Matrix Dufresne identities

DOI10.1093/IMRN/RNV127MaRDI QIDQ5744703zbMATH OpenOpenAlexFDO

Authors Brian Rider, Benedek Valkó

Publication date 19 February 2016

Published in IMRN. International Mathematics Research Notices (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.1954, http://hdl.handle.net/20.500.12613/5797

zbMATH Keywords

Brownian motionDufresne identitymatrix processesmatrix-valued diffusionsstochastic differential equations

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: We prove a version of the classical Dufresne identity for matrix processes. In particular, we show that the inverse Wishart laws on the space of positive definite r x r matrices can be realized by the infinite time horizon integral of M_t times its transpose in which t -> M_t is a drifted Brownian motion on the general linear group. This solves a problem in the study of spiked random matrix ensembles which served as the original motivation for this result. Various known extensions of the Dufresne identity (and their applications) are also shown to have analogs in this setting. For example, we identify matrix valued diffusions built from M_t which generalize in a natural way the scalar processes figuring into the geometric Levy and Pitman theorems of Matsumoto and Yor.

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(18)

• A matrix Bougerol identity and the Hua-Pickrell measures
• Additive properties of the Dufresne laws and their multivariate extension
• Interacting diffusions on positive definite matrices
• Random entire functions from random polynomials with real zeros
• Laplacian and Brownian motion on positive definite matrices, revisited
• Universality classes for general random matrix flows
• Ergodic decomposition for inverse Wishart measures on infinite positive-definite matrices
• On two-dimensional extensions of Bougerol's identity in law
• On the singular values of complex matrix Brownian motion with a matrix drift
• Matsumoto-Yor process and infinite dimensional hyperbolic space
• Wigner–Smith matrix, exponential functional of the matrix Brownian motion and matrix Dufresne identity
• Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential
• Exact solution of interacting particle systems related to random matrices
• Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices
• Spiking the random matrix hard edge
• A discrete-time Matsumoto-Yor theorem
• Pitman's and Lévy's theorems for Brownian bridges
• Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process

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