β-Jacobi processes

DOI10.1515/APAM.2010.019MaRDI QIDQ4933461zbMATHOpenAlexFDO

Authors Nizar Demni

Publication date 13 October 2010

Published in Advances in Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.0324

zbMATH Keywords

hitting timemultivariate Jacobi polynomialsstrong uniqueness\(\beta\)-Jacobi processesprincipal Weyl alcoveroot system of type \(BC\)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: We define and study a multidimensional process that generalizes the eigenvalues of matrix Jacobi processes on the one hand and whose stationary distribution is given by the beta Jacobi ensemble on the other hand.

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Cites work

• scientific article; zbMATH DE number 2177280 (Why is no real title available?)
• Brownian motion in a Weyl chamber, non-colliding particles, and random matrices
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• Certain Hypergeometric Series Related to the Root System BC
• Diffusing particles with electrostatic repulsion
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• Non‐Colliding Brownian Motions on the Circle
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• The Heckman-Opdam Markov processes

Cited in

(20)

• The boundary of the orbital beta process
• Moments of the Hermitian matrix Jacobi process
• Dirichlet form analysis of the Jacobi process
• Interlacing adjacent levels of \(\beta\)-Jacobi corners processes
• The Hermitian Jacobi process: a simplified formula for the moments and application to optical fiber MIMO channels
• Limit theorems for Jacobi ensembles with large parameters
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• Universality classes for general random matrix flows
• Limit theorems for beta-Jacobi ensembles
• Some martingales associated with multivariate Jacobi processes and Aomoto's Selberg integral
• Relating moments of self-adjoint polynomials in two orthogonal projections
• Limit theorems and soft edge of freezing random matrix models via dual orthogonal polynomials
• Elementary symmetric polynomials and martingales for Heckman-Opdam processes
• On the differential equations of frozen Calogero-Moser-Sutherland particle models
• Beta Jacobi ensembles and associated Jacobi polynomials
• Jacobi radial stable processes
• Dip-ramp-plateau for Dyson Brownian motion from the identity on \(U(N)\)
• Intertwinings for general \(\beta\)-Laguerre and \(\beta\)-Jacobi processes
• Freezing limits for Calogero–Moser–Sutherland particle models
• Fluctuations of \(\beta\)-Jacobi product processes

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