Asymptotic expansion of spherical integral (Q1741898)

The authors investigate the asymptotics of the spherical integral \[ I_{N}^{(\beta)}(\theta,B_N)=\int \exp\{\theta N(e_1^*B_Ne_1)\}dm_N^{(\beta)}(U),\;\beta=1,2, \] where \(m_N^{(\beta)}\) is the Haar measure on the orthogonal group O\((N)\) if \(\beta=1\) and on the unitary group U\((N)\) if \(\beta=2\), \(B_N\) is a deterministic \(N\times N\) real symmetric or Hermitian matrix and \(e_1\) is the first column of \(U\). The above spherical integral is in fact a finite-dimensional analog of the \(R\)-transform in free probability theory. The first and the second term in the asymptotic expansion are explicitly computed.