Free Jacobi process
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Publication:2481395
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.
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- Wishart processes
Cited in
(23)- Spectral distribution of the free Jacobi process
- Moments of the Hermitian matrix Jacobi process
- The Cℓ‐free process
- Dirichlet form analysis of the Jacobi process
- Asymptotic windings of the block determinants of a unitary Brownian motion and related diffusions
- Free Martingale polynomials for stationary Jacobi processes
- Itô's formula for noncommutative \(C^2\) functions of free Itô processes
- On the rough-paths approach to non-commutative stochastic calculus
- Summing free unitary Brownian motions with applications to quantum information
- Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases
- Wigner chaos and the fourth moment
- The spectral edge of unitary Brownian motion
- Liberation of projections
- Relating moments of self-adjoint polynomials in two orthogonal projections
- Spectral distribution of the free Jacobi process associated with one projection
- Remarks on free mutual information and orbital free entropy
- Central limit theorems for the Brownian motion on large unitary groups
- Inverse of the flow and moments of the free Jacobi process associated with one projection
- Schur-Weyl duality and the product of randomly-rotated symmetries by a unitary Brownian motion
- Free Jacobi process associated with one projection: local inverse of the flow
- Spectral distribution of the free Jacobi process, revisited
- On free stochastic differential equations
- Freezing limits for Calogero–Moser–Sutherland particle models
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