Interacting diffusions on positive definite matrices
type: Item
instance of: scholarly article
title: Interacting diffusions on positive definite matrices
zbMATH Open document ID: 1479.60169
author: Neil O'Connell
publication date: 2021-07-23T00:00:00Z
full work available at URL: https://arxiv.org/abs/1910.03389
review text: 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.
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60K35
Mathematics Subject Classification ID: 22E30
Mathematics Subject Classification ID: 43A85
zbMATH DE Number: 7374510
zbMATH Keywords: Whittaker functions of matrix argument
zbMATH Keywords: diffusion processes with one-sided interactions
zbMATH Keywords: intertwining relations
zbMATH Keywords: non-abelian Toda lattice
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W3138170511
arXiv ID: 1910.03389
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DOI: 10.1007/S00440-021-01039-3
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article