Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems

Abstract

As an extension of the theory of Dyson’s Brownian motion models for the standard Gaussian random-matrix ensembles, we report a systematic study of Hermitian matrix-valued processes and their eigenvalue processes associated with the chiral and nonstandard random-matrix ensembles. In addition to the noncolliding Brownian motions, we introduce a one-parameter family of temporally homogeneous noncolliding systems of the Bessel processes and a two-parameter family of temporally inhomogeneous noncolliding systems of Yor’s generalized meanders and show that all of the ten classes of eigenvalue statistics in the Altland–Zirnbauer classification are realized as particle distributions in the special cases of these diffusion particle systems. As a corollary of each equivalence in distribution of a temporally inhomogeneous eigenvalue process and a noncolliding diffusion process, a stochastic-calculus proof of a version of the Harish–Chandra (Itzykson–Zuber) formula of integral over unitary group is established.