A probabilistic representation of totally positive matrices

DOI10.1016/0196-8858(86)90035-7MaRDI QIDQ1087236zbMATH OpenOpenAlexFDO

Authors Gerald S. Goodman

Publication date 1986

Published in Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0196-8858(86)90035-7

zbMATH Keywords

Feynman-Kac formulafinite-state non-stationary birth-and-death processtotally positive matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Stochastic analysis (60H99) Optimal stochastic control (93E20)

Review text

\textit{C. Loewner} [Math. Z. 63, 338-340 (1955; Zbl 0068.250)] has shown that every non-singular totally positive matrix of finite order can be reached from the identity by forward solutions of the control equation \(dR/dt=C(t)R\), when C(t) varies in the class of Jacobi matrices with non- negative off-diagonal entries. We give a probabilistic solution of this equation by associating with it a finite-state non-stationary birth-and- death process and using the Feynman-Kac formula. This yields a probabilistic representation of non-singular totally positive matrices in terms of random evolutions. We then extend the representation to compound matrices by making use of a multi-particle system due to \textit{R. P. Feynman} [Phys. Rev., II. Ser. 76, 749-759 (1949; Zbl 0037.124), ibid. 76, 769-789 (1949; Zbl 0038.133)] and \textit{S. Karlin} and \textit{J. McGregor} [Pac. J. Math. 9, 1141-1164 (1959; Zbl 0092.345)]. As applications, we obtain both the Jacobi-Liouville formula and the inequality of \textit{F. R. Gantmacher} and \textit{M. G. Krein} [Oszillationsmatrizen, Oszillationskerne und kleine Schwingungen mechanischer Systeme. Akademie-Verlag (1964)] for the principal minors of totally positive matrices by simple probabilistic arguments.

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Cites work

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Cited in

(7)

• Total positivity of a kind of generalized toric-Bernstein basis
• scientific article; zbMATH DE number 4155605 (Why is no real title available?)
• scientific article; zbMATH DE number 1136351 (Why is no real title available?)
• Accurate computations and applications of some classes of matrices
• scientific article; zbMATH DE number 1457430 (Why is no real title available?)
• R-positivity of nearest neighbor matrices and applications to Gibbs states
• Positivity, accuracy, optimality and applications

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