Brown measures of free circular and multiplicative Brownian motions with self-adjoint and unitary initial conditions (Q6172675)

Summary: Let \(Z_N\) be a Ginibre ensemble and let \(A_N\) be a Hermitian random matrix independent of \(Z_N\) such that \(A_N\) converges in distribution to a self-adjoint random variable \(x_0\) in a \(W^\ast \)-probability space \(( \mathcal{A} , \tau )\). For each \(t > 0\), the random matrix \( A_N + \sqrt{t} Z_N \) converges in \(\ast \)-distribution to \(x_0 + c_t\), where \(c_t\) is a circular variable of variance \(t\), freely independent of \(x_0\). We use the Hamilton-Jacobi method to compute the Brown measure \(\rho_t \) of \(x_0 + c_t\). The Brown measure has a density that is \textit{constant along the vertical direction} inside the support. The support of the Brown measure of \(x_0 + c_t\) is related to the subordination function of the free additive convolution of \(x_0 + s_t\), where \(s_t\) is a semicircular variable of variance \(t\), freely independent of \(x_0\). Furthermore, the push-forward of \(\rho_t \) by a natural map is the law of \(x_0 + s_t\). Let \(G_N ( t )\) be the Brownian motion on the general linear group and let \(U_N\) be a unitary random matrix independent of \(G_N ( t )\) such that \(U_N\) converges in distribution to a unitary random variable \(u\) in \(( \mathcal{A} , \tau )\). The random matrix \(U_N G_N ( t )\) converges in \(\ast \)-distribution to \(u b_t\) where \(b_t\) is the free multiplicative Brownian motion, freely independent of \(u\). We compute the Brown measure \(\mu_t\) of \(u b_t\), extending the recent work by Driver-Hall-Kemp [\textit{B.~K. Driver} et al., Probab. Theory Relat. Fields 184, No.~1--2, 209--273 (2022; Zbl 1500.60053)], which corresponds to the case \(u = I\). The measure has a density of the special form \[ \frac{1}{r^2} w_t ( \theta ) \] in polar coordinates in its support. The support of \(\mu_t \) is related to the subordination function of the free multiplicative convolution of \(u u_t\) where \(u_t\) is the free unitary Brownian motion, freely independent of \(u\). The push-forward of \(\mu_t \) by a natural map is the law of \(u u_t\). In the special case that \(u\) is Haar unitary, the Brown measure \(\mu_t\) follows the \textit{annulus law}. The support of the Brown measure of \(u b_t\) is an annulus with inner radius \(e^{- t/ 2}\) and outer radius \(e^{t / 2}\). In its support, the density in polar coordinates is given by \[ \frac{1}{ 2 \pi t} \frac{1}{r^2}. \]