Conditional Haar measures on classical compact groups

Abstract

We give a probabilistic proof of the Weyl integration formula on U(n), the unitary group with dimension $n$. This relies on a suitable definition of Haar measures conditioned to the existence of a stable subspace with any given dimension $p$. The developed method leads to the following result: for this conditional measure, writing $Z_U^{(p)}$ for the first nonzero derivative of the characteristic polynomial at 1, \[\frac{Z_U^{(p)}}{p!}\stackrel{\mathrm{law}}{=}\prod_{\ell =1}^{n-p}(1-X_{\ell}),\] the $X_{\ell}$'s being explicit independent random variables. This implies a central limit theorem for $\log Z_U^{(p)}$ and asymptotics for the density of $Z_U^{(p)}$ near 0. Similar limit theorems are given for the orthogonal and symplectic groups, relying on results of Killip and Nenciu.