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We compute the large size limit of the moment formula derived in \cite{DHS} for the Hermitian Jacobi process at fixed time. Our computations rely on the polynomial division algorithm which allows to obtain cancellations similar to those obtained in Lemma 3 in \cite{Bia}. In particular, we identify the terms contributing to the limit and show they satisfy a double recurrence relation. We also determine explicitly some of them and revisit a special case relying on Carlitz summation identity for terminating $1$-balanced ${}_4F_3$ functions taken at unity.

Random features have been introduced to scale up kernel methods via randomization techniques. In particular, random Fourier features and orthogonal random features were used to approximate the popular Gaussian kernel. Random Fourier features are built in this case using a random Gaussian matrix. In this work, we analyze the bias and the variance of the kernel approximation based on orthogonal random features which makes use of Haar orthogonal matrices. We provide explicit expressions for these quantities using normalized Bessel functions, showing that orthogonal random features does not approximate the Gaussian kernel but a Bessel kernel. We also derive sharp exponential bounds supporting the view that orthogonal random features are less dispersed than random Fourier features., Comment: Published in Transactions on Machine Learning Research (09/2024)

The monograph is devoted to the study of stochastic area functionals of Brownian motions and of the associated heat kernels on Lie groups and Riemannian manifolds. It is essentially self-contained and as such can serve as a textbook on the theory of Brownian motions and horizontal Brownian motions on manifolds. Emphasis is put on concrete examples which allows us to concretely illustrate the rich and deep interactions between stochastic calculus, Riemannian and sub-Riemannian geometry, the theory of complex and quaternionic symmetric spaces and random matrices., Comment: 320 pages. This survey. written as a textbook, puts in a broader perspective and unifies several works of the authors. It also contains some new and original results

Motivated by quantum information theory, we introduce a dynamical random state built out of the sum of $k \geq 2$ independent unitary Brownian motions. In the large size limit, its spectral distribution equals, up to a normalising factor, that of the free Jacobi process associated with a single self-adjoint projection with trace $1/k$. Using free stochastic calculus, we extend this equality to the radial part of the free average of $k$ free unitary Brownian motions and to the free Jacobi process associated with two self-adjoint projections with trace $1/k$, provided the initial distributions coincide. In the single projection case, we derive a binomial-type expansion of the moments of the free Jacobi process which extends to any $k \geq 3$ the one derived in \cite {DHH} in the special case $k=2$. Doing so give rise to a non normal (except for $k=2$) operator arising from the splitting of a self-adjoint projection into the convex sum of $k$ unitary operators. This binomial expansion is then used to derive a pde for the moment generating function of this non normal operator and for which we determine the corresponding characteristic curves., Comment: The characteristic curves are determined

Given two orthogonal projections $\{P,Q\}$ in a non commutative tracial probability space, we prove relations between the moments of $P+Q$, of $\sqrt{-1}(PQ-QP)$ and of $P+QPQ$ and those of the angle operator $PQP$. Our proofs are purely algebraic and enumerative and does not assume $P,Q$ satisfying Voiculescu's freeness property or being in general position. As far as the sum and the commutator are concerned, the obtained relations follow from binomial-type formulas satisfied by the orthogonal symmetries associated to $P$ and $Q$ together with the trace property. In this respect, they extend those corresponding to the cases where one of the two projections is rotated by a free Haar unitary operator or more generally by a free unitary Brownian motion. As to the operator $P+QPQ$, we derive autonomous recurrence relations for the coefficients (double sequence) of the expansion of its moments as linear combinations of those of $PQP$ and determine explicitly few of them. These relations are obtained after a careful analysis of the structure of words in the alphabet $\{P, QPQ\}$. We close the paper by exploring the connection of our previous results to the so-called Kato's dual pair. Doing so leads to new identities satisfied by their moments., Comment: The connection to Kato's dual pair is explored

We study the Brownian motion on the non-compact Grassmann manifold $\frac{\mathbf{U}(n-k,k)} {\mathbf{U}(n-k)\mathbf{U}(k)}$ and some of its functionals. The key point is to realize this Brownian motion as a matrix diffusion process, use matrix stochastic calculus and take advantage of the hyperbolic Stiefel fibration to study a functional that can be understood in that setting as a generalized stochastic area process. In particular, a connection to the generalized Maass Laplacian of the complex hyperbolic space is presented and applications to the study of Brownian windings in the Lie group $\mathbf{U}(n-k,k)$ are then given., Comment: Appendix B about computation of the Kahler form on the hyperbolic Grassmannian is added

We relate Gruet formula for the heat kernel on real hyperbolic spaces to the commonly used one derived from Millson induction. The bridge between both formulas is settled by Yor result on the joint distribution of a Brownian motion and of its exponential functional at fixed time. This result allows further to relate Gruet formula with real parameter to the heat kernel of the hyperbolic Jacobi operator and to derive a new integral representation for the heat kernel of the Maass Laplacian. When applied to harmonic AN groups, Yor result yields also new a integral representation of their corresponding heat kernels which does not distinguish the parity of the dimension of the center of the Lie group N., Comment: typos corrected

In this paper, we study the one-dimensional Hua-Pickrell diffusion. We start by revisiting the stationary case considered by E. Wong for which we supply omitted details and write down a unified expression of its semi-group density through the associated Legendre function in the cut. Next, we focus on the general (not necessarily stationary) case for which we prove an intertwining relation between Hua-Pickrell diffusions corresponding to different sets of parameters. Using Cauchy Beta integral on the one hand and Girsanov's Theorem on the other hand, we discuss the connection between the stationary and general cases. Afterwards, we prove our main result providing novel integral representations of the Hua-Pickrell semi-group density, answering a question raised by Alili, Matsumoto and Shiraishi (S\'eminaire de Probabilit\'es, 35, 2001). To this end, we appeal to the semi-group density of the Maass Laplacian and extend it to purely-imaginary values of the magnetic field. In the last section, we use the Karlin-McGregor formula to derive an expression of the semi-group density of the multi-dimensional Hua-Pickrell particle system introduced by T. Assiotis., Comment: 19 pages, the final expression of the semi-group density is obtained

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 the moment order, our moment formula may be written as a linear combination of balanced terminating ${}_4F_3$-series evaluated at unit argument., Comment: Accepted for publication in Funct. Anal. Appli

The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are substantial differences at the analytical side. In particular, the corresponding Hamiltonian system is completely solvable and the characteristic curve describing the support of the Brown measure has a non-constant (in time) argument. In the second part, we specialize our findings to the product of the free unitary Brownian motion by a free self-adjoint projection and obtain an explicit description of its support., Comment: Exposition improved, typos corrected

We define and study the 3-dimensional windings along Brownian paths in the quaternionic Euclidean, projective and hyperbolic spaces. In particular, the asymptotic laws of these windings are shown to be Gaussian for the flat and spherical geometries while the hyperbolic winding exhibits a different long time-behavior. The corresponding asymptotic law seems to be new and is related to the Cauchy relativistic distribution.

In this paper, we introduce and study a unitary matrix-valued process which is closely related to the Hermitian matrix-Jacobi process. It is precisely defined as the product of a deterministic self-adjoint symmetry and a randomly-rotated one by a unitary Brownian motion. Using stochastic calculus and the action of the symmetric group on tensor powers, we derive an autonomous ordinary differential equation for the moments of its fixed-time marginals. Next, we derive an expression of these moments which involves a unitary bridge between our unitary process and another independent unitary Brownian motion. This bridge motivates and allows to write a second direct proof of the obtained moment expression., Comment: A careless mistake in Theorem 1.1 is corrected

In the first part of this paper, we derive explicit expressions of the semi-group densities of generalized stochastic areas arising from the Anti-de Sitter and the Hopf fibrations. Motivated by the number-theoretical connection between the Heisenberg group and Dirichlet series, we express the Mellin transform of the generalized stochastic area corresponding to the one-dimensional Anti de Sitter fibration as a series of Riemann Zeta function evaluated at integers. In the second part of the paper, we focus on winding processes around the origin in the Poincar\'e disc and in the complex projective line. More pricesely, we derive the fixed-time marginal density of the former process while we give a ultraspherical series expansion of the characteristic function of the latter., Comment: the density of the winding process in the complex projective line is worked out

We study quaternionic stochastic areas processes associated with Brownian motions on the quaternionic rank-one symmetric spaces $\mathbb{H}H^n$ and $\mathbb{H}P^n$. The characteristic functions of fixed-time marginals of these processes are computed and allows for the explicit description of their corresponding large-time limits. We also obtain exact formulas for the semigroup densities of the stochastic area processes using a Doob transform in the former case and the semigroup density of the circular Jacobi process in the latter. For $\mathbb{H}H^n$, the geometry of the quaternionic anti-de Sitter fibration plays a central role , whereas for $\mathbb{H}P^n$, this role is played by the quaternionic Hopf fibration., Comment: V2: Theorem 4.8 is changed and typos have been corrected

In this paper, we derive the explicit expressions of two Markov semi-groups constructed by P. Biane in \cite{Bia1} from the restriction of a particular positive definite function on the complex unimodular group $Sl(2,\mathbb{C})$ to two commutative subalgebras of its universal $C^{\star}$-algebra. Our computations use Euclidean Fourier analysis together with the generating function of Laguerre polynomials with index $-1$, and yield absolutely-convergent double series representations of the semi-group densities. In the last part of the paper, we discuss the coincidence, noticed by Biane as well, occurring between the heat kernel on the Heisenberg group and the semi-group corresponding to the intersection of the principal and the complementary series. To this end, we appeal to the metaplectic representation $Mp(4,\mathbb{R})$ and to the Landau operator in the complex plane., Comment: The intertwining operator is derived in the case of principal series

We derive an integral representation for the subelliptic heat kernel of the complex anti-de Sitter fibration. Our proof is different from the one used in Jing Wang \cite{Wan} since it appeals to the commutativity of the D'Alembertian and of the Laplacian acting on the vertical variable rather than the analytic continuation of the heat semigroup of the real hyperbolic space. Our approach also sheds the light on the connection between the sub-Laplacian of the above fibration and the so-called generalized Maass Laplacian, and on the role played by the odd dimensional real hyperbolic space.

In this paper, we introduce a two-parameters determinantal point process in the Poincar\'e disc and compute the asymptotics of the variance of its number of particles inside a disc centered at the origin and of radius $r$ as $r$ tends to $1$. Our computations rely on simple geometrical arguments whose analogues in the Euclidean setting provide a shorter proof of Shirai's result for the Ginibre-type point process. In the special instance corresponding to the weighted Bergman kernel, we mimic the computations of Peres and Virag in order to describe the distribution of the number of particles inside the disc., Comment: 12 pages

In this paper, we establish an integral representation for the density of the reciprocal of the first hitting time of the boundary of even dihedral wedges by a radial Dunkl process having equal multiplicity values. Doing so provides another proof and extends to all even dihedral groups the main result proved in \cite{Demni1}. We also express the weighted Laplace transform of this density through the fourth Lauricella Lauricella function and establish a similar integral representation for odd dihedral wedges., Comment: Many typos and misprints are corrected and the exposition is improved. An additional result is also proved

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 functions with respect to a generalized Beta distribution. For special values of the parameters on which the matrix Jacobi process depends, the last integral reduces to the Cauchy determinant and we close the paper with the investigation of the asymptotic behavior of the resulting formula as the matrix size tends to infinity., Comment: To appear in J. Theo. Probab

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 L\"owner equation and as such, the general theory of L\"owner 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 spectrum of the unitary operator whose spectral dynamics are governed by the flow. Moreover, we use a previous result due to the first author in order to derive an explicit, yet complicated, expression of the moments of both the unitary and the free Jacobi processes. The paper is closed with some remarks on the boundary behavior of the flow's inverse., Comment: All comments are welcome

In this paper, we derive an integral representation for the density of the reciprocal of the first hitting time of the boundary of a wedge of angle $\pi/4$ by a radial Dunkl process with equal multiplicity values. Not only this representation readily yields the non negativity of the density, but also provides an analogue of Dufresne's result on the distribution of the first hitting time of zero by a Bessel process and a generalization of the Vakeroudis-Yor's identity satisfied by the first exit time from a wedge by a planar Brownian motion. We also use a result due to Spitzer on the angular part of the planar Brownian motion to prove a representation of the tail distribution of its first exit time from a dihedral wedge through the square wave function., Comment: Title is changed, many corrections, new results

This paper is devoted to the computations of some relevant quantities associated with the free unitary Brownian motion. Using the Lagrange inversion formula, we first derive an explicit expression for its alternating star cumulants of even lengths and relate them to those having odd lengths by means of a summation formula for the free cumulants with product as entries. Next, we use again this formula together with a generating series for Laguerre polynomials in order to compute the Taylor coefficients of the reciprocal of the $R$-transform of the free Jacobi process associated with a single projection of rank $1/2$ and those of the $S$-transform as well. This generating series lead also to the Taylor expansions of the Schur function of the spectral distribution of the free unitary Brownian motion and of its first iterate., Comment: last version: other typos are corrected

To each hyperbolic Landau level of the Poincar\'e disc is attached a generalized negative binomial distribution. In this paper, we compute the moment generating function of this distribution and supply its decomposition as a perturbation of the negative binomial distribution by a finitely-supported measure. Using the Mandel parameter, we also discuss the nonclassical nature of the associated coherent states. Next, we determine the L\'evy-Kintchine decomposition its characteristic function when the latter does not vanish and deduce that it is quasi-infinitely divisible except for the lowest hyperbolic Landau level corresponding to the negative binomial distribution. By considering the total variation of the obtained quasi-L\'evy measure, we introduce a new infinitely-divisible distribution for which we derive the characteristic function.

Multimode/multicore fibers are expected to provide an attractive solution to overcome the capacity limit of the current optical communication system. In the presence of high cross-talk between modes/cores, the squared singular values of the input/output transfer matrix follow the law of the Jacobi ensemble of random matrices. Assuming that the channel state information is only available at the receiver, we derive a new expression for the ergodic capacity of the MIMO Jacobi fading channel. This expression involves double integrals which can be evaluated easily and efficiently. Moreover, the method used in deriving this expression does not appeal to the classical one-point correlation function of the random matrix model. Using a limiting transition between Jacobi and Laguerre polynomials, we derive a similar formula for the ergodic capacity of the MIMO Rayleigh fading channel. Moreover, we derive a new exact closed form expressions for the achievable sum rate of MIMO Jacobi and Rayleigh fading channels employing linear minimum mean squared error (MMSE) receivers. The analytical results are compared to the results obtained by Monte Carlo simulations and the related results available in the literature, which shows perfect agreement., Comment: 10 pages, 6 Figures, Submitted to IEEE ACCESS

For two families of beta distributions, we show that the generalized Stieltjes transforms of their elements may be written as elementary functions (powers and fractions) of the Stieltjes transform of the Wigner distribution. In particular, we retrieve the examples given by the author in a previous paper and relating generalized Stieltjes transforms of special beta distributions to powers of (ordinary) Stieltjes ones. We also provide further examples of similar relations which are motivated by the representation theory of symmetric groups. Remarkably, the power of the Stieltjes transform of the symmetric Bernoulli distribution is a generalized Stietljes transform of a probability distribution if and only if the power is greater than one. As to the free Poisson distribution, it corresponds to the product of two independent Beta distributions in $[0,1]$ while another example of Beta distributions in $[-1,1]$ is found and is related with the Shrinkage process. We close the exposition by considering the generalized Stieltjes transform of a linear functional related with Humbert polynomials and generalizing the symmetric Beta distribution.

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 major step toward the analytic extension of the flow in the open unit disc., Comment: some misprints are corrected as well as the reasoning at the end of the paper

The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a L\'evy process drifting to $\infty$ and its inverse, the clock of the corresponding positive self-similar process. We describe here asymptotical properties of these clocks in large time, extending the results of Yor and Zani.

We study joint free cumulants of u_t and u_t^{*}, where u_t is a free unitary Brownian motion at time t. We determine explicitly some special families of such cumulants. On the other hand, for a general joint cumulant of u_t and u_t^{*}, we "calculate the derivative" for t going to infinity, when u_t approaches a Haar unitary. In connection to the latter calculation we put into evidence an "infinitesimal determining sequence" which naturally accompanies an arbitrary R-diagonal element in a tracial *-probability space., Comment: 35 pages. This version has added details in Sections 5 and 6

Let $(U_t)_{t \geq 0}$ be a Brownian motion valued in the complex projective space $\mathbb{C}P^{N-1}$. Using unitary spherical harmonics of homogeneous degree zero, we derive the densities of $|U_t^{1}|^2$ and of $(|U_t^{1}|^2, |U_t^2|^2)$, and express them through Jacobi polynomials in the simplices of $\mathbb{R}$ and $\mathbb{R}^2$ respectively. More generally, the distribution of $(|U_t^{1}|^2, \dots, |U_t^k|^2), 2 \leq k \leq N-1$ may be derived using the decomposition of the unitary spherical harmonics under the action of the unitary group $\mathcal{U}(N-k+1)$ yet computations become tedious. We also revisit the approach initiated in \cite{Nec-Pel} and based on a partial differential equation (hereafter pde) satisfied by the Laplace transform of the density. When $k=1$, we invert the Laplace transform and retrieve the expression derived using spherical harmonics. For general $1 \leq k \leq N-2$, the integrations by parts performed on the pde lead to a heat equation in the simplex of $\mathbb{R}^k$.

We show how the approach used in `N. Demni, T. Hmidi. Spectral Distribution of the Free unitary Brownian motion: another approach. Sem. Probab. XLIV. 2012. 191-206.' applies to describe the large-size limit of the marginal distribution of the Brownian motion on the complex linear group., Comment: The title is changed, the exposition is improved and one technical proof is shortened. All comments welcome

Given an orthogonal projection $P$ and a free unitary Brownian motion $Y = (Y_t)_{t \geq 0}$ in a $W^{\star}$-non commutative probability space such that $Y$ and $P$ are $\star$-free in Voiculescu's sense, the main result of this paper states that $P$ and $Y_tPY_t^{\star}$ are in general position at any time $t$. To this end, we study the dynamics of the unitary operator $SY_tSY_t^{\star}$ where $S = 2P-1$. More precisely, we derive a partial differential equation for the Herglotz transform of its spectral distribution, say $\mu_t$. Then, we provide a flow on the interval $[-1,1]$ in such a way that the Herglotz transform of $\mu_t$ composed with this flow is governed by both the Herglotz transforms of the initial ($t=0$) and the stationary ($t = \infty)$ distributions. This fact allows to compute the weight that $\mu_t$ assigns to $z=1$ leading to the main result. As a by-product, the weight that the spectral distribution of the free Jacobi process assigns to $x=1$ follows after a normalization. In the last part of the paper, we use combinatorics of non crossing partitions in order to analyze the term corresponding to the exponential decay $e^{-nt}$ in the expansion of the $n$-th moment of $SY_tSY_t^{\star}$., Comment: The letter `a' was used to denote two different objects: an operator and a real number. The operator is now denoted `S' referring to `symmetry'

We write, for geometric index values, a probabilistic proof of the product formula for spherical Bessel functions. Our proof has the merit to carry over without any further effort to Bessel-type hypergeometric functions of one matrix argument. Moreover, the representative probability distribution involved in the matrix setting is shown to be closely related to matrix-variate normal distributions and to the symmetrization of upper-left corners of Haar distributed orthogonal matrices. Once we did, we use the latter relation to perform a detailed analysis of this probability distribution. In case it is absolutely continuous with respect to Lebesgue measure on the space of real symmetric matrices, the product formula for Bessel-type hypergeometric functions of two matrix arguments is obtained from Weyl integration formula.

To a higher Landau Level corresponds a generalization of the Poisson distribution arising from generalized coherent states. In this paper, we write down the atomic decomposition of this probability measure and expressed its weights through 2F2 hypergeometric polynomials. Then, we prove that it is not infinitely divisible in opposite to the Poisson distribution corresponding to the lowest Landau level. We also derive the Levy-Kintchine representation of its characteristic function when the latter does not vanish and deduce that the representative measure is signed. By considering the total variation of the last measure, we obtain the characteristic function of a new infinitely divisible discrete probability distribution for which we compute also the weights., Comment: 10 pages

In the setting of finite reflection groups, we prove that the projection of a Brownian motion onto a closed Weyl chamber is another Brownian motion normally reflected on the walls of the chamber. Our proof is probabilistic and the decomposition we obtain may be seen as a multidimensional extension of Tanaka's formula for linear Brownian motion. The paper is closed with a description of the boundary process through the local times at zero of the distances from the initial process to the facets.

We supply two different descriptions of the pushing process driving the reflected Brownian motion in Weyl chambers, when the latter domains are simplexes. The first one shows that a simple root lies in one and only one orbit if and only if the pushing process in the direction of that simple root increases as the sum of all the Brownian local times in the directions of the orbit's positive elements. The last one shows that the pushing process may be written as the sum of an inward normal vector at the chamber's boundary and an inward normal vector at the origin, yielding a kind of a multivoque stochastic differential equation for the reflected process. We finally give a particles system interpretation of the reflected process and construct a multidimensional skew Brownian motion., Comment: submitted to Potential Analysis

We work out the expression of the generalized Bessel function of type B in the two-rank case. This is done using Dijskma and Koornwinder's product formula for Jacobi polynomials and the obtained expression is given by multiple integrals involving only a normalized modified Bessel function and two symmetric Beta distributions. We think of that expression as the major step toward the explicit expression of the Dunkl's intertwining V operator reflections-invariant functions. Finally, we give in the same setting an explicit formula for the action of V on a product of a power of the norm and a spherical harmonic. The obtained formula extends to all dihedral systems and it improves the one derived by Y.Xu., Comment: this paper is accepted for publication in Int. Trans. Spec. Funct

We express generalized Cauchy-Stieltjes transforms of some particular Beta distributions (of ultraspherical type generating functions for orthogonal polynomials) as a powered Cauchy-Stieltjes transform of some measure. For suitable values of the power parameter, the latter measure turns out to be a probability measure and its density is written down using Markov transforms. The discarded values give a negative answer to a deformed free probability unless a restriction on the power parameter is made. A particular symmetric distribution interpolating between Wigner and arcsine distributions is obtained. Its moments are expressed through a terminating hypergeometric series interpolating between Catalan and shifed Catalan numbers. for small values of the power parameter, the free cumulants are computed. Interesting opne problems related to a deformed representation theory of the infinite symmetric group and to a deformed Bozejko's convolution are discussed.

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., Comment: the paper is accepted for publication in APAM

We give shorter proofs of the following known results: the radial Dunkl process associated with a reduced system and a strictly positive multiplicity function is the unique strong solution for all times of a stochastic differential equation with a singular drift, the first hitting time of the Weyl chamber by a radial Dunkl process is finite almost surely for small values of the multiplicity function. Compared to the original proofs, ours give more information on the behavior of the process. More precisely, the first proof allows to give a positive answer to a conjecture announced by Gallardo and Yor for the finiteness of the total length of the jumps performed by the Dunkl process during a finite amount of time, while the second one shows that the process hits almost surely the wall corresponding to the simple root with a small multiplicity value. Further results on the jumps of the Dunkl process (communicated by D. L\'epingle) and and additional references are included., Comment: Further results on jumps and additional references are included. arXiv admin note: substantial text overlap with arXiv:0812.4315

We stduy radial Dunkl processes associated with dihedral systems: we derive the semi group, the generalized Bessel function, the Dunkl-Hermite polynomials. Then we give a skew product decomposition by means of independent Bessel processes and we compute the tail distribution of the first hitting time of the boundary of Weyl chamber., Comment: improvement of the skew product decomposition

We characterize, up to a conjecture, probability distributions of all order finite moments having ultraspherical type generating functions for orthogonal polynomials., Comment: Some proofs are shortened. There is an insight into the stated conjecture

We write down the generalized Bessel function associated with the root system of type $D$ by means of multivariate hypergeometric series. Our hint comes from the particular case of the Brownian motion in the Weyl chamber of type $D$., Comment: This is a contribution to the Special Issue on Dunkl Operators and Related Topics, published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA/

We provide two equivalent approaches for computing the tail distribution of the first hitting time of the boundary of the Weyl chamber by a radial Dunkl process. The first approach is based on a spectral problem with initial value. The second one expresses the tail distribution by means of the $W$-invariant Dunkl-Hermite polynomials. Illustrative examples are given by the irreducible root systems of types $A$, $B$, $D$. The paper ends with an interest in the case of Brownian motions for which our formulae take determinantal forms., Comment: This is a contribution to the Special Issue on Dunkl Operators and Related Topics, published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA/

We characterize by the use of free probability the family of measures for which the mulitiplicative renormalization method applies with $h(x) = (1-x)^_{-1}$. This provides a representation formula for their Voiculescu Transforms., Comment: accepted for publication in IDA-QP (Vol. 12, No. 1 March (2009)

We generalize a previous result concerning free martingale polynomials for the stationary free Jacobi process of parameters $\lambda \in ]0.1], \theta = 1/2$. Hopelessly, apart from the case $\lambda = 1$, 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., Comment: page number : 12

In this paper, we study complex Wishart processes or the so-called Laguerre processes $(X_t)_{t\geq0}$. We are interested in the behaviour of the eigenvalue process; we derive some useful stochastic differential equations and compute both the infinitesimal generator and the semi-group. We also give absolute-continuity relations between different indices. Finally, we compute the density function of the so-called generalized Hartman--Watson law as well as the law of $T_0:=\inf\{t,\det(X_t)=0\}$ when the size of the matrix is 2., Comment: Published at http://dx.doi.org/10.3150/07-BEJ6048 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

We begin with the study of some properties of the radial Dunkl process associated to a reduced root system $R$. It is shown that this diffusion is the unique strong solution for all $t \geq 0$ of a SDE with singular drift. Then, we study $T_0$, the first hitting time of the positive Weyl chamber : we prove, via stochastic calculus, a result already obtained by Chybiryakov on the finiteness of $T_0$. The second and new part deals with the law of $T_0$ for which we compute the tail distribution, as well as some insight via stochastic calculus on how root systems are connected with eigenvalues of standard matrix-valued processes. This gives rise to the so-called $\beta$-processes. The ultraspherical $\beta$-Jacobi case still involves a reduced root system while the general case is closely connected to a non reduced one. This process lives in a convex bounded domain known as principal Weyl alcove and the strong uniqueness result remains valid. The last part deals with the first hitting time of the alcove's boundary and the semi group density which enables us to answer some open questions., Comment: 33 pages

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.

In this paper, we study complex Wishart processes or the so-called Laguerre processes. We give some interest to the behaviour of the eigenvalues process, derive some useful SDE and compute both infinitesimal generator and semi-group. We also give absolute-continuity relations between different indices.Then, we compute the density function of the generalised Hartman-Watson law as well as the law of the first hitting time of 0 when the size m=2.

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., Comment: 23 pages