Limit theorems for multivariate Bessel processes in the freezing regime

DOI10.1016/J.SPA.2018.12.011zbMATH Open1448.60067arXiv1804.03856OpenAlexW2798157068MaRDI QIDQ2010500FDOQ2010500

Michael Voit, Sergio Andraus

Publication date: 27 November 2019

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

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.

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)

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Cited In (17)

• 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
• High–low temperature dualities for the classical β-ensembles
• Dunkl jump processes: relaxation and a phase transition
• Central limit theorems for multivariate Bessel processes in the freezing regime. II. The covariance matrices
• Title not available (Why is that?)
• On the differential equations of frozen Calogero-Moser-Sutherland particle models
• Some martingales associated with multivariate Bessel processes
• Elementary symmetric polynomials and martingales for Heckman-Opdam processes
• 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
• Freezing limits for beta-Cauchy ensembles
• Freezing limits for Calogero–Moser–Sutherland particle models
• Two limiting regimes of interacting Bessel processes

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