Integral kernels on complex symmetric spaces and for the Dyson Brownian Motion

Complex Brownian motion representation of the Dyson model

Dyson’s Brownian motion model with the parameter β = 2, which we simply call the Dyson model in the present paper, is realized as an h-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial configuration with a finite number of particles, we define a set of entire functions and introduce a martingale for a system of independent complex Brownian motions (CBM...

On the Integral of Geometric Brownian Motion

Abstract. This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform ansatz of [Y] with complex analytic methods, which is the main methodological contribution of the paper. The one of our integrals has a similar structur...

Non{symmetric Jack Polynomials and Integral Kernels

We investigate some properties of non-symmetric Jack, Hermite and Laguerre polynomials which occur as the polynomial part of the eigenfunctions for certain Calogero-Sutherland models with exchange terms. For the non-symmetric Jack polynomials, the constant term normalization N is evaluated using recurrence relations, and N is related to the norm for the non-symmetric analogue of the power-sum i...

Quantum Separation of Variables and Multi-component Dyson Brownian Motion

A new type of Coulomb gas is defined, consisting of arbitrary numbers of point charges of two species executing Brownian motions under the influence of their mutual electrostatic repulsion. Being a generalization of a model of identical particles introduced by Dyson as a dynamical system describing non-equilibrium state of various random matrix ensembles, our system gives an exact mathematical ...

Wrapping Brownian motion and heat kernels on compact Lie groups