Integration formulas for Brownian motion on classical compact Lie groups (Q1700401): Difference between revisions

The author considers the Brownian motion \((G_t)\) on the classical compact Lie group \(G\in\{O(N), U(N),Sp(N)\}\). He first obtains combinatorial formulas yielding the moments \(\mathbb{E}\big[G_t^{\otimes n}\big]\) (and also \(\mathbb{E}\big[G_t^{\otimes n}\otimes \overline{G_t}^{\otimes n}\big]\) for \(G=U(N)\)). The expressions got in this way are well suited to handle \(N\to\infty\) and \(t\to\infty\) asymptotics. In particular, letting \(t\to\infty\), the author then derives the analogous formulas when expectation is replaced by the Haar measure. Moreover, using the preceding, the author gives a new proof, based on stochastic calculus, for the so-called first fundamental theorem of invariants (describing the subspaces of tensor spaces made of the invariants under the \(G\)-action) and Schur-Weyl duality (describing the commutant of the tensorial \(G\)-action).