The Brown measure of a family of free multiplicative Brownian motions

DOI10.1007/S00440-022-01166-5zbMATH Open1527.46039arXiv2104.07859MaRDI QIDQ6158596FDOQ6158596

Brian C. Hall, Ching Wei Ho

Publication date: 20 June 2023

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We consider a family of free multiplicative Brownian motions $b_{s,au}$ parametrized by a real variance parameter $s$ and a complex covariance parameter $au.$ We compute the Brown measure $m{u}_{s,au}$ of $u{b}_{s,au},$ where $u$ is a unitary element freely independent of $b_{s,au}.$ We find that $m{u}_{s,au}$ has a simple structure, with a density in logarithmic coordinates that is constant in the $au$-direction. These results generalize those of Driver-Hall-Kemp and Ho-Zhong for the case $au=s.$ We also establish a remarkable "model deformation phenomenon," stating that all the Brown measures with $s$ fixed and $au$ varying are related by push-forward under a natural family of maps. Our proofs use a first-order nonlinear PDE of Hamilton-Jacobi type satisfied by the regularized log potential of the Brown measures. Although this approach is inspired by the PDE method introduced by Driver-Hall-Kemp, our methods are substantially different at both the technical and conceptual level.

Full work available at URL: https://arxiv.org/abs/2104.07859

zbMATH Keywords

Brown measurefree multiplicative Brownian motion

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Hamilton-Jacobi equations (35F21) Diffusion processes and stochastic analysis on manifolds (58J65) Free probability and free operator algebras (46L54)

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