Interacting diffusions on positive definite matrices (Q2041651)
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scientific article
| Language | Label | Description | Also known as |
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| English | Interacting diffusions on positive definite matrices |
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Interacting diffusions on positive definite matrices (English)
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23 July 2021
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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.
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Whittaker functions of matrix argument
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diffusion processes with one-sided interactions
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intertwining relations
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non-abelian Toda lattice
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