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arXiv · 2004.13098

Asymptotic windings of the block determinants of a unitary Brownian motion and related diffusions

Fabrice Baudoin·Jing Wang
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Abstract

We study several matrix diffusion processes constructed from a unitary Brownian motion. In particular, we use the Stiefel fibration to lift the Brownian motion of the complex Grassmannian to the complex Stiefel manifold and deduce a skew-product decomposition of the Stiefel Brownian motion. As an application, we prove asymptotic laws for the determinants of the block entries of the unitary Brownian motion.

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BibTeXRIS

Fabrice Baudoin, Jing Wang. 2020-04-27. Asymptotic windings of the block determinants of a unitary Brownian motion and related diffusions. https://arxiv.org/abs/2004.13098

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