Central Limit Theorems for the Brownian motion on large unitary groups - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2009

Central Limit Theorems for the Brownian motion on large unitary groups

Résumé

In this paper, we are concerned with the large N limit of linear combinations of the entries of a Brownian motion on the group of N by N unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one. Various scales of time and initial distribution are concerned, giving rise to various limit processes, related to the geometric construction of the unitary Brownian motion. As an application, we propose a quite short proof of the asymptotic Gaussian feature of the linear combinations of the entries of Haar distributed random unitary matrices, a result already proved by Diaconis et al.
Fichier principal
Vignette du fichier
TCL_unit_br_motion_fall_2010.pdf (237.14 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00374929 , version 1 (10-04-2009)
hal-00374929 , version 2 (04-05-2009)
hal-00374929 , version 3 (23-08-2010)
hal-00374929 , version 4 (21-06-2011)

Identifiants

Citer

Florent Benaych-Georges. Central Limit Theorems for the Brownian motion on large unitary groups. 2009. ⟨hal-00374929v3⟩
291 Consultations
499 Téléchargements

Altmetric

Partager

More