Interacting diffusions on positive definite matrices
This paper considers systems of Brownian particles in the space of positive definite matrices (non-commutative processes), which evolve independently apart from some simple interactions. Some examples are given which have an integrable structure and are related to \(K\)-Bessel functions of matrix argument and multivariate generalizations of these functions. The latter are eigenfunctions of a particular quantisation of the non-Abelian Toda lattice.
diffusion processes with one-sided interactions
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