Asymptotics of rectangular spherical integrals
The authors mainly study so-called Dyson Bessel processes on the Weyl chambers \(\{x\in\mathbb R^N: \> x_1\ge\ldots\ge x_N\ge0\}\) which are also known as multivariate Bessel processes associated with the root systems \(B_n\) where here one of the two parameters is restricted to the 3 cases which correspond to Wishart processes on the the cones of positive semidefinite hermitien \(n\times n\) matrices over \(\mathbb R, \mathbb C\), and the quaternions where these processes come from Brownian motions on the vector spaces of \(m\times n\) matrices. As a first result the authors show that the Dyson Bessel processes are related to Dyson Brownian motions (i.e., Bessel processes associated with the root systems \(A_{n-1}\)) via some Grisanov-type change of measure like in the classical one-dimensional case. Based on large deviation principles for Dyson Brownian motions in the paper, this then leads to corresponding principles for Dyson Bessel processes. These limit results are then used to derive asymptotic results for some rectangular spherical integrals where the shape parameter, i.e., the \(m\) above, as well as \(n\) tend to infinity in a coupled way, and where suitable conditions on the underlying empirical distributions of the associated singular values are assumed. These results improve earlier results in this direction.
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