English

An explicit formula for free multiplicative Brownian motions via spherical functions

Probability 2025-12-12 v2 Mathematical Physics Classical Analysis and ODEs math.MP

Abstract

After some normalization, the logarithms of the ordered singular values of Brownian motions on GL(N,F)GL(N,\mathbb F) with F=R,C\mathbb F=\mathbb R, \mathbb C form Weyl-group invariant Heckman-Opdam processes on RN\mathbb R^N of type AN1A_{N-1}. We use classical elementary formulas for the spherical functions of GL(N,C)/SU(N)GL(N,\mathbb C)/SU(N) and the associated Euclidean spaces H(N,C)H(N,\mathbb C) of Hermitian matrices, and show that in the GL(N,C)GL(N,\mathbb C)-case, these processes can be also interpreted as ordered eigenvalues of Brownian motions on H(N,C)H(N,\mathbb C) with particular drifts. This leads to an explicit description for the free limits for the associated empirical processes for NN\to\infty where these limits are independent from the parameter kk of the Heckman-Opdam processes. In particular we get new formulas for the distributions of the free multiplicative Browniam motion of Biane. We also show how this approach works for the root systems BN,CN,DNB_N, C_N, D_N.

Keywords

Cite

@article{arxiv.2408.00535,
  title  = {An explicit formula for free multiplicative Brownian motions via spherical functions},
  author = {Martin Auer and Michael Voit},
  journal= {arXiv preprint arXiv:2408.00535},
  year   = {2025}
}

Comments

Minor corrections and some comments added