Noncolliding brownian motions and Harish-Chandra formula

Makoto Katori, Hideki Tanemura

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

We consider a system of noncolliding Brownian motions introduced in our previous paper, in which the noncolliding condition is imposed in a �nite time interval (0, T]. This is a temporally inhomogeneous diffusion process whose transition probability density depends on a value of T, and in the limit T → ∞ it converges to a temporally homogeneous diffusion process called Dyson’s model of Brownian motions. It is known that the distribution of particle positions in Dyson’s model coincides with that of eigenvalues of a Hermitian matrix-valued process, whose entries are independent Brownian motions. In the present paper we construct such a Hermitian matrix-valued process, whose entries are sums of Brownian motions and Brownian bridges given independently of each other, that its eigenvalues are identically distributed with the particle positions of our temporally inhomogeneous system of noncolliding Brownian motions. As a corollary of this identification we derive the Harish-Chandra formula for an integral over the unitary group.

Original languageEnglish
Pages (from-to)112-121
Number of pages10
JournalElectronic Communications in Probability
Volume8
DOIs
Publication statusPublished - 2003 Jan 1
Externally publishedYes

Keywords

  • Dyson’s Brownian motion
  • Harish-Chandra formula
  • Imhof’s relation
  • Random matrices

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Noncolliding brownian motions and Harish-Chandra formula'. Together they form a unique fingerprint.

  • Cite this