Limit theorems for multivariate Bessel processes in the freezing regime

DOI10.1016/J.SPA.2018.12.011MaRDI QIDQ2010500zbMATH OpenOpenAlexFDO

Authors Sergio Andraus, Michael Voit

Publication date 27 November 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.03856

zbMATH Keywords

interacting particle systemscentral limit theoremsCalogero-Moser-Sutherland modelsLaguerre ensemblesHermite ensembleszeros of Hermite polynomialszeros of Laguerre polynomialsstrong limiting laws

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Strong limit theorems (60F15) Interacting particle systems in time-dependent statistical mechanics (82C22)

Abstract: Multivariate Bessel processes describe the stochastic dynamics of interacting particle systems of Calogero-Moser-Sutherland type and are related with $$-Hermite and Laguerre ensembles. It was shown by Andraus, Katori, and Miyashita that for fixed starting points, these processes admit interesting limit laws when the multiplicities $k$ tend to $infty$, where in some cases the limits are described by the zeros of classical Hermite and Laguerre polynomials. In this paper we use SDEs to derive corresponding limit laws for starting points of the form $sqrtkcdotx$ for $koinfty$ with $x$ in the interior of the corresponding Weyl chambers. Our limit results are a.s. locally uniform in time. Moreover, in some cases we present associated central limit theorems.

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Cited in

(19)

• Limit theorems for Jacobi ensembles with large parameters
• Potential kernels for radial Dunkl Laplacians
• The differential equations associated with Calogero-Moser-Sutherland particle models in the freezing regime
• Central limit theorems for multivariate Bessel processes in the freezing regime
• Dunkl jump processes: relaxation and a phase transition
• Central limit theorems for multivariate Bessel processes in the freezing regime. II. The covariance matrices
• scientific article; zbMATH DE number 7771622 (Why is no real title available?)
• Some martingales associated with multivariate Bessel processes
• On the differential equations of frozen Calogero-Moser-Sutherland particle models
• Elementary symmetric polynomials and martingales for Heckman-Opdam processes
• High-low temperature dualities for the classical \(\beta \)-ensembles
• Strong solutions to a beta-Wishart particle system
• Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions
• Limit theorems and soft edge of freezing random matrix models via dual orthogonal polynomials
• Functional central limit theorems for multivariate Bessel processes in the freezing regime
• Limit theorems for Bessel processes in general dimension \(d\)
• Freezing limits for beta-Cauchy ensembles
• Two limiting regimes of interacting Bessel processes
• Freezing limits for Calogero–Moser–Sutherland particle models

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