We derive an explicit formula for the Jacobi field that is acting in an extended Fock space and corresponds to an ($\R$-valued) Lévy process on a Riemannian manifold. The support of the measure of jumps in the Lévy--Khintchine representation for the Lévy process is supposed to have an infinite number of points. We characterize the gamma, Pascal, and Meixner processes as the only Lévy processes whose Jacobi field leaves the set of finite continuous elements of the extended Fock space invariant.
We review the recent results on the Jacobi field of a (real-valued) Lévy process defined on a Riemannian manifold. In the case where the Lévy process is neither Gaussian, nor Poisson, the corresponding Jacobi field acts in an extended Fock space. We also give a unitary equivalent representation of the Jacobi field in a usual Fock space. This representation is inspired by a result by Accardi, Franz, and Skeide (2002).
In [Yu.M. Berezansky, E. Lytvynov, D. A. Mierzejewski, Ukrainian Math. J. 55 (2003), 853--858 ], the Jacobi field of a Lévy process was derived. This field consists of commuting self-adjoint operators acting in an extended (interacting) Fock space. However, these operators have a quite complicated structure. In this note, using ideas from [L. Accardi. U. Franz, M. Skeide, Comm. Math. Phys. 228 (2002), 123--150] and [E. Lytvynov, Infin. Dimen. Anal. Quant. Prob. Rel. Top. 7 (2004), 619--629], we obtain a unitary equivalent representation of the Jacobi field of a Lévy process. In this representa…
In this paper, we derive a handable expression for the Jacobi process semi group which is given by a bilinear series involving Jacobi polynomials. Our attempt uses a subordination of the considered process by means of a suitable random change. Once we did, we will be able, in the ultraspheric case, to derive a LDP for a family of estimators based on a single trajectory of the process.
Let $X(t,ω),$ $t \in \textit{R}$ be a symmetric stable process with index $α\in (1,2]$ and $a_n$ be the Fourier-Jacobi coefficients of $f \in L^p,$ where $p \geq α.$ For $γ, δ> 0,$ $t \in [-1,1],$ define $A_n(ω)=\int_{-1}^1 P_n^{(γ,δ)}(t)ρ^{(γ,δ)}dX(t,ω)$ where $P_n^{(γ,δ)}(t)$ are orthogonal Jacobi polynomials. The $A_n(ω)$ exists in the sense of mean. In this paper, it is shown that the random Fourier-Jacobi series $\sum_{n=0}^\infty a_n A_n(ω)P_n^{(γ,δ)}(y)$ converges to the stochastic integral $\int_{-1}^1f(y,t)ρ^{(γ,δ)}dX(t,ω)$ in the sense of mean and the sum function is weakly continuou…
Using a matrix approach, we define the free Jacobi process as the limit of the complex Jacobi matrix process. The we derive a free SDE which is analogous to its classical counterpart. To proceed, we prove that fro suitable parameters the process remains injective if it is initially injective and then use the polar decomposition. In the stationnary case, this will be easily deduced from the explicit expression of the spectral measure. In the general setting we derive a recurrence formula for the moments. Moreover, a p. d. e. for the Cauchy transform of the law is given.
We define and study a multidimensional process that generalizes the eigenvalues of matrix Jacobi processes on the one hand and whose stationary distribution is given by the beta Jacobi ensemble on the other hand.
We generalize a previous result concerning free martingale polynomials for the stationary free Jacobi process of parameters $λ\in ]0.1], θ= 1/2$. Hopelessly, apart from the case $λ= 1$, the polynomials we derive are no longer orthogonal with respect to the spectral measure. As a matter of fact, we use the multiplicative renormalization to write down the corresponding orthogonality measure.
We review several applications of Berezansky's projection spectral theorem to Jacobi fields in a symmetric Fock space, which lead to Lévy white noise measures.
We study the Hamilton-Jacobi equation f - lambda Hf = h, where H f = e^{-f}Ae^f and where A is an operator that corresponds to a well-posed martingale problem. We identify an operator that gives viscosity solutions to the Hamilton-Jacobi equation, and which can therefore be interpreted as the resolvent of H. The operator is given in terms of optimization problem where the running cost is a path-space relative entropy. Finally, we use the resolvents to give a new proof of the abstract large deviation result of Feng and Kurtz.
We identify the representation of the square of white noise obtained by L. Accardi, U. Franz and M. Skeide in [Comm. Math. Phys. 228 (2002), 123--150] with the Jacobi field of a Lévy process of Meixner's type.
We establish uniqueness for a class of first-order Hamilton-Jacobi equations with Hamiltonians that arise from the large deviations of the empirical measure and empirical flux pair of weakly interacting Markov jump processes. As a corollary we obtain a large deviation principle for the trajectory of the empirical measure and empirical flux pair of such processes. As a second corollary we get same result in the setting where the jump-rates are time-periodic, with period-length that decreases to 0.
We construct and analyze the Jacobi process - in mathematical biology referred to as Wright-Fisher diffusion - using a Dirichlet form. The corresponding Dirichlet space takes the form of a Sobolev space with different weights for the function itself and its derivative. Depending on the parameters we characterize the boundary behavior of the functions in the Dirichlet space, show density results, derive Sobolev embeddings and verify functional inequalities of Hardy type. Since the generator is a hypergeometric differential operator, many of the proofs can be carried out by explicit calculations…
We study the scaling limit of the spectrum of the β-Jacobi ensemble at the soft-edge and hard-edge for general values of β. We show that the limiting point processes correspond respectively to the stochastic Airy and Bessel point processes introduced in Ramirez-Rider-Virag and Ramirez-Rider.
We study $β$-Jacobi diffusion processes on alcoves in $\mathbb R^N$, depending on 3 parameters. Using elementary symmetric functions, we present space-time-harmonic functions and martingales for these processes $(X_t)_{t\ge0}$ which are independent from one parameter. This leads to a formula for $\mathbb E(\prod_{i=1}^N (y-X_{t,i}))$ in terms of classical Jacobi polynomials. For $t\to\infty$ this yields a corresponding formula for Jacobi ensembles and thus Aomoto's Selberg integral.
We introduce a two parameter ($α, β>-1$) family of interacting particle systems with determinantal correlation kernels expressible in terms of Jacobi polynomials $\{ P^{(α, β)}_k \}_{k \geq 0}$. The family includes previously discovered Plancherel measures for the infinite-dimensional orthogonal and symplectic groups. The construction uses certain BC-type orthogonal polynomials which generalize the characters of these groups. The local asymptotics near the hard edge where one expects distinguishing behavior yields the multi-time $(α, β)$-dependent discrete Jacobi kernel and the multi-time $β$-…
We define Laguerre and Jacobi analogues of the Warren process. That is, we construct local dynamics on a triangular array of particles so that the projections to each level recover the Laguerre and Jacobi eigenvalue processes of König-O'Connell and Doumerc and the fixed time distributions recover the joint distribution of eigenvalues in multilevel Laguerre and Jacobi random matrix ensembles. Our techniques extend and generalize the framework of intertwining diffusions developed by Pal-Shkolnikov. One consequence is the construction of particle systems with local interactions whose fixed time d…
We study a family of quasi-birth-and-death (QBD) processes associated with the so-called first family of Jacobi-Koornwinder bivariate polynomials. These polynomials are orthogonal on a bounded region typically known as the swallow tail. We will explicitly compute the coefficients of the three-term recurrence relations generated by these QBD polynomials and study the conditions under we can produce families of discrete-time QBD processes. Finally, we show an urn model associated with one special case of these QBD processes.
We study the asymptotics of the global fluctuations for the difference between two adjacent levels in the $β$--Jacobi corners process (multilevel and general $β$ extension of the classical Jacobi ensemble of random matrices). The limit is identified with the derivative of the $2d$ Gaussian Free Field. Our main tools are integral forms for the (Macdonald-type) difference operators originating from the shuffle algebra.
We investigate the long time behavior of weakly dissipative semilinear Hamilton-Jacobi-Bellman (HJB) equations and the turnpike property for the corresponding stochastic control problems. To this aim, we develop a probabilistic approach based on a variant of coupling by reflection adapted to the study of controlled diffusion processes. We prove existence and uniqueness of solutions for the ergodic Hamilton-Jacobi-Bellman equation and different kind of quantitative exponential convergence results at the level of the value function, of the optimal controls and of the optimal processes. Moreover,…
We present a unified approach to a couple of central limit theorems for radial random walks on hyperbolic spaces and time-homogeneous Markov chains on the positive half line whose transition probabilities are defined in terms of the Jacobi convolutions. The proofs of all results are based on limit results for the associated Jacobi functions. In particular, we consider the cases where the first parameter (i.e., the dimension of the hyperbolic space) tends to infinity as well as the cases $ϕ_{iρ-λ}^{(α,β)}(t)$ for small $λ$, and $ϕ_{iρ-nλ}^{(α,β)}(t/n)$ for $n\to\infty$. The proofs of all these …
We prove pathwise large-deviation principles of switching Markov processes by exploiting the connection to associated Hamilton-Jacobi equations, following Jin Feng's and Thomas Kurtz's method. In the limit that we consider, we show how the large-deviation problem in path-space reduces to a spectral problem of finding principal eigenvalues. The large-deviation rate functions are given in action-integral form. As an application, we demonstrate how macroscopic transport properties of stochastic models of molecular motors can be deduced from an associated principal-eigenvalue problem. The precise …
The purpose of this paper is to study the existence and uniqueness of solutions to a system of Stochastic Differential Equations (SDEs). The coordinates are bounded by zero and one, and repulse each other according to a Coulombian like interaction force. We show the existence of strong and pathwise unique solutions to the system until the first multiple collision at zero or one, and give a sufficient condition on the parameters of the SDEs for this multiple collision not to occur in finite time.
We argue that Hamilton-Jacobi equations provide a convenient and intuitive approach for studying the large-scale behavior of mean-field disordered systems. This point of view is illustrated on the problem of inference of a rank-one matrix. We compute the large-scale limit of the free energy by showing that it satisfies an approximate Hamilton-Jacobi equation with asymptotically vanishing viscosity parameter and error term.
We pursue the study started in \cite{Dem-Hmi} of the dynamics of the spectral distribution of the free Jacobi process associated with one orthogonal projection. More precisely, we use Lagrange inversion formula in order to compute the Taylor coefficients of the local inverse around $z=0$ of the flow determined in \cite{Dem-Hmi}. When the rank of the projection equals $1/2$, the obtained sequence reduces to the moment sequence of the free unitary Brownian motion. For general ranks in $(0,1)$, we derive a contour integral representation for the first derivative of the Taylor series which is a ma…
We show that for $β\ge 1$ the semigroups of $β$-Laguerre and $β$-Jacobi processes of different dimensions are intertwined in analogy to a similar result for $β$-Dyson Brownian motion recently obtained by Ramanan and Shkolnikov. These intertwining relations generalize to arbitrary $β\ge 1$ the ones obtained for $β=2$ by the author, O'Connell and Warren between $h$-transformed Karlin-McGregor semigroups. Moreover they form the key step towards constructing a multilevel process in a Gelfand-Tsetlin pattern leaving certain Gibbs measures invariant. Finally as a by product we obtain a relation betw…
We study Markov chains formed by squared singular values of products of truncated orthogonal, unitary, symplectic matrices (corresponding to the Dyson index $β= 1,2,4$ respectively) where time corresponds to the number of terms in the product. More generally, we consider the $β$-Jacobi product process obtained by extrapolating to arbitrary $β> 0$. When the time scaling is preserved, we show that the global fluctuations are jointly Gaussian with explicit covariances. For time growing linearly with matrix size, we show convergence of moments after suitable rescaling. When $β= 2$, our results imp…
Using a change of basis in the algebra of symmetric functions, we compute the moments of the Hermitian Jacobi process. After a careful arrangement of the terms and the evaluation of the determinant of an `almost upper-triangular' matrix, we end up with a moment formula which is considerably simpler than the one derived in \cite{Del-Dem}. As an application, we propose the Hermitian Jacobi process as a dynamical model for optical fibers MIMO channels and compute its Shannon capacity for small enough power at the transmitter. Moreover, when the size of the Hermitian Jacobi process is larger than …
We prove that the two-dimensional Gaussian Free Field describes the asymptotics of global fluctuations of a multilevel extension of the general beta Jacobi random matrix ensembles. Our approach is based on the connection of the Jacobi ensembles to a degeneration of the Macdonald processes that parallels the degeneration of the Macdonald polynomials to to the Heckman-Opdam hypergeometric functions (of type A). We also discuss the beta goes to infinity limit.
In this paper, we compute the expectation of traces of powers of the hermitian matrix Jacobi process for a large enough but fixed size. To proceed, we first derive the semi-group density of its eigenvalues process as a bilinear series of symmetric Jacobi polynomials. Next, we use the expansion of power sums in the Schur polynomial basis and the integral Cauchy-Binet formula in order to determine the partitions having non zero contributions after integration. It turns out that these are hooks of bounded weight and the sought expectation results from the integral of a product of two Schur functi…
We prove the large deviation principle for the trajectory of a broad class of mean field interacting Markov jump processes via a general analytic approach based on viscosity solutions. Examples include generalized Ehrenfest models as well as Curie-Weiss spin flip dynamics with singular jump rates. The main step in the proof of the large deviation principle, which is of independent interest, is the proof of the comparison principle for an associated collection of Hamilton-Jacobi equations. Additionally, we show that the large deviation principle provides a general method to identify a Lyapunov …
We introduce a stochastic dynamics related to the measures that arise in harmonic analysis on the infinite-dimensional unitary group. Our dynamics is obtained as a limit of a sequence of natural Markov chains on Gelfand-Tsetlin graph. We compute finite-dimensional distributions of the limit Markov process, the generator and eigenfunctions of the semigroup related to this process. The limit process can be identified with Doob h-transform of a family of independent diffusions. Space-time correlation functions of the limit process have a determinantal form.
We investigate a simple velocity jump process in the regime of large deviation asymptotics. New velocities are taken randomly at a constant, large, rate from a Gaussian distribution with vanishing variance. The Kolmogorov forward equation associated with this process is the linear BGK kinetic transport equation. We derive a new type of Hamilton-Jacobi equation which is nonlocal with respect to the velocity variable. We introduce a suitable notion of viscosity solution, and we prove well-posedness in the viscosity sense. We also prove convergence of the logarithmic transformation towards this l…
We obtain a description for the spectral distribution of the free Jacobi process for any initial pair of projections. This result relies on a study of the unitary operator $RU_tSU_t^*$ where $R,S$ are two symmetries and $U_t$ a free unitary Brownian motion, freely independent from $\{R,S\}$. In particular, for non-null traces of $R$ and $S$, we prove that the spectral measure of $RU_tSU_t^*$ possesses two atoms at $\pm1$ and an $L^\infty$-density on the unit circle $\mathbb{T}$, for every $t>0$. Next, via a Szegő type transform of this law, we obtain a full description of the spectral distribu…
We consider the family of nearest neighbour interacting particle systems on $\mathbb{Z}$ allowing $0$, $1$ or $2$ particles at a site. We parametrize a wide subfamily of processes exhibiting product blocking measure and show how this family can be "stood up" in the sense of Balázs and Bowen (2018). By comparing measures we prove new three variable Jacobi style identities, related to counting certain generalised Frobenius partitions with a $2$-repetition condition. By specialising to specific processes we produce two variable identities that are shown to relate to Jacobi triple product and vari…
This paper is a companion to a series of papers devoted to the study of the spectral distribution of the free Jacobi process associated with a single projection. Actually, we notice that the flow solves a radial Löwner equation and as such, the general theory of Löwner equations implies that it is univalent in some connected region in the open unit disc. We also prove that its inverse defines the Aleksandrov-Clark measure at $z=1$ of some Herglotz function which is absolutely-continuous with an essentially bounded density. As a by-product, we deduce that $z=1$ belongs only to the discrete spec…
The partition function of the Chern-Simons theory on the three-sphere with the unitary group $U(N)$ provides a one-matrix model. The corresponding $N$-particle system can be mapped to the determinantal point process whose correlation kernel is expressed by using the Stieltjes-Wigert orthogonal polynomials. The matrix model and the point process are regarded as $q$-extensions of the random matrix model in the Gaussian unitary ensemble and its eigenvalue point process, respectively. We prove the convergence of the $N$-particle system to an infinite-dimensional determinantal point process in $N \…
