Functional central limit theorems for multivariate Bessel processes in the freezing regime

DOI10.1080/07362994.2020.1786402MaRDI QIDQ4964413zbMATH OpenOpenAlexFDO

Authors Michael Voit, Jeannette Woerner

Publication date 2 March 2021

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.08390

zbMATH Keywords

Calogero-Moser-Sutherland modelsfunctional central limit theoremsinteracting particle systemsmultivariate Bessel processesrandom matrices

Mathematics Subject Classification ID

Hypergeometric functions associated with root systems (33C67) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Diffusion processes (60J60) Interacting particle systems in time-dependent statistical mechanics (82C22)

Abstract: Multivariate Bessel processes $(X_{t,k}{)}_{tge0}$ describe interacting particle systems of Calogero-Moser-Sutherland type and are related with $$-Hermite and $$-Laguerre ensembles. They depend on a root system and a multiplicity $k$ which corresponds to the parameter $$ in random matrix theory. In the recent years, several limit theorems were derived for $koinfty$ with fixed $t>0$ and fixed starting point. Only recently, Andraus and Voit used the stochastic differential equations of $(X_{t,k}{)}_{tge0}$ to derive limit theorems for $koinfty$ with starting points of the form $sqrtkcdotx$ with $x$ in the interior of the corresponding Weyl chambers. Here we provide associated functional central limit theorems which are locally uniform in $t$. The Gaussian limiting processes admit explicit representations in terms of matrix exponentials and the solutions of the associated deterministic dynamical systems.

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Cites work

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Cited in

(16)

• Central limit theorems for multivariate Bessel processes in the freezing regime
• Limit theorems for multivariate Bessel processes in the freezing regime
• Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions
• Freezing limits for beta-Cauchy ensembles
• The differential equations associated with Calogero-Moser-Sutherland particle models in the freezing regime
• Central limit theorems for multivariate Bessel processes in the freezing regime. II. The covariance matrices
• Strong solutions to a beta-Wishart particle system
• Limit theorems and soft edge of freezing random matrix models via dual orthogonal polynomials
• High-low temperature dualities for the classical \(\beta \)-ensembles
• Freezing limits for Calogero–Moser–Sutherland particle models
• Universal objects of the infinite beta random matrix theory
• On the differential equations of frozen Calogero-Moser-Sutherland particle models
• Repeated differentiation and free unitary Poisson process
• Lee-Yang zeroes of the Curie-Weiss ferromagnet, unitary Hermite polynomials, and the backward heat flow
• Rectangular matrix additions in low and high temperatures
• Limit theorems for Jacobi ensembles with large parameters

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