1. Some Martingales Associated With Multivariate Bessel Processes.
- Author
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Kornyik, M., Voit, M., and Woerner, J.
- Subjects
- *
MARTINGALES (Mathematics) , *SYMMETRIC functions , *LAGUERRE polynomials , *HERMITE polynomials , *POLYNOMIALS - Abstract
We study Bessel processes on Weyl chambers of types A and B on R N . Using elementary symmetric functions, we present several space-timeharmonic functions and thus martingales for these processes (X t) t ≥ 0 which are independent from one parameter of these processes. As a consequence, p t (y) : = E (∏ i = 1 N (y - X t i)) can be expressed via classical orthogonal polynomials. Such formulas on characteristic polynomials admit interpretations in random matrix theory where they are partially known by Diaconis, Forrester, and Gamburd. [ABSTRACT FROM AUTHOR]
- Published
- 2021
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