On the singular values of complex matrix Brownian motion with a matrix drift

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Abstract / Description of output

Let MatC(K,N) be the space of K×N complex matrices. Let Bt be Brownian motion on MatC(K,N) starting from the zero matrix and M∈MatC(K,N). We prove that, with K≥N, the N eigenvalues of (Bt+tM)∗(Bt+tM) 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.
Original languageEnglish
Number of pages44
JournalBernoulli - Journal of the Bernoulli Society (Bernoulli)
Publication statusAccepted/In press - 29 May 2022

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