Central limit theorems for the Brownian motion on large unitary groups

DOI10.24033/BSMF.2621zbMATH Open1242.60007arXiv0904.1681OpenAlexW2951736010MaRDI QIDQ2880705FDOQ2880705

Florent Benaych-Georges

Publication date: 14 April 2012

Published in: Bulletin de la Société Mathématique de France (Search for Journal in Brave)

Abstract: In this paper, we are concerned with the large N limit of linear combinations of the entries of a Brownian motion on the group of N by N unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one. Various scales of time and various initial distribution are concerned, giving rise to various limit processes, related to the geometric construction of the unitary Brownian motion. As an application, we propose a quite short proof of the asymptotic Gaussian feature of the linear combinations of the entries of Haar distributed random unitary matrices, a result already proved by Diaconis et al.

Full work available at URL: https://arxiv.org/abs/0904.1681

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zbMATH Keywords

central limit theoremBrownian motionrandom unitary matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Brownian motion (60J65) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

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Cited In (4)

• The Large-NLimits of Brownian Motions on 𝔾𝕃_N
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• Free energies and fluctuations for the unitary Brownian motion

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