Paths in Weyl chambers and random matrices
Brownian motioncomplex semisimple groupeigenvalueGaussian unitary ensemblePitman's theoremrandom matrixrepresentation theorysymmetric spaceWeyl chamber
Random matrices (algebraic aspects) (15B52) Representations of Lie algebras and Lie superalgebras, algebraic theory (weights) (17B10) Analysis on real and complex Lie groups (22E30) Semisimple Lie groups and their representations (22E46) Harmonic analysis on homogeneous spaces (43A85) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Brownian motion (60J65) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)
The largest eigenvalue of the random matrix of the Gaussian unitary ensemble of order \(d\) has the same distribution as \[ \max_{1\geq t_1 \geq \cdots \geq t_{d-1} \geq 0} [W_1(1)-W_1(t_1)+W_2(t_1)-W_2(t_2)+ \cdots +W_d(t_{d-1})], \] where \(W_1\), \(\dots\), \(W_d\) are independent standard real Brownian motions. This result was proved in a path representation by \textit{Yu. Baryshnikov} [Probab. Theory Related Fields 119, 256--274 (2001; Zbl 0980.60042)] and \textit{J. Gravner, C. A. Tracy} and \textit{H. Widom} [J. Stat. Phys. 102, 1085--1132 (2001; Zbl 0989.82030)]. In this paper, a similar formula is given for all eigenvalues, using a geometric approach. A continuous projection is introduced associating a path \({\mathcal T}w\) in the closure of the Weyl chamber \({\mathbf a}_+\) to a path \(w\) in an Abelian subspace \({\mathbf a}\). This path transformation was used in connection with a representation theory of complex group already by \textit{O. Mathieu} [Astérisque 237, 209--224 (1996; Zbl 0886.17009)] and it also appeared in the paper of \textit{J. W. Pitman} [Adv. Appl. Probab. 7, 511--526 (1975; Zbl 0332.60055)], where \(w\) is the usual Brownian motion and \({\mathcal T}w\) was then a \(3\)-dimensional Bessel process. The presented results can be seen as a generalization of Pitman's result to Weyl chambers. If \({\mathbf a}={\mathbb R}^{d}\), \({\mathbf a}_+=\{(x_1, \cdots, x_d); x_1 > x_2 > \cdots > x_d\}\) and \(W\) is the Euclidean Brownian motion on the space \({\mathbf a}\) then \({\mathcal T}W\) is the process of the eigenvalues of the Dyson Brownian motion on the set of Hermitian matrices and the transformation \(({\mathcal T}W)(1)\) has the distribution as the eigenvalues of the Gaussian unitary ensemble.
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