Beta-gamma algebra identities and Lie-theoretic exponential functionals of Brownian motion

DOI10.1214/EJP.V20-3666MaRDI QIDQ894168zbMATH OpenWikidataFDO

Authors Reda Chhaibi

Publication date 27 November 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.7029

zbMATH Keywords

Brownian motiontotal positivityLie groupbraid relationsexponential functionalsbeta-gamma algebra identitiesKashiwara crystal basisLusztig's canonical basis

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Abstract: We explicitly compute the exit law of a certain hypoelliptic Brownian motion on a solvable Lie group. The underlying random variable can be seen as a multidimensional exponential functional of Brownian motion. As a consequence, we obtain hidden identities in law between gamma random variables as the probabilistic manifestation of braid relations. The classical beta-gamma algebra identity corresponds to the only braid move in a root system of type $A_2$. The other ones seem new. A key ingredient is a conditional representation theorem. It relates our hypoelliptic Brownian motion conditioned on exiting at a fixed point to a certain deterministic transform of Brownian motion. The identities in law between gamma variables tropicalize to identities between exponential random variables. These are continuous versions of identities between geometric random variables related to changes of parametrizations in Lusztig's canonical basis. Hence, we see that the exit law of our hypoelliptic Brownian motion is the geometric analogue of a simple natural measure on Lusztig's canonical basis.

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