We consider the gap probability for the Pearcey and Airy processes; we set up a Riemann-Hilbert approach (different from the standard one) whereby the asymptotic analysis for large gap/large time of the Pearcey process is shown to factorize into two independent Airy processes using the Deift-Zhou steepest descent analysis. Additionally we relate the theory of Fredholm determinants of integrable kernels and the theory of isomonodromic tau function. Using the Riemann-Hilbert problem mentioned above we construct a suitable Lax pair formalism for the Pearcey gap probability and re-derive the two nonlinear PDEs recently found and additionally find a third one not reducible to those.

Putting dynamics into random matrix models leads to finitely many nonintersecting Brownian motions on the real line for the eigenvalues, as was discovered by Dyson. Applying scaling limits to the random matrix models, combined with Dyson's dynamics, then leads to interesting, infinite-dimensional diffusions for the eigenvalues. This paper studies the relationship between two of the models, namely the Airy and Pearcey processes and more precisely shows how to approximate the multi-time statistics for the Pearcey process by the one of the Airy process with the help of a PDE governing the gap probabilities for the Pearcey process. IntroductionPutting dynamics into random matrix models leads to finitely many nonintersecting Brownian motions on R for the eigenvalues, as was discovered by Dyson [15]. Applying scaling limits to the random matrix models, combined with Dyson's dynamics, then leads to interesting, infinite-dimensional diffusions for the eigenvalues. This paper studies the relationship between two of the models, namely the Airy and Pearcey processes and more precisely shows how to approximate the Pearcey process by the Airy process with the help of a PDE [2] governing the gap probabilities for the Pearcey process. The Airy process was introduced by Prähofer-Spohn [22] and further developed by K. Johansson [17,18]. A simple non-linear 3rd order PDE for the transition probabilities for this process was found in [3]; see also [23,24]. The Pearcey process was introduced in [25,21] in the context of non-intersecting Brownian motions and plane partitions, also based on prior work on matrix models with external source [20,

We prove that matrix Fredholm determinants related to multi-time processes can be expressed in terms of determinants of integrable kernelsà la Its-Izergin-Korepin-Slavnov (IIKS) and hence related to suitable Riemann-Hilbert problems, thus extending the known results for the single-time case. We focus on the Airy and Pearcey processes. As an example of applications we re-deduce a third order PDE, found by Adler and van Moerbeke, for the two-time Airy process.

All Painlevé equations can be written as a time-dependent Hamiltonian system, and as such they admit a natural generalization to the case of several particles with an interaction of Calogero type (rational, trigonometric or elliptic). Recently, these systems of interacting particles have been proved to be relevant in the study of β-models. An almost two decade old open question by Takasaki asks whether these multi-particle systems can be understood as isomonodromic equations, thus extending the Painlevé correspondence. In this paper we answer in the affirmative by displaying explicitly suitable isomonodromic Lax pair formulations. As an application of the isomonodromic representation we provide a construction based on discrete Schlesinger transforms, to produce solutions for these systems for special values of the coupling constants, starting from uncoupled ones; the method is illustrated for the case of the second Painlevé equation.