A matrix Bougerol identity and the Hua-Pickrell measures

DOI10.1214/18-ECP107zbMath1398.60010arXiv1707.09915OpenAlexW2962979214MaRDI QIDQ1748555

Theodoros Assiotis

Publication date: 11 May 2018

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.09915

zbMATH Keywords

stochastic processesrandom matricesintegrable probability

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Diffusion processes (60J60) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Related Items

Infinite 𝑝-adic random matrices and ergodic decomposition of 𝑝-adic Hua measures ⋮ On a distinguished family of random variables and Painlevé equations ⋮ Exact solution of interacting particle systems related to random matrices ⋮ On two-dimensional extensions of Bougerol's identity in law ⋮ On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable ⋮ Moments of generalized Cauchy random matrices and continuous-Hahn polynomials ⋮ Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential

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