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 -Jacobi diffusion processes on alcoves in , depending on 3 parameters. Using elementary symmetric functions, we present space-time-harmonic functions and martingales for these processes which are independent from one parameter. This leads to a formula for in terms of classical Jacobi polynomials. For this yields a corresponding formula for Jacobi ensembles and thus Aomoto's Selberg integral.
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}
}