Interacting diffusions on positive definite matrices
From MaRDI portal
Publication:2041651
DOI10.1007/s00440-021-01039-3zbMath1479.60169arXiv1910.03389OpenAlexW3138170511MaRDI QIDQ2041651
Publication date: 23 July 2021
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.03389
intertwining relationsdiffusion processes with one-sided interactionsnon-abelian Toda latticeWhittaker functions of matrix argument
Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Harmonic analysis on homogeneous spaces (43A85) Analysis on real and complex Lie groups (22E30)
Related Items (5)
Matrix Whittaker processes ⋮ Yang-Baxter maps and independence preserving property ⋮ On two-dimensional extensions of Bougerol's identity in law ⋮ On the singular values of complex matrix Brownian motion with a matrix drift ⋮ Laplacian and Brownian motion on positive definite matrices, revisited
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Determinantal structures in the O'Connell-Yor directed random polymer model
- Directed polymers and the quantum Toda lattice
- Geometric RSK and the Toda lattice
- Geometric RSK correspondence, Whittaker functions and symmetrized random polymers
- Bessel functions of matrix argument
- Littelmann paths and Brownian paths
- Martingale problems for conditional distributions of Markov processes
- Archimedean \(L\)-factors on \(\text{GL}(n)\times\text{GL}(n)\) and generalized Barnes integrals
- Non-intersecting Brownian bridges and the Laguerre orthogonal ensemble
- BKP hierarchy and Pfaffian point process
- Brownian analogues of Burke's theorem.
- Laplace approximation for Bessel functions of matrix argument
- Further exponential generalization of Pitman's \(2M-X\) theorem
- Paths in Weyl chambers and random matrices
- Exponential functionals of Brownian motion and class-one Whittaker functions
- Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions
- Congruence of Hermitian matrices by Hermitian matrices
- Tropical combinatorics and Whittaker functions
- Macdonald processes
- The integral of geometric Brownian motion
- Stochastic Bäcklund Transformations
- Matsumoto–Yor Process and Infinite Dimensional Hyperbolic Space
- Bounds for scaling exponents for a 1+1 dimensional directed polymer in a Brownian environment
- Equivalence of Stochastic Equations and Martingale Problems
- Whittaker functions and related stochastic processes
- KPZ Scaling Theory and the Semi-discrete Directed Polymer Model
- On a Gauss-Givental representation of quantum Toda chain wave function
- Algebraically independent generators of invariant differential operators on a symmetric cone.
- The nonabelian Toda lattice: Discrete analogue of the matrix Schrödinger spectral problem
- A version of Pitman's 2M — X theorem for geometric Brownian motions
- Brownian Motions of Ellipsoids
- Interlacing Diffusions
- Free Energy Fluctuations for Directed Polymers in Random Media in 1 + 1 Dimension
- On a Matrix Riccati Equation of Stochastic Control
- Matrix Dufresne Identities
- Markov functions
This page was built for publication: Interacting diffusions on positive definite matrices
