Integration formulas for Brownian motion on classical compact Lie groups

DOI10.1214/16-AIHP779zbMath1388.58022arXiv1212.5107WikidataQ115240848 ScholiaQ115240848MaRDI QIDQ1700401

Antoine Dahlqvist

Publication date: 5 March 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.5107

zbMATH Keywords

Brownian motionstochastic calculusSchur-Weyl dualityWeingarten calculusfirst fundamental theorem of invariant theoryclassical compact Lie group

Mathematics Subject Classification ID

Gaussian processes (60G15) Combinatorial aspects of representation theory (05E10) Brownian motion (60J65) Vector and tensor algebra, theory of invariants (15A72) Applications of stochastic analysis (to PDEs, etc.) (60H30) Noncommutative probability and statistics (46L53) Diffusion processes and stochastic analysis on manifolds (58J65) Classical groups (algebro-geometric aspects) (14L35)

Related Items (6)

Large \(N\) limit of Yang-Mills partition function and Wilson loops on compact surfaces ⋮ Asymptotics of powers of random elements of compact Lie groups ⋮ The spectral edge of unitary Brownian motion ⋮ Free energies and fluctuations for the unitary Brownian motion ⋮ Fluctuations of Brownian motions on \(\mathbb{GL}_N\) ⋮ Schur–Weyl duality and the product of randomly-rotated symmetries by a unitary Brownian motion

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