Kinetic Dyson Brownian motion

DOI10.1214/22-ECP480MaRDI QIDQ2675983zbMATH OpenFDO

Authors Pierre Perruchaud

Publication date 26 September 2022

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.10426

zbMATH Keywords

kinetic Dyson Brownian motionsMarkov processesrandom Hermitian matricesvelocity spherical Brownian motions

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Feller processes (60G53) Brownian motion (60J65)

Abstract: We study the spectrum of the kinetic Brownian motion in the space of $dimesd$ Hermitian matrices, $dgeq2$. We show that the eigenvalues stay distinct for all times, and that the process $Lambda$ of eigenvalues is a kinetic diffusion (i.e. the pair $(Lambda,dotLambda)$ of $Lambda$ and its derivative is Markovian) if and only if $d=2$. In the large scale and large time limit, we show that $Lambda$ converges to the usual (Markovian) Dyson Brownian motion under suitable normalisation, regardless of the dimension.

Review text

The author studies kinetic Dyson Brownian motions as follows: Let \((H_t^.)_{t\ge0}\) be a Brownian motion on the unit sphere in the vector space of all \(d\times d\) Hermitian matrices, and \((H_t=\int_0^t H_s^.ds)_{t\ge 0}\) the associated velocity spherical Brownian motion. The \(2d\)-dimensional processes \((L_t,L_t^. )_{t\ge0}\) of the the associated eigenvalues then are called kinetic Dyson Brownian motions. The author shows that these \(2d\)-dimensional processes are Markovian precisely for \(d=2\), and that \((L_t )_{t\ge0}\) tends to the usual Dyson Brownian motion when taking some canonical space-time-scalings and limit.

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Cites work

• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• Homogenisation for anisotropic kinetic random motions
• Hypocoercive estimates on foliations and velocity spherical Brownian motion
• J. J. Thomson
• Kinetic Brownian motion on Riemannian manifolds
• On the geometry of the set of symmetric matrices with repeated eigenvalues
• Projections of spherical Brownian motion
• Random perturbation to the geodesic equation
• Remarks on eigenvalues and eigenvectors of Hermitian matrices, Berry phase, adiabatic connections and quantum Hall effect

Cited in

(8)

• Non-isothermal inertial Brownian motion
• Spectral asymptotics for kinetic Brownian motion on surfaces of constant curvature
• Brownian motion far from equilibrium: a hypersonic approach
• Consecutive minors for Dyson's Brownian motions
• Brownian Motions of Ellipsoids
• Dyson processes associated with associative algebras: the Clifford case
• Motion by mean curvature and Dyson Brownian motion
• Complex Brownian motion representation of the Dyson model

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