Gaussian integrals on symmetric spaces (the complex case and beyond)

The present work is concerned with Gaussian integrals on simply connected non-positively curved Riemannian symmetric spaces. It is motivated by the aim of explicitly finding the high-rank limit of these integrals for each of the eleven families of classical Riemannian symmetric spaces. To begin, it deals with the easier complex case (where the isometry group admits a complex Lie group structure). To go beyond this case, it introduces a variational characterisation of the high-rank limit, as the minimum of a certain energy functional over the space of probability distributions on the real line. Using this new variational formulation, it is possible to recover the high-rank limit in closed form, from the expression originally found in the complex case. This two-step approach is illustrated through the examples of two kinds of symmetric spaces : symmetric cones and classical symmetric domains. Gaussian integrals on symmetric spaces, and particularly their high-rank limits, have proved important in both statistics and theoretical physics. The present work proposes an approach for dealing with these limits, which has the merit of yielding general, concrete, closed-form results.