S_j^2<\mathrm{}<S_j^N,0jm.$$
(2.1)
We dente by $`Q_m^𝐳`$ the conditional probability of $`P^𝐳`$ under the event $`\mathrm{\Lambda }_m=\{S_j^1<S_j^2<\mathrm{}<S_j^N,\mathrm{\hspace{0.33em}0}jm\}`$. The process $`(\{𝐒_j\}_{j0},Q_m^𝐳)`$ is called the vicious walkers (up to time $`m`$) (see Fisher ).

For $`T>0`$ and $`𝐳𝐙_<^N`$, we consider probability measures $`\mu _{L,T}^𝐳`$, $`L1`$, on the space of continuous paths $`C([0,T]𝐑^N)`$ defined by

$$\mu _{L,T}^𝐳()=Q_{L^2T}^𝐳\left(\frac{1}{L}𝐒(L^2t)\right),$$
(2.2)
where $`𝐒(t),t0`$, is the interpolation of the random walk $`𝐒_j,j=0,1,2,\mathrm{}`$. We study the limit distribution of the probability $`\mu _{L,T}^𝐳`$, $`L\mathrm{}`$.

We put $`𝐑_<^N=\{𝐱𝐑^N:x_1<x_2<\mathrm{}<x_N\}`$, which is called the Weyl chamber . By virtue of the Karlin-McGregor formula , the transition density function $`f_N(t,𝐲|𝐱)`$ of the absorbing Brownian motion in $`𝐑_<^N`$ and the probability $`𝒩_N(t,𝐱)`$ that the Brownian motion started at $`𝐱𝐑_<^N`$ does not hit the boundary of $`𝐑_<^N`$ up to time $`t>0`$ are given by

$$f_N(t,𝐲|𝐱)=\underset{1i,jN}{det}\left((2\pi t)^{1/2}e^{(x_jy_i)^2/2t}\right),𝐱,𝐲𝐑_<^N,$$
(2.3)
and

$$𝒩_N(t,𝐱)=_{𝐑_<^N}𝑑𝐲f_N(t,𝐲|𝐱).$$

For an even integer $`n`$ and an antisymmetric $`n\times n`$ matrix $`A=(a_{ij})`$ we put

$$\mathrm{Pf}_{1i<jn}(a_{ij})=\frac{1}{(n/2)!}\underset{\sigma }{}sgn(\sigma )a_{\sigma (1)\sigma (2)}a_{\sigma (3)\sigma (4)}\mathrm{}a_{\sigma (n1)\sigma (n)},$$
(2.4)
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 (see Stembridge ). Then we have the following lemma, which is a consequence of the identity given by de Bruijn  as shown in Section 4.

###### Lemma 2.1

For $`t>0`$, $`𝐱𝐑_<^N`$,

$`𝒩_N(t,𝐱)`$ $`=`$ $`\{\begin{array}{cc}\mathrm{Pf}_{1i<jN}F_{ij}(t,𝐱),\hfill & \text{if}N=\text{even}\hfill \\ \mathrm{Pf}_{1i<jN+1}F_{ij}(t,𝐱),\hfill & \text{if}N=\text{odd},\hfill \end{array}`$ (2.7)
where

$`F_{ij}(t,𝐱)`$ $`=`$ $`\{\begin{array}{cc}\mathrm{\Psi }\left({\displaystyle \frac{x_jx_i}{2\sqrt{t}}}\right),\hfill & \text{if}1i,jN,\hfill \\ 1,\hfill & \text{if}1iN,j=N+1,\hfill \\ 1,\hfill & \text{if}i=N+1,1jN,\hfill \\ 0,\hfill & \text{if}i=N+1,j=N+1,\hfill \end{array}`$ (2.12)
and $`\mathrm{\Psi }(u)=(2/\sqrt{\pi })_0^ue^{v^2}𝑑v`$.

We put

$$h_N(𝐱)=\underset{1i<jN}{}(x_jx_i).$$
(2.13)
The first main result is the following theorem.

###### Theorem 2.2

(i) For any fixed $`𝐳𝐙_<^N`$ and $`T>0`$, as $`L\mathrm{}`$, $`\mu _{L,T}^𝐳()`$ converges weakly to the law of the temporally inhomogeneous diffusion process $`𝐗(t)=(X_1(t),X_2(t),\mathrm{},X_N(t)),t[0,T]`$, with transition density $`g_N^T(s,𝐱,t,𝐲)`$;

$$g_N^T(0,\mathrm{𝟎},t,𝐲)=c_NT^{N(N1)/4}t^{N^2/2}\mathrm{exp}\left\{\frac{|𝐲|^2}{2t}\right\}h_N(𝐲)𝒩_N(Tt,𝐲),$$
(2.14)
$$g_N^T(s,𝐱,t,𝐲)=\frac{f_N(ts,𝐲|𝐱)𝒩_N(Tt,𝐲)}{𝒩_N(Ts,𝐱)},$$
(2.15)
for $`0s<tT,𝐱,𝐲𝐑_<^N,`$ where $`c_N=2^{N/2}/_{j=1}^N\mathrm{\Gamma }(j/2)`$.

(ii) The diffusion process $`𝐗(t)`$ solves the following equation:

$$X_i(t)=B_i(t)+_0^tb_i^T(s,𝐗(s))𝑑s,t[0,T],i=1,2,\mathrm{},N,$$
(2.16)
where $`B_i(t)`$, $`i=1,2,\mathrm{},N,`$ are independent one-dimensional Brownian motions and

$$b_i^T(t,𝐱)=\frac{}{x_i}\mathrm{ln}𝒩_N(Tt,𝐱),i=1,2,\mathrm{},N.$$

Although $`\mu _{L,T}^𝐳()`$ is the probability measure defined on $`C([0,T]𝐑^N)`$, it can be regarded as that on $`C([0,\mathrm{})𝐑^N)`$ concentrated on the set

$$\{wC([0,\mathrm{})𝐑^N):w(t)=w(T),tT\}.$$

Next we consider the case that $`T=T_L`$ goes to infinity as $`L\mathrm{}`$.

###### Corollary 2.3

(i) Let $`T_L`$ be an increasing function of $`L`$ with $`T_L\mathrm{}`$ as $`L\mathrm{}`$. For any fixed $`𝐳𝐙_<^N`$, as $`L\mathrm{}`$, $`\mu _{L,T_L}^𝐳()`$ converges weakly to the law of the temporally homogeneous diffusion process $`𝐘(t)=(Y_1(t),Y_2(t),\mathrm{},Y_N(t)),t[0,\mathrm{})`$, with transition density $`p_N(s,𝐱,t,𝐲)`$;

$$p_N(0,\mathrm{𝟎},t,𝐲)=c_N^{}t^{N^2/2}\mathrm{exp}\left\{\frac{|𝐲|^2}{2t}\right\}h_N(𝐲)^2,$$
(2.17)
$$p_N(s,𝐱,t,𝐲)=\frac{1}{h_N(𝐱)}f_N(ts,𝐲|𝐱)h_N(𝐲),$$
(2.18)
for $`0s<t<\mathrm{},𝐱,𝐲𝐑_<^N,`$ where $`c_N^{}=(2\pi )^{N/2}/_{j=1}^N\mathrm{\Gamma }(j)`$.

(ii) The diffusion process $`𝐘(t)`$ solves the equation of Dyson’s Brownian motion model  :

$$Y_i(t)=B_i(t)+\underset{1jN,ji}{}_0^t\frac{1}{Y_i(s)Y_j(s)}𝑑s,t[0,\mathrm{}),i=1,2,\mathrm{},N.$$
(2.19)
### 2.2 Vicious walkers with wall restriction

In this subsection, we impose the condition

$$S_j^10,1jm,$$
(2.20)
in addition to (2.1) and take the starting point $`𝐳`$ from the set

$$𝐍_<^N=\{𝐳=(z_1,z_2,\mathrm{},z_N)(2𝐍)^N;z_{k+1}z_k2𝐙_+,k=1,\mathrm{},N1\},$$

where $`𝐍`$ is the set of non-negative integers. That is, there assumed to be a wall at the origin and all walkers can walk only in the region $`[0,\mathrm{})`$. We dente by $`\widehat{Q}_m^𝐳`$ the conditional probability of $`P^𝐳`$ under the event $`\widehat{\mathrm{\Lambda }}_m=\{0S_j^1<S_j^2<\mathrm{}<S_j^N,\mathrm{\hspace{0.33em}0}jm\}`$. The process $`(\{𝐒_j\}_{j0},\widehat{Q}_m^𝐳)`$ is regarded as the vicious walkers with wall restriction (up to time $`m`$) .

For $`T>0`$ and $`𝐳𝐍_<^N`$, we consider probability measures $`\widehat{\mu }_{L,T}^𝐳`$, $`L1`$, on $`C([0,T]𝐑^n)`$ defined by

$$\widehat{\mu }_{L,T}^𝐳()=\widehat{Q}_{L^2T}^𝐳\left(\frac{1}{L}𝐒(L^2t)\right).$$
(2.21)
We study the limit distribution of the probability $`\widehat{\mu }_{L,T}^𝐳`$, $`L\mathrm{}`$.

We put $`𝐑_{+}^{}{}_{<}{}^{N}=\{𝐱𝐑^N:0x_1<x_2<\mathrm{}<x_N\}`$. Then the transition density function $`\widehat{f}_N(t,𝐲|𝐱)`$ of the absorbing Brownian motion in $`𝐑_{+}^{}{}_{<}{}^{N}`$ and the probability $`\widehat{𝒩}_N(t,𝐱)`$ that the Brownian motion started at $`𝐱𝐑_{+}^{}{}_{<}{}^{N}`$ does not hit the boundary of $`𝐑_{+}^{}{}_{<}{}^{N}`$ up to time $`t>0`$ are given by

$$\widehat{f}_N(t,𝐲|𝐱)=\underset{1i,jN}{det}\left((2\pi t)^{1/2}(e^{(x_jy_i)^2/2t}e^{(x_j+y_i)^2/2t})\right),𝐱,𝐲𝐑_{+}^{}{}_{<}{}^{N},$$
(2.22)
and

$$\widehat{𝒩}_N(t,𝐱)=_{𝐑_{+}^{}{}_{<}{}^{N}}𝑑𝐲\widehat{f}_N(t,𝐲|𝐱).$$
(2.23)
Then we have the following lemma, which is proved in Section 4 as a consequence of the identity given by de Bruijn .

###### Lemma 2.4

For $`t>0`$, $`x𝐑_{+}^{}{}_{<}{}^{N}`$,

$`\widehat{𝒩}_N(t,𝐱)`$ $`=`$ $`\{\begin{array}{cc}\mathrm{Pf}_{1i<jN}\widehat{F}_{ij}(t,𝐱),\hfill & \text{if}N=\text{even},\hfill \\ \mathrm{Pf}_{1i<jN+1}\widehat{F}_{ij}(t,𝐱),\hfill & \text{if}N=\text{odd},\hfill \end{array}`$ (2.26)
where

$`\widehat{F}_{ij}(t,𝐱)`$ $`=`$ $`\{\begin{array}{cc}\widehat{\mathrm{\Psi }}({\displaystyle \frac{x_i}{\sqrt{2t}}},{\displaystyle \frac{x_j}{\sqrt{2t}}}),\hfill & \text{if}1i,jN,\hfill \\ \mathrm{\Psi }\left({\displaystyle \frac{x_i}{\sqrt{2t}}}\right),\hfill & \text{if}1iN,j=N+1,\hfill \\ \mathrm{\Psi }\left({\displaystyle \frac{x_j}{\sqrt{2t}}}\right),\hfill & \text{if}i=N+1,1jN,\hfill \\ 0,\hfill & \text{if}i=N+1,j=N+1,\hfill \end{array}`$ (2.31)
and

$`\widehat{\mathrm{\Psi }}(u_1,u_2)`$ $`=`$ $`{\displaystyle \frac{2}{\pi }}[{\displaystyle _0^{u_1}}dv_1{\displaystyle _{u_1u_2}^{u_2u_1}}dv_2\mathrm{exp}\{v_1^2(v_1v_2)^2\}`$ (2.32)
$`{\displaystyle _{u_1}^{u_2}}dv_1{\displaystyle _{u_2u_1}^{u_1+u_2}}dv_2\mathrm{exp}\{v_1^2(v_1v_2)^2\}].`$
We put

$$\widehat{h}_N(𝐱)=\underset{1i<jN}{}(x_j^2x_i^2)\underset{i=1}{\overset{N}{}}x_i.$$
(2.33)
Then we can obtain the following result.

###### Theorem 2.5

(i) For any fixed $`𝐳𝐍_<^N`$ and $`T>0`$, as $`L\mathrm{}`$, $`\widehat{\mu }_{L,T}^𝐳()`$ converges weakly to the law of the temporally inhomogeneous diffusion process $`\widehat{𝐗}(t)=(\widehat{X}_1(t),\widehat{X}_2(t),\mathrm{},\widehat{X}_N(t))`$, $`t[0,T]`$, with transition density $`\widehat{g}_N^T(s,𝐱,t,𝐲)`$;

$$\widehat{g}_N^T(0,\mathrm{𝟎},t,𝐲)=\widehat{c}_NT^{N^2/2}t^{N(2N+1)/2}\mathrm{exp}\left\{\frac{|𝐲|^2}{2t}\right\}\widehat{h}_N(𝐲)\widehat{𝒩}_N(Tt,𝐲),$$
(2.34)
$$\widehat{g}_N^T(s,𝐱,t,𝐲)=\frac{\widehat{f}_N(ts,𝐲|𝐱)\widehat{𝒩}_N(Tt,𝐲)}{\widehat{𝒩}_N(Ts,𝐱)},$$
(2.35)
for $`0s<tT,𝐱,𝐲𝐑_{+}^{}{}_{<}{}^{N}`$, where $`\widehat{c}_N=1/_{j=1}^N\mathrm{\Gamma }(j)`$.

(ii) The diffusion process $`\widehat{𝐗}(t)`$ solves the following equation:

$$\widehat{X}_i(t)=B_i(t)+_0^t\widehat{b}_i^T(s,\widehat{X}(s))𝑑s,t[0,T],i=1,2,\mathrm{},N,$$
(2.36)
where

$$\widehat{b}_i^T(t,𝐱)=\frac{}{x_i}\mathrm{ln}\widehat{𝒩}_N(Tt,𝐱),i=1,2,\mathrm{},N.$$

Next we consider the case that $`T=T_L`$ goes to infinity as $`L\mathrm{}`$.

###### Corollary 2.6

(i) Let $`T_L`$ be an increase function of $`L`$ with $`T_L\mathrm{}`$ as $`L\mathrm{}`$. For any fixed $`𝐳𝐍_<^N`$, as $`L\mathrm{}`$, $`\widehat{\mu }_{L,T_L}^𝐳()`$ converges weakly to the law of the temporally homogeneous diffusion process $`\widehat{𝐘}(t)=(\widehat{Y}_1(t),\widehat{Y}_2(t),\mathrm{},\widehat{Y}_N(t))`$, $`t[0,\mathrm{})`$, with transition density $`\widehat{p}_N(s,𝐱,t,𝐲)`$;

$$\widehat{p}_N(0,\mathrm{𝟎},t,𝐲)=\widehat{c^{}}_Nt^{N(2N+1)/2}\mathrm{exp}\left\{\frac{|𝐲|^2}{2t}\right\}\widehat{h}_N(𝐲)^2,$$
(2.37)
$$\widehat{p}_N(s,𝐱,t,𝐲)=\frac{1}{\widehat{h}_N(𝐱)}\widehat{f}_N(ts,𝐲|𝐱)\widehat{h}_N(𝐲),$$
(2.38)
for $`0s<t<\mathrm{}`$, $`𝐱,𝐲𝐑_{+}^{}{}_{<}{}^{N}`$, where $`\widehat{c^{}}_N=(2/\pi )^{N/2}/_{j=1}^N\mathrm{\Gamma }(2j)`$.

(ii) The diffusion process $`\widehat{𝐘}(t)`$ solves the following equation:

$$\widehat{Y}_i(t)=B_i(t)+_0^t\frac{1}{\widehat{Y}_i(s)}𝑑s+\underset{1jN,ji}{}\left\{_0^t\frac{1}{\widehat{Y}_i(s)\widehat{Y}_j(s)}𝑑s+_0^t\frac{1}{\widehat{Y}_i(s)+\widehat{Y}_j(s)}𝑑s\right\},$$
(2.39)
$`t[0,\mathrm{}),i=1,2,\mathrm{},N`$.

### 2.3 Remarks

(i) The process $`𝐗(t)`$ ( resp. $`\widehat{𝐗}(t)`$ ) represents the system of $`N`$ Brownian motions ( resp. $`N`$ Brownian meanders ) started from the origin conditioned not to collide up to time $`T`$. A limit theorem for one-dimensional random walk conditioned to stay positive was firstly observed by Spitzer  and then studied and generalized by many probabilists . For two-dimensional random walk conditioned to stay in a cone, a limit theorem was proved by Shimura . Our theorems are multi-dimensional versions of these limit theorems.

(ii) The process $`𝐘(t)`$ ( resp. $`\widehat{𝐘}(t)`$ ) represents the system of $`N`$ Brownian motions ( resp. $`N`$ three-dimensional Bessel processes ) conditioned never to collide. The function $`h_N(𝐱)`$ ( resp. $`\widehat{h}_N(𝐱)`$ ) is a strictly positive harmonic function for the absorbing Brownian motions in the Weyl chamber $`𝐑_<^N`$ (resp. $`𝐑_{+}^{}{}_{<}{}^{N}`$ ). The process $`𝐘(t)`$ ( resp. $`\widehat{𝐘}(t)`$ ) is the corresponding Doob h-transform . A functional central limit theorem to the process $`𝐘(t)`$ was also discussed in a recent paper by O’Connell and Yor .

(iii) The relation between the Brownian meander and the three-dimensional Bessel process was discussed in Imhof . From our results Imhof’s relation is generalized as follows:

(Without wall restriction) For any $`t_0=0<t_1<\mathrm{}<t_{\mathrm{}}=T`$, $`\mathrm{}𝐙_+`$,

$$\underset{i=1}{\overset{\mathrm{}}{}}g_N^T(t_{i1},𝐲_{i1},t_i,𝐲_i)=\overline{c}_NT^{N(N1)/4}\underset{i=1}{\overset{\mathrm{}}{}}p_N(t_{i1},𝐲_{i1},t_i,𝐲_i)\frac{1}{h_N(𝐲_{\mathrm{}})},$$
(2.40)
for any $`𝐲_i𝐑_<^N,i=1,2,\mathrm{},\mathrm{}`$, where $`𝐲_0=\mathrm{𝟎}`$ and

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

(With wall restriction) For any $`t_0=0<t_1<\mathrm{}<t_{\mathrm{}}=T`$, $`\mathrm{}𝐙_+`$

$$\underset{i=1}{\overset{\mathrm{}}{}}\widehat{g}_N^T(t_{i1},𝐲_{i1},t_i,𝐲_i)=\stackrel{~}{c}_NT^{N^2/2}\underset{i=1}{\overset{\mathrm{}}{}}\widehat{p}_N(t_{i1},𝐲_{i1},t_i,𝐲_i)\frac{1}{\widehat{h}_N(𝐲_{\mathrm{}})},$$
(2.41)
for any $`𝐲_i𝐑_{+}^{}{}_{<}{}^{N},i=1,2,\mathrm{},\mathrm{}`$, where $`𝐲_0=\mathrm{𝟎}`$ and

$$\stackrel{~}{c}_N=\frac{\widehat{c}_N}{\widehat{c^{}}_N}=\left(\frac{\pi }{2}\right)^{N/2}\underset{j=1}{\overset{N}{}}\frac{\mathrm{\Gamma }(2j)}{\mathrm{\Gamma }(j)}.$$

(iv) Consider an ensemble of $`N\times N`$ complex Hermitian matrices $`\{H\}`$. The Gaussian unitary ensemble (GUE) is the ensemble with the probability density function

$$\mu ^{GUE}(H,\sigma _1^2)=c_1\mathrm{exp}\left\{\frac{1}{2\sigma _1^2}\mathrm{Tr}H^2\right\},$$

where $`\sigma _1^2`$ is variance and $`c_1=2^{N/2}(\pi \sigma _1^2)^{N^2/2}`$. The Gaussian orthogonal ensemble (GOE) is defined as the ensemble of $`N\times N`$ real symmetric matrices $`\{A\}`$ with the probability density function

$$\mu ^{GOE}(A,\sigma _2^2)=c_2\mathrm{exp}\left\{\frac{1}{2\sigma _2^2}\mathrm{Tr}A^2\right\},$$

where $`\sigma _2^2`$ is variance and $`c_2=2^{N/2}(\pi \sigma _2^2)^{N(N+1)/4}`$. It is known that the distributions of eigenvalues $`𝐱=(x_1,x_2,\mathrm{},x_N)`$ of these matrix ensembles are given as

$$g^{GUE}(𝐱,\sigma _1^2)=\frac{c_N^{}}{N!}\sigma _1^{N^2}\mathrm{exp}\left\{\frac{|𝐱|^2}{2\sigma _1^2}\right\}h_N(𝐱)^2,$$

and

$$g^{GOE}(𝐱,\sigma _2^2)=\frac{c_N}{N!}\sigma _2^{N(N+1)/2}\mathrm{exp}\left\{\frac{|𝐱|^2}{2\sigma _2^2}\right\}h_N(𝐱)^,$$

respectively . Theorem 2.2 and Corollary 2.3 give the relation

$$g_N^T(0,\mathrm{𝟎},T,𝐲)=N!g^{GOE}(𝐲,T),𝐲𝐑_<^N,$$

and

$$p_N(0,\mathrm{𝟎},t,𝐲)=N!g^{GUE}(𝐲,t),𝐲𝐑_<^N,t>0.$$

In order to study a Gaussian ensemble of complex Hermitian matrices intermediate between GUE and GOE, Pandey and Mehta considered the following probability density functions with a parameter $`\alpha [0,1]`$

$$\mu ^{PM}(H,\alpha )=𝑑A\mu ^{GUE}(HA,2\alpha ^2v^2)\mu ^{GOE}(A,2(1\alpha ^2)v^2),$$

where $`v^2=1/\{2(1+\alpha ^2)\}`$ . They have studied a transition from the GOE to the GUE observed as $`\alpha `$ changes from $`0`$ to $`1`$. Let $`g^{PM}(𝐱,\alpha )`$ be the probability density function of eigenvalues in this ensemble of Pandey and Mehta. We can show the equality

$$\left(\frac{t(2Tt)}{T}\right)^{N/2}g_N^T(0,\mathrm{𝟎},t,\sqrt{\frac{t(2Tt)}{T}}𝐱)=N!g^{PM}(𝐱,\sqrt{\frac{Tt}{T}}).$$

It is shown in  that as a consequence of this equality, the Harish-Chandra formula for an integral over the unitary group can be obtained. Similar argument concerning the relation between the process $`\widehat{𝐗}(t)`$ and the nonstandard classes of random matrices is given in .

(v) Spohn  constructed nonintersecting Brownian motions on a torus and discussed the infinite volume limit to an infinite system of Dyson-type Brownian motions, which was also constructed by Dirichlet form technique in Osada . For the present $`N`$ nonintersecting Brownian motion $`𝐗(t)`$ in a finite time interval $`(0,T]`$, two types of temporally inhomogeneous infinite particle systems are obtained by setting $`T=T(N)`$ and taking $`N\mathrm{}`$. If we set $`T(N)=2N`$ and observe the bulk configuration of particles at time $`t=T(N)+s,\mathrm{}<s0`$, a spatially homogeneous but temporally inhomogeneous system is derived in the infinite particle limit, whose multitime correlation functions have the quaternion determinantal expressions with sine-kernel. If we set $`T(N)=2N^{1/3}`$ and the particle configuration at time $`t=T(N)+s,\mathrm{}<s0`$ around the position $`2N^{2/3}s^2/4`$ is observed, a spatially and temporally inhomogeneous system is derived in $`N\mathrm{}`$, in which multitime correlation functions are given by the quaternion determinants with Airy-kernel . It is easier to prove the limit theorems for Dyson’s Brownian motion model $`𝐘(t)`$ corresponding to the above two kinds of infinite particle limits. The former limit provides a homogeneous infinite system, which coincides with the system studied by Spohn , Osada  and Nagao and Forrester , and the latter does a temporally homogeneous but spatially inhomogeneous infinite system, which is related with the process recently studied by Prähofer and Spohn  and Johansson . See Nagao  for $`N\mathrm{}`$ limit of the process $`\widehat{𝐗}(t)`$.

## 3 Proof of Theorems

### 3.1 Proof of Theorem 2.2

Let $`N_N(m,𝐯|𝐮)`$, $`𝐮,𝐯𝐙_<^N`$, be the total number of the vicious walks, in which the $`N`$ walkers start from $`u_i,i=1,2,\mathrm{},N`$, and arrive at the positions $`v_i,i=1,2,\mathrm{},N`$, at time $`m`$. Then the probability that such vicious walks with fixed end-points are realized in all possible random walks started from the given initial configuration is $`N_N(m,𝐯|𝐮)/2^{mN}`$, which is denoted by $`V_N(m,𝐯|𝐮)`$. We also put

$$V_N(m|𝐮)=\underset{𝐯𝐙_<^N}{}V_N(m,𝐯|𝐮).$$

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

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

and $`_m`$ be the set of all oriented edges which connect the nearest-neighbor pairs $`((x,y),(x^{},y^{}))`$ of vertices with $`y^{}=y+1`$ in $`_m`$. Then each walk of the $`i`$-th walker can be represented as a sequence of successive edges connecting vertices $`(u_i,0)`$ and $`(v_i,m)`$ on $`(_m,_m)`$, which we call the lattice path running from $`(u_i,0)`$ to $`(v_i,m)`$. If such lattice paths share a common vertex, they are said to intersect. Under the vicious walk condition, what we consider is a set of all $`N`$-tuples of nonintersecting lattice paths. Let $`\pi _0(\{(u_i,0)\}_{i=1}^N\{(v_i,m)\}_{i=1}^N)`$ be the set of all $`N`$-tuples $`(\pi _1,\mathrm{},\pi _N)`$ of nonintersecting lattice paths, in which $`\pi _i`$ runs from $`(u_i,0)`$ to $`(v_i,m)`$, $`i=1,2,\mathrm{},N`$. $`N_N(m,𝐯|𝐮)=|\pi _0(\{(u_i,0)\}_{i=1}^N\{(v_i,m)\}_{i=1}^N)|`$ and the Karlin-McGregor formula  gives

$$N_N(m,𝐯|𝐮)=\underset{1i,jN}{det}\left(|\pi ((u_j,0)(v_i,m))|\right),$$

where $`|A|`$ denotes the cardinality of a set $`A`$ and $`\pi ((u_j,0)(v_i,m))`$ the set of lattice paths from $`(u_j,0)`$ to $`(v_i,m)`$. (Such a determinantal formula is also known as the Lindström-Gessel-Viennot formula in the enumerative combinatorics, see .) Since $`|\pi ((u_j,0)(v_i,m))|=\left(\genfrac{}{}{0pt}{}{m}{(m+u_jv_i)/2}\right),`$ we have the binomial determinant

$$V_N(m,𝐯|𝐮)=2^{mN}\underset{1i,jN}{det}\left(\left(\genfrac{}{}{0pt}{}{m}{(m+u_jv_i)/2}\right)\right).$$
(3.1)
For $`L>0`$ we introduce the following functions:

$$\varphi _L(x)=2\left[\frac{Lx}{2}\right],x𝐑,\text{ and }\varphi _L(𝐱)=(\varphi _L(x_1),\varphi _L(x_2),\mathrm{},\varphi _L(x_N)),𝐱𝐑^N,$$

where $`[a]`$ denotes the largest integer not greater than $`a`$. We show the following lemmas.

###### Lemma 3.1

(i) For $`t>0`$, $`𝐱𝐙_<^N`$ and $`𝐲𝐑_<^N`$

$$\left(\frac{L}{2}\right)^NV_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)=c_N^{}t^{N^2/2}h_N\left(\frac{𝐱}{L}\right)\mathrm{exp}\left\{\frac{|𝐲|^2}{2t}\right\}h_N(𝐲)\left(1+𝒪\left(\frac{|𝐲|}{L}\right)\right),$$
(3.2)
as $`L\mathrm{}`$, where $`c_N^{}=(2\pi )^{N/2}/_{j=1}^N\mathrm{\Gamma }(j)`$.

(ii) For $`t>0`$ and $`𝐱𝐙_<^N`$

$$V_N(\varphi _{L^2}(t)|𝐱)=\frac{1}{\overline{c}_N}h_N\left(\frac{𝐱}{L\sqrt{t}}\right)\left(1+𝒪\left(\frac{1}{L}\right)\right),$$
(3.3)
as $`L\mathrm{}`$, where $`\overline{c}_N=\pi ^{N/2}_{j=1}^N\{\mathrm{\Gamma }(j)/\mathrm{\Gamma }(j/2)\}`$.

Proof. It is enough to consider the case that $`𝐱=2𝐮`$, $`\varphi _L(𝐲)=2𝐯`$, $`𝐮,𝐯𝐙_<^N`$ and $`\varphi _{L^2}(t)=2\mathrm{}`$, $`\mathrm{}𝐙_+`$. Then

$$N_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)=N_N(2\mathrm{},2𝐯|2𝐮)=\underset{1i,jN}{det}\left(\left(\genfrac{}{}{0pt}{}{2\mathrm{}}{\mathrm{}+u_jv_i}\right)\right),$$

and

$`\left({\displaystyle \genfrac{}{}{0pt}{}{2\mathrm{}}{\mathrm{}+u_jv_i}}\right)`$ $`=`$ $`{\displaystyle \frac{(2\mathrm{})!}{(\mathrm{}+u_jv_i)!(\mathrm{}u_j+v_i)!}}`$
$`=`$ $`{\displaystyle \frac{(2\mathrm{})!}{(\mathrm{}v_i)!(\mathrm{}+v_i)!}}A_{ij}(\mathrm{},𝐯,𝐮),`$
with

$$A_{ij}(\mathrm{},𝐯,𝐮)=\frac{(\mathrm{}+v_iu_j+1)_{u_j}}{(\mathrm{}v_i+1)_{u_j}},$$

where $`(a)_01`$, $`(a)_k=a(a+1)\mathrm{}(a+k1)`$, $`k1`$. Then

$$N_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)=\underset{i=1}{\overset{N}{}}\frac{(2\mathrm{})!}{(\mathrm{}v_i)!(\mathrm{}+v_i)!}\underset{1i,jN}{det}\left(A_{ij}(\mathrm{},𝐯,𝐮)\right).$$
(3.4)
The leading term of $`det_{1i,jN}(A_{ij}(\mathrm{},𝐯,𝐮))`$ in $`L\mathrm{}`$ is

$`D_1(𝐯,𝐮)`$ $`=`$ $`\underset{1i,jN}{det}\left(\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}\right)^{u_j}\right)`$
$`=`$ $`(1)^{N(N1)/2}\underset{1i,jN}{det}\left(\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}\right)^{u_{Nj+1}}\right).`$
Let $`\xi (𝐮)=(\xi _1(𝐮),\mathrm{},\xi _N(𝐮))`$ be a partition specified by the starting point $`2𝐮`$ defined by

$$\xi _j(𝐮)=u_{Nj+1}(Nj),j=1,2,\mathrm{},N.$$
(3.5)
Noting that the Vandermonde determinant $`det_{1i,jN}(z_i^{Nj})=_{1i<jN}(z_iz_j)`$, we have

$`D_1(𝐯,𝐮)`$ $`=(1)^{N(N1)/2}\underset{1i,jN}{det}\left(\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}\right)^{Nj}\right)s_{\xi (𝐮)}({\displaystyle \frac{\mathrm{}+v_1}{\mathrm{}v_1}},\mathrm{},{\displaystyle \frac{\mathrm{}+v_N}{\mathrm{}v_N}})`$
$`=(1)^{N(N1)/2}{\displaystyle \underset{1i<jN}{}}\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}{\displaystyle \frac{\mathrm{}+v_j}{\mathrm{}v_j}}\right)s_{\xi (𝐮)}({\displaystyle \frac{\mathrm{}+v_1}{\mathrm{}v_1}},\mathrm{},{\displaystyle \frac{\mathrm{}+v_N}{\mathrm{}v_N}})`$
$`={\displaystyle \underset{1i<jN}{}}{\displaystyle \frac{2\mathrm{}(v_jv_i)}{(\mathrm{}v_i)(\mathrm{}v_j)}}s_{\xi (𝐮)}({\displaystyle \frac{\mathrm{}+v_1}{\mathrm{}v_1}},\mathrm{},{\displaystyle \frac{\mathrm{}+v_N}{\mathrm{}v_N}}),`$
where $`s_\lambda (z_1,\mathrm{},z_N)`$ is the Schur function associated to a partition $`\lambda =(\lambda _1,\lambda _2,\mathrm{},\lambda _N)`$ defined by

$$s_\lambda (z_1,\mathrm{},z_N)=\frac{det_{1i,jN}\left(z_i^{\lambda _j+Nj}\right)}{det_{1i,jN}\left(z_i^{Nj}\right)}.$$
(3.6)
(See Macdonald .) It is a symmetric polynomial of degree $`_{i=1}^N\lambda _i`$ in $`z_1,\mathrm{},z_N`$ and it is known that (see p.44 in )

$$s_\lambda (1,1,\mathrm{},1)=\underset{1i<jN}{}\frac{\lambda _i\lambda _j+ji}{ji}.$$
(3.7)
Then the leading term of $`D_1(𝐯,𝐮)`$ in $`L\mathrm{}`$ is

$`D_2(𝐯,𝐮)`$ $`=`$ $`{\displaystyle \underset{1i<jN}{}}{\displaystyle \frac{2(v_jv_i)}{\mathrm{}}}s_{\xi (𝐮)}(1,1,\mathrm{},1)`$ (3.8)
$`=`$ $`\mathrm{}^{N(N1)/2}2^{N(N1)/2}h_N(𝐯)h_N(𝐮){\displaystyle \underset{1i<jN}{}}{\displaystyle \frac{1}{ji}}`$
$`=`$ $`h_N\left({\displaystyle \frac{𝐯}{\mathrm{}}}\right)h_N(2𝐮){\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{1}{\mathrm{\Gamma }(j)}}.`$
By Stirling’s formula we see that

$$\underset{i=1}{\overset{N}{}}\frac{(2\mathrm{})!}{(\mathrm{}v_i)!(\mathrm{}+v_i)!}=(\mathrm{}\pi )^{N/2}2^{2N\mathrm{}}\underset{i=1}{\overset{N}{}}\left(1\frac{v_i^2}{\mathrm{}^2}\right)^{\mathrm{}1/2}\left(\frac{1v_i/\mathrm{}}{1+v_i/\mathrm{}}\right)^{v_i}\left(1+𝒪\left(\frac{1}{\mathrm{}}\right)\right).$$
(3.9)
From (3.4), (3.8) and (3.9)

$`V_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)=2^{2N\mathrm{}}N_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)`$
$`=c_N^{}\left({\displaystyle \frac{2}{\mathrm{}}}\right)^{N/2}h_N\left({\displaystyle \frac{𝐯}{\mathrm{}}}\right)h_N\left(2𝐮\right)\mathrm{exp}\left\{{\displaystyle \frac{|𝐯|^2}{\mathrm{}}}\right\}\left(1+𝒪\left({\displaystyle \frac{|𝐯|}{\mathrm{}}}\right)\right)`$
$`=c_N^{}\left({\displaystyle \frac{2}{L}}\right)^Nt^{N^2/2}h_N\left({\displaystyle \frac{𝐱}{L}}\right)\mathrm{exp}\left\{{\displaystyle \frac{|𝐲|^2}{2t}}\right\}h_N(𝐲)\left(1+𝒪\left({\displaystyle \frac{|𝐲|}{L}}\right)\right).`$
Then we obtain (3.2).

By (3.2) and simple calculation we have

$$V(\varphi _{L^2}(t)|𝐱)=c_N^{}t^{N^2/2}\frac{1}{\mathrm{\Gamma }(N+1)}h_N\left(\frac{𝐱}{L}\right)_{𝐑^N}𝑑𝐲e^{|𝐲|^2/2t}|h_N(𝐲)|\left(1+𝒪\left(\frac{1}{L}\right)\right),$$
(3.10)
as $`L\mathrm{}`$. The last integral is the special case ($`\gamma =1/2`$ and $`a=1/2t`$) of

$$_{𝐑^N}𝑑𝐮e^{a|𝐮|^2}\underset{1i<jN}{}|u_ju_i|^{2\gamma }=(2\pi )^{N/2}(2a)^{N(\gamma (N1)+1)/2}\underset{i=1}{\overset{N}{}}\frac{\mathrm{\Gamma }(1+i\gamma )}{\mathrm{\Gamma }(1+\gamma )}$$
(3.11)
found in Mehta (eq.(17.6.7) on page 354 in ), whose proof was given in . Then we have (3.3) by elementary calculation. This completes the proof. ∎

###### Lemma 3.2

Let $`t>0`$ and $`𝐱,𝐲𝐑_<^N`$. Then

$$\left(\frac{L}{2}\right)^NV_N(\varphi _{L^2}(t),\varphi _L(𝐲)|\varphi _L(𝐱))=f_N(t,𝐲|𝐱)\left(1+𝒪\left(\frac{|𝐱𝐲|}{L}\right)\right),$$
(3.12)
as $`L\mathrm{}`$.

Proof. From (3.1)

$`\left({\displaystyle \frac{L}{2}}\right)^NV_N(\varphi _{L^2}(t),\varphi _L(𝐲)|\varphi _L(𝐱))`$
$`=2^{N\varphi _{L^2}(t)}\left({\displaystyle \frac{L}{2}}\right)^N\underset{1i,jN}{det}\left(\left({\displaystyle \genfrac{}{}{0pt}{}{\varphi _{L^2}(t)}{(\varphi _{L^2}(t)+\varphi _L(x_j)\varphi _L(y_i))/2}}\right)\right)`$
$`=\underset{1i,jN}{det}\left(2^{\varphi _{L^2}(t)1}L\left({\displaystyle \genfrac{}{}{0pt}{}{\varphi _{L^2}(t)}{(\varphi _{L^2}(t)+\varphi _L(x_j)\varphi _L(y_i))/2}}\right)\right).`$
Application of Stirling’s formula yields the lemma. ∎

By Donsker’s theorem (see, for instance, Billingsley ) we see that $`𝒩_N(t,𝐱)`$ is the probability that $`N`$ Brownian motions do not collide until time $`t`$. We have the following asymptotic behaviours of the function $`𝒩_N(t,𝐱)`$ as $`|𝐱|/\sqrt{t}0`$.

###### Lemma 3.3

Let $`t>0`$ and $`𝐱𝐑_<^N`$. Then

$$𝒩_N(t,𝐱)=\frac{1}{\overline{c}_N}h_N\left(\frac{𝐱}{\sqrt{t}}\right)\left(1+𝒪\left(\frac{|𝐱|}{\sqrt{t}}\right)\right),\frac{|𝐱|}{\sqrt{t}}0,$$
(3.13)
where $`\overline{c}_N=\pi ^{N/2}_{j=1}^N\{\mathrm{\Gamma }(j)/\mathrm{\Gamma }(j/2)\}`$.

Proof. First note that

$$f_N(t,𝐲|𝐱)=(2\pi t)^{N/2}\mathrm{exp}\left\{\frac{1}{2t}\underset{i=1}{\overset{N}{}}(x_i^2+y_i^2)\right\}\underset{1i,jn}{det}\left(e^{x_jy_i/t}\right).$$

We rewrite the determinant as

$`\underset{1i,jN}{det}\left(e^{x_jy_i/t}\right)`$ $`=`$ $`{\displaystyle \frac{det_{1i,jN}\left((e^{x_i/t})^{y_{Nj+1}}\right)}{det_{1i,jN}\left((e^{x_i/t})^{Nj}\right)}}\times \underset{1i,jN}{det}\left((e^{x_i/t})^{Nj}\right)`$
$`=`$ $`s_{\xi (𝐲)}(e^{x_1/t},e^{x_2/t},\mathrm{},e^{x_N/t}){\displaystyle \underset{1i<jN}{}}(e^{x_j/t}e^{x_i/t}),`$
where $`\xi _i(𝐲)=y_{Ni+1}(Ni)`$, $`i=1,2,\mathrm{},N`$. Using it

$`f_N(t,𝐲|𝐱)`$ $`=`$ $`(2\pi t)^{N/2}s_{\xi (𝐲)}(e^{x_1/t},e^{x_2/t},\mathrm{},e^{x_N/t})`$ (3.14)
$`\times \mathrm{exp}\left\{{\displaystyle \frac{|𝐱|^2+|𝐲|^2}{2t}}\right\}{\displaystyle \underset{1i<jN}{}}(e^{x_j/t}e^{x_i/t}).`$
Since

$$\underset{\frac{|𝐱|}{t}0}{lim}s_{\xi (𝐲)}(e^{x_1/t},\mathrm{},e^{x_N/t})=s_{\xi (𝐲)}(1,1,\mathrm{},1)=h_N(𝐲)\underset{j=1}{\overset{N}{}}\frac{1}{\mathrm{\Gamma }(j)},$$

and

$$\underset{1i<jN}{}(e^{x_j/t}e^{x_i/t})=h_N\left(\frac{𝐱}{t}\right)\left(1+𝒪\left(\frac{|𝐱|}{t}\right)\right),\frac{|𝐱|}{t}0,$$

the function is asymptotically

$`𝒩_N(t,𝐱)`$ $`=`$ $`(2\pi )^{N/2}t^{N(N+1)/4}h_N\left({\displaystyle \frac{𝐱}{\sqrt{t}}}\right){\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{1}{\mathrm{\Gamma }(j)}}`$
$`\times {\displaystyle _{𝐑_<^N}}d𝐲h_N(𝐲)\mathrm{exp}\{{\displaystyle \frac{|𝐲|^2}{2t}}\}(1+𝒪\left({\displaystyle \frac{|𝐱|}{\sqrt{t}}}\right)),{\displaystyle \frac{|𝐱|}{\sqrt{t}}}0.`$
By (3.11) we have (3.13). ∎

###### Lemma 3.4

For $`𝐳𝐙_<^N`$ and $`T>0`$ $`\{\mu _{L,T}^𝐳,L1\}`$ is tight.

Proof. By the Kolmogorov’s tightness criterion it is enough to prove that for any $`\epsilon >0`$

$$\underset{\delta 0}{lim}\underset{L1}{sup}\mu _{L,T}^𝐳\left(\underset{0u,vT,|uv|<\delta }{\mathrm{max}}|w(u)w(v)|\epsilon \right)=0.$$
(3.15)
(See, for example, Billingsley .) Since $`\mu _{L,T}^𝐳`$ is the probability measure of a linearly interpolated random process, (3.15) is derived from the following estimates: as $`\delta 0`$,

$$\underset{L\mathrm{}}{lim\; sup}\mu _{L,T}^𝐳\left(\underset{0u\delta }{\mathrm{max}}|w(u)w(0)|\epsilon /2\right)=o(\delta ),$$
(3.16)
$$\underset{L\mathrm{}}{lim\; sup}\mu _{L,T}^𝐳\left(\underset{0u\delta }{\mathrm{max}}|w(t+u)w(t)|\epsilon /2\right)=o(\delta ),t[\delta /2,T\delta ].$$
(3.17)
Under the nonintersecting condition, for any $`i=1,2,\mathrm{},N`$

$$|w_i(u)w_i(0)||w_N(0)w_1(0)|+(w_1(u)w_1(0))_{}+(w_N(u)w_N(0))_+,$$

where $`a_+=\mathrm{max}\{a,0\}`$ and $`a_{}=\mathrm{max}\{a,0\}`$. Then the set

$$\left\{\underset{0u\delta }{\mathrm{max}}|w(u)w(0)|\epsilon /2\right\}$$

is included in the set

$$\{\underset{0u\delta }{\mathrm{max}}(w_1(u)w_1(0))_{}\frac{\epsilon }{4}\frac{z_Nz_1}{2L}\}\{\underset{0u\delta }{\mathrm{max}}(w_N(u)w_N(0))_+\frac{\epsilon }{4}\frac{z_Nz_1}{2L}\}.$$

Noting that $`(w_1(u)w_1(0))_{}`$ and $`(w_N(u)w_N(0))_+`$ are nonnegative submartingales, we can apply Doob’s theorem (see, for instance, Revus and Yor ) to obtain

$`\mu _{L,T}^𝐳\left(\underset{0u\delta }{\mathrm{max}}|w(u)w(0)|\epsilon /2\right)`$
$`\left({\displaystyle \frac{8}{\epsilon }}\right)^pE_{L,T}^𝐳\left(|w_1(\delta )w_1(0)|^p+|w_N(\delta )w_N(0)|^p\right)`$ (3.18)
for any $`p>1`$ and $`L>4(z_Nz_1)/\epsilon `$, where $`E_{L,T}^𝐳`$ represents the expectation with respect to the probability measure $`\mu _{L,T}^𝐳`$.

From Lemmas 3.1, 3.2 and 3.3

$`\underset{L\mathrm{}}{lim\; sup}E_{L,T}^𝐳\left(|w_1(\delta )w_1(0)|^p+|w_N(\delta )w_N(0)|^p\right)`$
$`C_1\underset{L\mathrm{}}{lim\; sup}{\displaystyle _{𝐑_<^N}}𝑑𝐲\left({\displaystyle \frac{L}{2}}\right)^N{\displaystyle \frac{V_N(\varphi _{L^2}(\delta ),\varphi _L(𝐲)|𝐳)V_N(\varphi _{L^2}(T\delta )|\varphi _L(𝐲))}{V_N(\varphi _{L^2}(T)|𝐳)}}(y_1^p+y_N^p)`$
$`C_2c_N\delta ^{N^2/2}{\displaystyle _{𝐑_<^N}}𝑑𝐲\mathrm{exp}\left\{{\displaystyle \frac{|𝐲|^2}{2\delta }}\right\}h_N(𝐲)^2(y_1^p+y_N^p)`$
$`C_3\delta ^{p/2}{\displaystyle _{𝐑_<^N}}𝑑𝐱\mathrm{exp}\left\{{\displaystyle \frac{|𝐱|^2}{2}}\right\}h_N(𝐱)^2(x_1^p+x_N^p)`$
$`=𝒪(\delta ^{p/2}).`$
Taking $`p>2`$, we obtain (3.16).

Fix $`t[\delta /2,T\delta ]`$. By the Markov property

$`\mu _{L,T}^𝐳\left(\underset{0u\delta }{\mathrm{max}}|w(t+u)w(t)|\epsilon /2\right)`$
$`=Q_{L^2T}^𝐳\left(\underset{0u\delta }{\mathrm{max}}\left|{\displaystyle \frac{S(L^2(t+u))S(L^2t)}{L}}\right|\epsilon /2\right)`$
$`{\displaystyle \frac{1}{P^𝐳(\mathrm{\Lambda }_{L^2T})}}E^𝐳(\mathrm{\Lambda }_{L^2t},P^{S(L^2t)}\left(\underset{0u\delta }{\mathrm{max}}\left|{\displaystyle \frac{S(L^2u)S(0)}{L}}\right|\epsilon /2\right)),`$ (3.19)
where $`\mathrm{\Lambda }_m=\{S_j^1<S_j^2<\mathrm{}<S_j^N,\mathrm{\hspace{0.33em}0}jm\}`$ and $`E^𝐳`$ represents the expectation with respect to the probability measure $`P^𝐳`$. By Doob’s inequality for any $`𝐱𝐙^N`$ and $`p>1`$

$$P^𝐱\left(\underset{0u\delta }{\mathrm{max}}\left|\frac{S(L^2u)S(0)}{L}\right|\epsilon /2\right)\left(\frac{2}{\epsilon }\right)^pE^𝐱\left(\left|\frac{S(L^2\delta )S(0)}{L}\right|^p\right)C_4\delta ^{p/2}.$$
(3.20)
From Lemma 3.1 (ii)

$`\underset{L\mathrm{}}{lim\; sup}\mu _{L,T}^𝐳\left(\underset{0u\delta }{\mathrm{max}}|w(t+u)w(t)|\epsilon /2\right)`$
$`C_4\delta ^{p/2}\underset{L\mathrm{}}{lim\; sup}{\displaystyle \frac{P^𝐳(\mathrm{\Lambda }_{L^2\delta /2})}{P^𝐳(\mathrm{\Lambda }_{L^2T})}}=𝒪(\delta ^{p/2N(N1)/4}).`$ (3.21)
Taking $`p>N(N1)/2+2`$, we obtain (3.17). This completes the proof. ∎

###### Lemma 3.5

Let $`𝐳𝐙_<^N`$, $`0=t_0<t_1<\mathrm{}<t_{k1}<t_k=T`$ and $`\theta =(\theta _1,\mathrm{},\theta _k)𝐑^{Nk}`$. Then

$`\underset{L\mathrm{}}{lim}E_{L,T}^𝐳\left(\mathrm{exp}\left\{\sqrt{1}{\displaystyle \underset{j=1}{\overset{k}{}}}\theta _jw(t_j)\right\}\right)`$
$`={\displaystyle _{(𝐑_<^N)^k}}𝑑𝐲_1𝑑𝐲_2\mathrm{}𝑑𝐲_k{\displaystyle \underset{j=1}{\overset{k}{}}}g_N^T(t_{j1},𝐲_{j1},t_j,𝐲_j)\mathrm{exp}\left\{\sqrt{1}{\displaystyle \underset{j=1}{\overset{k}{}}}\theta _j𝐲_j\right\},`$ (3.22)
where $`𝐲_0=\mathrm{𝟎}`$.

Proof. By Lemmas 3.2 and 3.1

$`\underset{L\mathrm{}}{lim}E_{L,T}^𝐳\left(\mathrm{exp}\left\{\sqrt{1}{\displaystyle \underset{j=1}{\overset{k}{}}}\theta _jw(t_j)\right\}\right)`$
$`=\underset{L\mathrm{}}{lim}{\displaystyle \frac{1}{P^𝐳(\mathrm{\Lambda }_{L^2T})}}{\displaystyle \underset{𝐱_1𝐙_<^N}{}}\mathrm{}{\displaystyle \underset{𝐱_k𝐙_<^N}{}}E^𝐳[\mathrm{\Lambda }_{L^2t_1},S(\varphi _{L^2}(t_1))=𝐱_1,`$
$`\times E^{𝐱_1}[\mathrm{\Lambda }_{L^2(t_2t_1)},S(\varphi _{L^2}(t_2t_1))=𝐱_2,\mathrm{}`$
$`\times E^{𝐱_{k1}}[\mathrm{\Lambda }_{L^2(t_kt_{k1})},S(\varphi _{L^2}(t_kt_{k1})=𝐱_k,\mathrm{exp}\{\sqrt{1}{\displaystyle \underset{j=1}{\overset{k}{}}}\theta _j{\displaystyle \frac{𝐱_j}{L}}\}]]]`$
$`=\underset{L\mathrm{}}{lim}{\displaystyle \frac{1}{P^𝐳(\mathrm{\Lambda }_{L^2T})}}{\displaystyle _{(𝐑_<^N)^k}}𝑑𝐲_1𝑑𝐲_2\mathrm{}𝑑𝐲_k\left({\displaystyle \frac{L}{2}}\right)^{Nk}V_N(\varphi _{L^2}(t_1),\varphi _L(𝐲_1)|𝐳)`$
$`\times V_N(\varphi _{L^2}(t_2t_1),\varphi _L(𝐲_2)|\varphi _L(𝐲_1))\mathrm{}`$
$`\times V_N(\varphi _{L^2}(t_kt_{k1}),\varphi _L(𝐲_k)|\varphi _L(𝐲_{k1}))\mathrm{exp}\left\{\sqrt{1}{\displaystyle \underset{j=1}{\overset{k}{}}}\theta _j𝐲_j\right\}`$
$`={\displaystyle _{(𝐑_<^N)^k}}𝑑𝐲_1𝑑𝐲_2\mathrm{}𝑑𝐲_k{\displaystyle \underset{j=1}{\overset{k}{}}}g_N^T(t_{j1},𝐲_{j1},t_j,𝐲_j)\mathrm{exp}\left\{\sqrt{1}{\displaystyle \underset{j=1}{\overset{k}{}}}\theta _j𝐲_j\right\}.`$
This completes the proof. ∎Proof of Theorem 2.2. From Lemmas 3.4 and 3.5 we see that $`\mu _{L,T}^𝐳()`$ converges weakly to the law of the time inhomogeneous diffusion process $`𝐗(t)`$ with transition density $`g_N^T(s,𝐱,t,𝐲)`$. Noting that $`𝒩_N(Tt,𝐱)`$ is a solution of the heat equation, we see that $`g_N^T(s,𝐱,t,𝐲)`$ satisfies the following backward equation:

$$\frac{}{t}g_N^T(s,𝐱,t,𝐲)=\frac{1}{2}\mathrm{}_𝐱g_N^T(s,𝐱,t,𝐲)+b^T(t,𝐱)_𝐱g_N^T(s,𝐱,t,𝐲).$$
(3.23)
Then the process $`𝐗(t)`$ solves (2.16). This completes the proof of Theorem 2.2. Proof of Corollary 2.3. By simple observation we see that the estimates concerning the probability $`\mu _{L,T}^𝐳`$ in the lemmas are uniform with respects to $`T`$. Then (i) is obtained from the properties

$`\underset{T\mathrm{}}{lim}g_N^T(0,\mathrm{𝟎},t,𝐲)=p_N(0,\mathrm{𝟎},t,𝐲),`$
$`\underset{T\mathrm{}}{lim}g_N^T(s,𝐱,t,𝐲)=p_N(s,𝐱,t,𝐲),`$
which are derived from Lemma 3.3. Noting that $`h_N(𝐱)`$ is a harmonic function, we see that $`p_N(s,𝐱,t,𝐲)`$ satisfies the following backward equation:

$$\frac{}{t}p_N(s,𝐱,t,𝐲)=\frac{1}{2}\mathrm{}_𝐱p_N(s,𝐱,t,𝐲)+_𝐱\mathrm{ln}h_N(𝐱)_𝐱p_N(s,𝐱,t,𝐲).$$
(3.24)
Then the process $`𝐘(t)`$ solves (2.19). This completes the proof of Corollary 2.3. ∎

### 3.2 Proof of Theorem 2.5

Let $`\widehat{N}_N(m,𝐯|𝐮)`$, $`𝐮,𝐯𝐍_<^N`$, be the total number of the vicious walks with wall restriction, in which the $`N`$ walkers start form the positions $`u_i,i=1,2,\mathrm{},N`$, and arrive at the positions $`v_i,i=1,2,\mathrm{},N`$, at time $`m`$. Then the probability that such vicious walks with fixed end-points are realized in all possible random walks started from the given initial configuration is $`\widehat{N}_N(m,𝐯|𝐮)/2^{mN}`$, which is denoted by $`\widehat{V}_N(m,𝐯|𝐮)`$. We also put

$$\widehat{V}_N(m|𝐮)=\underset{𝐯𝐍_<^N}{}\widehat{V}_N(m,𝐯|𝐮).$$

By the Karlin-McGregor (Lindström-Gessel-Viennot) formula, we have

$$\widehat{V}_N(m,𝐯|𝐮)=2^{mN}\underset{1i,jN}{det}\left(\left(\genfrac{}{}{0pt}{}{m}{(m+u_jv_i)/2}\right)\left(\genfrac{}{}{0pt}{}{m}{(m+u_j+v_i)/2+1}\right)\right).$$
(3.25)
Let

$$sp_\lambda (z_1,\mathrm{},z_N)=\frac{det(z_i^{\lambda _j+Nj+1}z_i^{(\lambda _j+Nj+1)})}{det(z_i^{Nj+1}z_i^{(Nj+1)})},$$
(3.26)
for a partition $`\lambda =(\lambda _1,\mathrm{},\lambda _N)`$. Remark that $`sp_\lambda (z_1,\mathrm{},z_N)`$ is the character of the irreducible representation corresponding to a partition $`\lambda `$ of the symplectic Lie algebra (see, for example, Lectures 6 and 24 in Fulton and Harris ). By using the function $`sp_\lambda `$ instead of the Schur function, we can show the following lemma by a similar way to the proof of Lemma 3.1.

###### Lemma 3.6

(i) For $`t>0`$, $`𝐱𝐍_<^N`$ and $`𝐲𝐑_{+}^{}{}_{<}{}^{N}`$

$$\left(\frac{L}{2}\right)^N\widehat{V}_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)=\widehat{c^{}}_Nt^{N(2N+1)/2}\widehat{h}_N\left(\frac{𝐱}{L}\right)\mathrm{exp}\left\{\frac{|𝐲|^2}{2t}\right\}\widehat{h}_N(𝐲)\left(1+𝒪\left(\frac{|𝐲|}{L}\right)\right),$$
(3.27)
as $`L\mathrm{}`$, where $`\widehat{c^{}}_N=(2/\pi )^{N/2}/_{j=1}^N\mathrm{\Gamma }(2j)`$.

(ii) For $`t>0`$ and $`𝐱𝐍_<^N`$

$$\widehat{V}_N(\varphi _{L^2}(t)|𝐱)=\frac{1}{\stackrel{~}{c}_N}\widehat{h}_N\left(\frac{𝐱}{L\sqrt{t}}\right)\left(1+𝒪\left(\frac{1}{L}\right)\right),$$
(3.28)
as $`L\mathrm{}`$, where $`\stackrel{~}{c}_N=(\pi /2)^{N/2}_{j=1}^N\{\mathrm{\Gamma }(2j)/\mathrm{\Gamma }(j)\}`$.

Proof. Again we consider the case that $`𝐱=2𝐮`$, $`\varphi _L(𝐲)=2𝐯`$, $`𝐮,𝐯𝐍_<^N`$ and $`\varphi _{L^2}(t)=2\mathrm{}`$, $`\mathrm{}𝐙_+`$. By the equation (3.25)

$$\widehat{V}_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)=2^{2N\mathrm{}}\underset{i=1}{\overset{N}{}}\frac{(2\mathrm{})!}{(\mathrm{}v_i)!(\mathrm{}+v_i)!}\underset{1i,jN}{det}\left(\widehat{A}_{ij}(\mathrm{},𝐯,𝐮)\right),$$
(3.29)
with

$$\widehat{A}_{ij}(\mathrm{},𝐯,𝐮)=\frac{(\mathrm{}+v_iu_j+1)_{u_j}}{(\mathrm{}v_i+1)_{u_j}}\frac{(\mathrm{}v_iu_j+1)_{u_j+1}}{(\mathrm{}+v_i+1)_{u_j+1}}.$$

Then the leading term of $`det_{1i,jN}(\widehat{A}_{ij}(\mathrm{},𝐯,𝐮))`$ as $`L\mathrm{}`$ is

$`\widehat{D}_1(𝐯,𝐮)=\underset{1i,jN}{det}\left(\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}\right)^{u_j}\left({\displaystyle \frac{\mathrm{}v_i}{\mathrm{}+v_i}}\right)^{u_j}\right)`$
$`=(1)^{N(N1)/2}\underset{1i,jN}{det}\left(\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}\right)^{u_{Nj+1}}\left({\displaystyle \frac{\mathrm{}v_i}{\mathrm{}+v_i}}\right)^{u_{Nj+1}}\right)`$
$`=\underset{1i,jN}{det}\left(\left({\displaystyle \frac{\mathrm{}v_i}{\mathrm{}+v_i}}\right)^{Nj+1}\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}\right)^{Nj+1}\right)sp_{\widehat{\xi }(𝐮)}({\displaystyle \frac{\mathrm{}+v_1}{\mathrm{}v_1}},\mathrm{},{\displaystyle \frac{\mathrm{}+v_N}{\mathrm{}v_N}}),`$
where $`\widehat{\xi }(𝐮)=(\widehat{\xi }_1(𝐮),\mathrm{},\widehat{\xi }_N(𝐮))`$ with $`\widehat{\xi }_j(𝐮)=u_{Nj+1}(Nj+1),j=1,2,\mathrm{},N`$. Note that

$$\underset{1i,jN}{det}\left(z_i^{Nj+1}z_i^{(Nj+1)}\right)=\underset{j=1}{\overset{N}{}}\left(z_j\frac{1}{z_j}\right)\underset{1i<jN}{}\left(z_jz_i\right)\left(\frac{1}{z_iz_j}1\right).$$

Then by simple calculation we have

$`\underset{1i,jN}{det}\left(\left({\displaystyle \frac{\mathrm{}v_i}{\mathrm{}+v_i}}\right)^{Nj+1}\left({\displaystyle \frac{\mathrm{}+v_i}{\mathrm{}v_i}}\right)^{Nj+1}\right)`$
$`={\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{4\mathrm{}v_j}{\mathrm{}^2v_j^2}}{\displaystyle \underset{1i<jN}{}}{\displaystyle \frac{4\mathrm{}^2(v_j^2v_i^2)}{(\mathrm{}^2v_i^2)(\mathrm{}^2v_j^2)}}.`$ (3.30)
It is known that

$$sp_\lambda (1,\mathrm{},1)=\underset{1i<jN}{}\frac{\mathrm{}_j^2\mathrm{}_i^2}{m_j^2m_i^2}\underset{j=1}{\overset{N}{}}\frac{\mathrm{}_j}{m_j}$$
(3.31)
with $`\mathrm{}_j=\lambda _j+Nj+1`$, $`m_j=Nj+1`$ . Then

$$sp_{\widehat{\xi }(𝐮)}(1,\mathrm{},1)=\underset{1i<jN}{}\frac{u_j^2u_i^2}{j^2i^2}\underset{j=1}{\overset{N}{}}\frac{u_j}{j}=\widehat{h}_N(𝐮)\underset{j=1}{\overset{N}{}}\frac{1}{\mathrm{\Gamma }(2j+1)}.$$
(3.32)
Then the leading term of $`\widehat{D}_1(𝐯,𝐮)`$ in $`L\mathrm{}`$ is

$`\widehat{D}_2(𝐯,𝐮)=\widehat{h}_N(𝐮){\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{1}{\mathrm{\Gamma }(2j)}}{\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{4v_j}{\mathrm{}}}{\displaystyle \underset{1i<jN}{}}{\displaystyle \frac{4(v_j^2v_i^2)}{\mathrm{}^2}}`$
$`={\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{2}{\mathrm{\Gamma }(2j)}}\widehat{h}_N\left({\displaystyle \frac{𝐮}{\mathrm{}}}\right)\widehat{h}_N(2𝐯).`$ (3.33)
From (3.9),(3.29) and (3.33) we have

$`\widehat{V}_N(\varphi _{L^2}(t),\varphi _L(𝐲)|𝐱)`$
$`={\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{1}{\mathrm{\Gamma }(2j)}}\left({\displaystyle \frac{4}{\mathrm{}\pi }}\right)^{N/2}\widehat{h}_N\left({\displaystyle \frac{𝐯}{\mathrm{}}}\right)\widehat{h}_N(2𝐮)\mathrm{exp}\left\{{\displaystyle \frac{|𝐯|^2}{\mathrm{}}}\right\}\left(1+𝒪\left({\displaystyle \frac{|𝐯|}{\mathrm{}}}\right)\right)`$
$`=\left({\displaystyle \frac{2}{L}}\right)^N\widehat{c^{}}_Nt^{N(2N+1)/2}\widehat{h}_N\left({\displaystyle \frac{𝐱}{L}}\right)\widehat{h}_N(𝐲)\mathrm{exp}\left\{{\displaystyle \frac{|𝐲|^2}{2t}}\right\}\left(1+𝒪\left({\displaystyle \frac{|𝐲|}{L}}\right)\right).`$
Then we obtain (3.27).

By (3.27) and simple calculation we have

$`\widehat{V}(\varphi _{L^2}(t)|𝐱)={\displaystyle \frac{\widehat{c^{}}_Nt^{N(2N+1)/2}}{\mathrm{\Gamma }(N+1)}}\widehat{h}_N\left({\displaystyle \frac{𝐱}{L}}\right){\displaystyle _{𝐑^N}}𝑑𝐲e^{|𝐲|^2/2t}|\widehat{h}_N(𝐲)|\left(1+𝒪\left({\displaystyle \frac{1}{L}}\right)\right)`$
$`={\displaystyle \frac{\widehat{c^{}}_N}{\mathrm{\Gamma }(N+1)}}\widehat{h}_N\left({\displaystyle \frac{𝐱}{L\sqrt{t}}}\right){\displaystyle _{𝐑^N}}𝑑𝐳e^{|𝐳|^2/2}|\widehat{h}_N(𝐳)|\left(1+𝒪\left({\displaystyle \frac{1}{L}}\right)\right),`$
as $`L\mathrm{}`$. The last integral is the special case ($`\gamma =1/2`$ and $`a=1`$) of

$`{\displaystyle _{𝐑^N}}𝑑𝐮e^{|𝐮|^2/2}{\displaystyle \underset{1i<jN}{}}|u_j^2u_i^2|^{2\gamma }{\displaystyle \underset{j=1}{\overset{N}{}}}|u_j|^{2a1}`$
$`=2^{aN+\gamma N(N1)}{\displaystyle \underset{j=1}{\overset{N}{}}}{\displaystyle \frac{\mathrm{\Gamma }(1+j\gamma )\mathrm{\Gamma }(a+\gamma (j1))}{\mathrm{\Gamma }(1+\gamma )}},`$ (3.34)
((17.6.6) on page 354 in ). Then we obtain (3.28) by elementary calculation. ∎

Following the same calculation as was done in the proof of Lemma 3.2, we have the following lemma.

###### Lemma 3.7

Let $`t>0`$ and $`𝐱,𝐲𝐑_{+}^{}{}_{<}{}^{N}`$. Then

$$\left(\frac{L}{2}\right)^N\widehat{V}_N(\varphi _{L^2}(t),\varphi _L(𝐲)|\varphi _L(𝐱))=\widehat{f}_N(t,𝐲|𝐱)\left(1+𝒪\left(\frac{|𝐱|+|𝐲|}{L}\right)\right),$$
(3.35)
as $`L\mathrm{}`$.

We rewrite $`\widehat{f}_N(t,𝐲|𝐱)`$ as

$`\widehat{f}_N(t,𝐲|𝐱)`$ $`=`$ $`(2\pi t)^{N/2}sp_{\widehat{\xi }(𝐲)}(e^{x_1/t},\mathrm{},e^{x_N/t})\mathrm{exp}\left\{{\displaystyle \frac{|𝐱|^2+|𝐲|^2}{2t}}\right\}`$
$`\times `$ $`{\displaystyle \underset{j=1}{\overset{N}{}}}(e^{x_j/t}e^{x_j/t})\left\{{\displaystyle \underset{1i<jN}{}}(e^{x_j/t}e^{x_i/t})(e^{(x_i+x_j)/t}1)\right\}\left\{{\displaystyle \underset{j=1}{\overset{N}{}}}e^{x_j/t}\right\}^{N+1}.`$
Then we can obtain the following lemma by a similar way to prove Lemma 3.3 by virtue of the equations (3.31) and (3.2).

###### Lemma 3.8

Let $`t>0`$ and $`𝐱𝐑_{+}^{}{}_{<}{}^{N}`$. Then

$$\widehat{𝒩}_N(t,𝐱)=\frac{1}{\stackrel{~}{c}_N}\widehat{h}_N\left(\frac{𝐱}{\sqrt{t}}\right)\left(1+𝒪\left(\frac{|𝐱|}{\sqrt{t}}\right)\right),\frac{|𝐱|}{\sqrt{t}}0,$$
(3.36)
where $`\stackrel{~}{c}_N=(\pi /2)^{N/2}_{j=1}^N\{\mathrm{\Gamma }(2j)/\mathrm{\Gamma }(j)\}`$.

From the above lemmas and the same argument as in the previous subsection we can obtain Theorem 2.5 and Corollary 2.6.

## 4 Proof of Lemmas 2.1 and 2.4

We use the following identity, which is shown in de Bruijn . (See also Appendix in .) Lemmas 2.1 and 2.4 are easy consequences of this result as shown below.

###### Lemma 4.1

Let $`z`$ be a square integrable piecewise continuous function on $`𝐑^2`$. Then

$$_{𝐑_<^N}𝑑𝐲\underset{1i,jN}{det}(z(x_i,y_j))=\mathrm{Pf}_{1i<j\widehat{N}}(F_{ij}(𝐱)),$$
(4.1)
where

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

$`I_z(x_i)={\displaystyle _{\mathrm{}}^{\mathrm{}}}z(x_i,y)𝑑y,`$
$`I_z(x_i,x_j)={\displaystyle _{\mathrm{}<y_1<y_2<\mathrm{}}}det\left(\begin{array}{cc}z(x_i,y_1)& z(x_i,y_2)\\ z(x_j,y_1)& z(x_j,y_2)\end{array}\right)dy_1dy_2,`$
and

$$F_{ij}(𝐱)=\{\begin{array}{cc}I_z(x_i,x_j),& \text{if}1i<jN,\hfill \\ I_z(x_i,x_j),& \text{if}1j<iN,\hfill \\ I_z(x_i),& \text{if}1iN,j=N+1,\hfill \\ I_z(x_j),& \text{if}i=N+1,1jN,\hfill \\ 0,& \text{if}1i=jN+1.\hfill \end{array}$$

Proof of Lemma 2.1.  From the above lemma and integration by substitution, it is enough to show

$$I_{z_1}(x_i)=1,I_{z_1}(x_i,x_j)=\mathrm{\Psi }\left(\frac{x_jx_i}{\sqrt{2}}\right),$$
(4.2)
for $`z_1(x,y)=e^{(xy)^2}/\sqrt{\pi }.`$ The first equation in (4.2) is trivial. Let $`z_0(x)=e^{x^2}/\sqrt{\pi }`$. Then

$`I_{z_1}(x_i,x_j)`$ $`=`$ $`{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑y_1{\displaystyle _{x_ix_j}^{x_jx_i}}𝑑y_2z_0(y_1)z_0(y_1+y_2)`$
$`=`$ $`{\displaystyle \frac{1}{\pi }}{\displaystyle _{x_ix_j}^{x_jx_i}}𝑑y_2e^{y_2^2/2}{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑y_1e^{2(y_1+y_2/2)^2}`$
$`=`$ $`{\displaystyle \frac{1}{\sqrt{2\pi }}}{\displaystyle _{x_ix_j}^{x_jx_i}}𝑑y_2e^{y_2^2/2}=\mathrm{\Psi }\left({\displaystyle \frac{x_jx_i}{\sqrt{2}}}\right).`$
This completes the proof. ∎

Proof of Lemma 2.4.  It is enough to show

$$I_{z_2}(x_i)=\mathrm{\Psi }\left(x_i\right),I_{z_2}(x_i,x_j)=\widehat{\mathrm{\Psi }}(x_i,x_j),$$
(4.3)
for $`z_2(x,y)=\left\{\left(e^{(xy)^2}e^{(x+y)^2}\right)/\sqrt{\pi }\right\}\mathrm{𝟏}\{x0,y0\}.`$ The first equation in (4.3) is obtained easily. To show the second equation we put

$$G((a_1,a_2],(b_1,b_2])=_{a_1}^{a_2}𝑑y_1_{b_1}^{b_2}𝑑y_2z_0(y_1)z_0(y_1y_2),$$

for $`a_1,a_2,b_1,b_2𝐑\{\mathrm{},\mathrm{}\}`$. Then

$`I_{z_2}(x_i,x_j)`$ $`=`$ $`G((x_i,\mathrm{}),(\mathrm{},x_jx_i])G((x_i,\mathrm{}),(\mathrm{},x_jx_i])`$
$``$ $`G((x_i,\mathrm{}),(\mathrm{},x_j+x_i])+G((x_i,\mathrm{}),(\mathrm{},x_j+x_i])`$
$``$ $`G((x_j,\mathrm{}),(\mathrm{},x_ix_j])+G((x_j,\mathrm{}),(\mathrm{},x_jx_i])`$
$`+`$ $`G((x_j,\mathrm{}),(\mathrm{},x_j+x_i])G((x_j,\mathrm{}),(\mathrm{},x_i+x_j])`$
$`=`$ $`G((x_i,x_i],(x_ix_j,x_jx_i])G((x_i,x_j],(x_jx_i,x_i+x_j])`$
$`G((x_j,x_i],(x_ix_j,x_ix_j])`$
$`=`$ $`\widehat{\mathrm{\Psi }}(x_i,x_j).`$
This completes the proof. ∎

Acknowledgments MK would like to thank John Cardy for his hospitality and useful discussion during his stay in Department of Physics, Theoretical Physics, University of Oxford, where the present work was done. HT is partially supported by JSPS Grant-in-Aid for Scientific Research Kiban (C) (No. 11640101) of Japan Society of the Promotion of Science.

Makoto Katori
Department of Physics,
Faculty of Science and Engineering,
Chuo University,
Kasuga, Bunkyo-ku,
Tokyo 112-8551, Japan
e-mail: katori@phys.chuo-u.ac.jp

Hideki Tanemura
Department of Mathematics and Informatics,
Faculty of Science,
Chiba University,
1-33 Yayoi-cho, Inage-ku,
Chiba 263-8522, Japan
e-mail: tanemura@math.s.chiba-u.ac.jp