{"title":"On the singular values of complex matrix Brownian motion with a matrix drift","authors":"T. Assiotis","doi":"10.3150/22-bej1517","DOIUrl":null,"url":null,"abstract":"Let $Mat_{\\mathbb{C}}(K,N)$ be the space of $K\\times N$ complex matrices. Let $\\mathbf{B}_t$ be Brownian motion on $Mat_{\\mathbb{C}}(K,N)$ starting from the zero matrix and $\\mathbf{M}\\in Mat_{\\mathbb{C}}(K,N)$. We prove that, with $K\\ge N$, the $N$ eigenvalues of $\\left(\\mathbf{B}_t+t\\mathbf{M}\\right)^*\\left(\\mathbf{B}_t+t\\mathbf{M}\\right)$ form a Markov process with an explicit transition kernel. This generalizes a classical result of Rogers and Pitman for multidimensional Brownian motion with drift which corresponds to $N=1$. We then give two more descriptions for this Markov process. First, as independent squared Bessel diffusion processes in the wide sense, introduced by Watanabe and studied by Pitman and Yor, conditioned to never intersect. Second, as the distribution of the top row of interacting squared Bessel type diffusions in some interlacting array. The last two descriptions also extend to a general class of one-dimensional diffusions.","PeriodicalId":55387,"journal":{"name":"Bernoulli","volume":" ","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2021-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Bernoulli","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.3150/22-bej1517","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 1
Abstract
Let $Mat_{\mathbb{C}}(K,N)$ be the space of $K\times N$ complex matrices. Let $\mathbf{B}_t$ be Brownian motion on $Mat_{\mathbb{C}}(K,N)$ starting from the zero matrix and $\mathbf{M}\in Mat_{\mathbb{C}}(K,N)$. We prove that, with $K\ge N$, the $N$ eigenvalues of $\left(\mathbf{B}_t+t\mathbf{M}\right)^*\left(\mathbf{B}_t+t\mathbf{M}\right)$ form a Markov process with an explicit transition kernel. This generalizes a classical result of Rogers and Pitman for multidimensional Brownian motion with drift which corresponds to $N=1$. We then give two more descriptions for this Markov process. First, as independent squared Bessel diffusion processes in the wide sense, introduced by Watanabe and studied by Pitman and Yor, conditioned to never intersect. Second, as the distribution of the top row of interacting squared Bessel type diffusions in some interlacting array. The last two descriptions also extend to a general class of one-dimensional diffusions.
期刊介绍:
BERNOULLI is the journal of the Bernoulli Society for Mathematical Statistics and Probability, issued four times per year. The journal provides a comprehensive account of important developments in the fields of statistics and probability, offering an international forum for both theoretical and applied work.
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