Periodic Pitman Transforms and Jointly Invariant Measures

Abstract

We construct explicit jointly invariant measures for the periodic KPZ equation (and therefore also the stochastic Burgers’ and stochastic heat equations) for general slope parameters and prove their uniqueness via a one force–one solution principle. The measures are given by polymer-like transforms of independent Brownian bridges. We describe several properties and limits of these measures, including an extension to a continuous process in the slope parameter that we term the periodic KPZ horizon. As an application of our construction, we prove a Gaussian process limit theorem with an explicit covariance function for the long-time height function fluctuations of the periodic KPZ equation when started from varying slopes. In connection with this, we conjecture a formula for the fluctuations of cumulants of the endpoint distribution for the periodic continuum directed random polymer. To prove joint invariance, we address the analogous problem for a semi-discrete system of SDEs related to the periodic O’Connell–Yor polymer model and then perform a scaling limit of the model and jointly invariant measures. For the semi-discrete system, we demonstrate a bijection that maps our systems of SDEs to another system with product invariant measure. Inverting the map on this product measure yields our invariant measures. This map relates to a periodic version of the discrete geometric Pitman transform that we introduce and probe. As a by-product of this, we show that the jointly invariant measures for a periodic version of the inverse-gamma polymer are the same as those for the O’Connell–Yor polymer.