Integration formulas for Brownian motion on classical compact Lie groups

DOI10.1214/16-AIHP779MaRDI QIDQ1700401zbMATH OpenWikidataFDO

Authors Antoine Dahlqvist

Publication date 5 March 2018

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.5107, https://projecteuclid.org/euclid.aihp/1511773734

zbMATH Keywords

Brownian motionclassical compact Lie groupfirst fundamental theorem of invariant theorySchur-Weyl dualitystochastic calculusWeingarten calculus

Mathematics Subject Classification ID

Combinatorial aspects of representation theory (05E10) Classical groups (algebro-geometric aspects) (14L35) Vector and tensor algebra, theory of invariants (15A72) Noncommutative probability and statistics (46L53) Diffusion processes and stochastic analysis on manifolds (58J65) Gaussian processes (60G15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65)

Abstract: Combinatorial formulas for the moments of the Brownian motion on classical compact Lie groups are obtained. These expressions are deformations of formulas of B. Collins and P. 'Sniady for moments of the Haar measure and yield a proof of the First Fundamental Theorem of invariant theory and of classical Schur-Weyl dualities based on stochastic calculus.

Review text

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).

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Cited in

(22)

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• Projections of regularized Brownian motions by the action of a Hilbertian Lie group
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