English

Some martingales associated with multivariate Jacobi processes and Aomoto's Selberg integral

Probability 2020-09-30 v1 Mathematical Physics Classical Analysis and ODEs math.MP Representation Theory

Abstract

We study β\beta-Jacobi diffusion processes on alcoves in RN\mathbb R^N, depending on 3 parameters. Using elementary symmetric functions, we present space-time-harmonic functions and martingales for these processes (Xt)t0(X_t)_{t\ge0} which are independent from one parameter. This leads to a formula for E(i=1N(yXt,i))\mathbb E(\prod_{i=1}^N (y-X_{t,i})) in terms of classical Jacobi polynomials. For tt\to\infty this yields a corresponding formula for Jacobi ensembles and thus Aomoto's Selberg integral.

Keywords

Cite

@article{arxiv.1908.11257,
  title  = {Some martingales associated with multivariate Jacobi processes and Aomoto's Selberg integral},
  author = {Michael Voit},
  journal= {arXiv preprint arXiv:1908.11257},
  year   = {2020}
}
R2 v1 2026-06-23T11:00:00.563Z