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Manon Defosseux

Publications and source records attributed to Manon Defosseux.

16 recordsLinked to original sources
arXiv2024

Matsumoto-Yor processes on Jordan algebras

The process $(\int_0^t e^{2b_s-b_t}\, ds\ ;\ t\ge 0)$, where $b$ is a real Brownian motion, is known as the geometric 2M-X Matsumoto--Yor process. Remarkably, it enjoys the Markov property. We provide a generalization of this process in the context of Jordan algebras, and we prove the Markov property for this generalization. Our Markov process occurs as a limit of discrete-time AX+B Markov chains on the cone of squares whose invariant probability measures classically yield a Dufresne-type identity for a perpetuity. In particular, the paper provides a generalization to any symmetric cone of the matrix--valued generalization of the Matsumoto--Yor process and Dufresne identity initially developed by Rider--Valk\'o.

math.PR↗
arXiv2021

Brownian sheet and time inversion -- From $G$-orbit to $L(G)$-orbit

We have proved in a previous paper that a space-time Brownian motion conditioned to remain in a Weyl chamber associated to an affine Kac-Moody Lie algebra is distributed as the radial part process of a Brownian sheet on the compact real form of the underlying finite dimensional Lie algebra, the radial part being defined considering the coadjoint action of a loop group on the dual of a centrally extended loop algebra. We present here a very brief proof of this result based on a time inversion argument and on elementary stochastic differential calculus.

math.PR↗
arXiv2021

Brownian paths in an alcove and the Littelmann path model

We present some results about connections between Littelmann paths and Brownian paths in the framework of affine Lie algebras. We expect that they will be the first steps on a way which could hopefully lead to a Pitman type theorem for a Brownian motion in an alcove associated to an affine Weyl group.

math.PR↗
arXiv2020

Pitman transforms and Brownian motion in the interval viewed as an affine alcove

Pitman's theorem states that if {Bt, t $\ge$ 0} is a one-dimensional Brownian motion, then {Bt -- 2 inf s$\le$t Bs, t $\ge$ 0} is a three dimensional Bessel process, i.e. a Brownian motion conditioned in Doob sense to remain forever positive. In this paper one gives a similar representation for the Brownian motion in an interval. Due to the double barrier, it is much more involved and only asymptotic. This uses the fact that the interval is an alcove of the Affine Lie algebra A 1 1 .

math.PR↗
arXiv2016

Affine Lie algebras and a conditioned space-time Brownian motion in an affine Weyl chamber

We construct a sequence of Markov processes on the set of dominant weights of an affine Lie algebra $\mathfrak{g}$ considering tensor product of irreducible highest weight modules of $\mathfrak{g}$ and specializations of the characters involving the Weyl vector $ρ$. We show that it converges towards a space-time Brownian motion with a drift, conditioned to remain in a Weyl chamber associated to the root system of $\mathfrak{g}$.

math.PR↗
arXiv2016

Kirillov-Frenkel character formula for Loop groups, radial part and Brownian sheet

We consider the coadjoint action of a Loop group of a compact group on the dual of the corresponding centrally extended Loop algebra and prove that a Brownian motion in a Cartan subalgebra conditioned to remain in an affine Weyl chamber - which can be seen as a space time conditioned Brownian motion - is distributed as the radial part process of a Brownian sheet on the underlying Lie algebra.

math.PR↗
arXiv2013

Fusion coefficients and random walks in alcoves

We point out a connection between fusion coefficients and random walks in a fixed level alcove associated to the root system of an affine Lie algebra and use this connection to solve completely the Dirichlet problem on such an alcove for a large class of simple random walks. We establish a correspondence between the hypergroup of conjugacy classes of a compact Lie group and the fusion hypergroup. We prove that a random walk in an alcove, obtained with the help of fusion coefficients, converges, after a proper normalization, towards the radial part of a Brownian motion on a compact Lie group.

math.PR↗
arXiv2012

An interacting particle model and a Pieri-type formula for the orthogonal group

We introduce a new interacting particles model with blocking and pushing interactions. Particles evolve on the positive line jumping on their own volition rightwards or leftwards according to geometric jumps with parameter q. We show that the model involves a Pieri-type formula for the orthogonal group. We prove that the two extreme cases - q=0 and q=1 - lead respectively to a random tiling model studied by Borodin and Kuan and to a random matrix model.

math.PR↗
arXiv2010

Quantum random walks and minors of Hermitian Brownian motion

Considering quantum random walks, we construct discrete-time approximations of the eigenvalues processes of minors of Hermitian Brownian motion. It has been recently proved by Adler, Nordenstam and van Moerbeke that the process of eigenvalues of two consecutive minors of an Hermitian Brownian motion is a Markov process, whereas if one considers more than two consecutive minors, the Markov property fails. We show that there are analog results in the noncommutative counterpart and establish the Markov property of eigenvalues of some particular submatrices of Hermitian Brownian motion.

math.PR↗
arXiv2009

Orbit measures, random matrix theory and interlaced determinantal processes

A connection between representation of compact groups and some invariant ensembles of Hermitian matrices is described. We focus on two types of invariant ensembles which extend the Gaussian and the Laguerre Unitary ensembles. We study them using projections and convolutions of invariant probability measures on adjoint orbits of a compact Lie group. These measures are described by semiclassical approximation involving tensor and restriction mulltiplicities. We show that a large class of them are determinantal.

math.PR↗
arXiv2008

Orbit measures and interlaced determinantal point processes

We study some random interlaced configurations considering the eigenvalues of the main minors of Hermitian random matrices of the classical complex Lie algebras. We claim that these random configurations are determinantal and give their correlation kernels.

math.PR↗