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

Calogero-Moser-Sutherland modelscentral limit theoremsHermite ensemblesinteracting particle systemsLaguerre ensemblesstrong limiting lawszeros of Hermite polynomialszeros of Laguerre polynomials

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Diffusion processes (60J60) 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)

• Central limit theorems for multivariate Bessel processes in the freezing regime
• Some martingales associated with multivariate Bessel processes
• Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions
• Freezing limits for beta-Cauchy ensembles
• 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. II. The covariance matrices
• Strong solutions to a beta-Wishart particle system
• Limit theorems for Bessel processes in general dimension d
• 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
• Elementary symmetric polynomials and martingales for Heckman-Opdam processes
• High-low temperature dualities for the classical \(\beta \)-ensembles
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• Freezing limits for Calogero–Moser–Sutherland particle models
• On the differential equations of frozen Calogero-Moser-Sutherland particle models
• Limit theorems for Jacobi ensembles with large parameters

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