Free Jacobi process
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Publication:2481395
DOI10.1007/S10959-007-0110-1zbMATH Open1145.46041arXivmath/0606218OpenAlexW2088368454MaRDI QIDQ2481395FDOQ2481395
Publication date: 9 April 2008
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Abstract: Using a matrix approach, we define the free Jacobi process as the limit of the complex Jacobi matrix process. The we derive a free SDE which is analogous to its classical counterpart. To proceed, we prove that fro suitable parameters the process remains injective if it is initially injective and then use the polar decomposition. In the stationnary case, this will be easily deduced from the explicit expression of the spectral measure. In the general setting we derive a recurrence formula for the moments. Moreover, a p. d. e. for the Cauchy transform of the law is given.
Full work available at URL: https://arxiv.org/abs/math/0606218
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Cited In (20)
- On the rough-paths approach to non-commutative stochastic calculus
- Free Jacobi process associated with one projection: local inverse of the flow
- Relating moments of self-adjoint polynomials in two orthogonal projections
- Wigner chaos and the fourth moment
- Schur–Weyl duality and the product of randomly-rotated symmetries by a unitary Brownian motion
- Spectral distribution of the free Jacobi process, revisited
- Summing free unitary Brownian motions with applications to quantum information
- Itô's formula for noncommutative \(C^2\) functions of free Itô processes
- Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases
- Asymptotic windings of the block determinants of a unitary Brownian motion and related diffusions
- The Cℓ‐free process
- Liberation of projections
- Remarks on free mutual information and orbital free entropy
- Dirichlet form analysis of the Jacobi process
- On free stochastic differential equations
- Moments of the Hermitian matrix Jacobi process
- Central limit theorems for the Brownian motion on large unitary groups
- Freezing limits for Calogero–Moser–Sutherland particle models
- Inverse of the flow and moments of the free Jacobi process associated with one projection
- The spectral edge of unitary Brownian motion
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