Some martingales associated with multivariate Bessel processes (Q2036563)

The authors consider generators of transition semigroups associated to root systems A and B types and their associated stochastic differential equations for the diffusions to derive a martingale of polynomials constructed from elementary symmetric polynomials. Furthermore, the expectations of the elementary symmetric polynomials of the process are given by Hermite polynomials and Laguerre polynomials, respectively, for type A and type B.\par Interacting Calogero-Moser-Sutherland particle models on \(\mathbb{R}\) with \(N\) particles can be described by Bessel processes \((X_t)_{t\ge 0}\) associated to root systems. For each starting point in the closed Weyl chamber of the root system, the processes admit unique solutions for type A and type B, respectively. Section 2 studies Bessel processes of type A with normalization, with the last two authors' earlier work, the elementary symmetric polynomials follows by a nice Itô process given in Lemma 2.1. Proposition 2.3 shows that the elementary symmetric polynomial of the Bessel process \((X_t)_{t\ge 0}\) with binomial combinations of elementary symmetric polynomials with lower degree is a martingale by the induction principle on even and odd degrees using Dynkin's formula. This gives one of the main results for type A. The recursive structure of the proof of Proposition 2.3 states that the unique space-time-harmonic function of the form \(e_k^N(x) +p_k (t, x)\) is independent of the parameter \(\beta\), and admits an interpretation in terms of the multivariate Hermite polynomial. Section 3 shows a similar result for type B on the renormalized processes. Proposition 3.3 states the other main result for type B with multivariate Laguerre polynomials instead of Hermite polynomials in type A.\par The formulas in Proposition 2.3 and Proposition 3.3 are closely related to the characteristic polynomials of random matrices. \textit{J. F. van Diejen} (ed.) and \textit{L. Vinet} (ed.) [Calogero-Sutherland-Moser Models. Berlin: Springer. CRM Series in Mathematical Physics (2000; \url{doi:10.1007/978-1-4612-1206-5})] studied Calogero-Moser-Sutherland models with Bessel processes for root systems. It is a natural question to find all characteristic polynomials for other types of root systems in Lie algebras, to hope to reveal other interesting special polynomials from the martingale perspective.