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Title: The Brown measure of the free multiplicative Brownian motion
Abstract The free multiplicative Brownian motion$$b_{t}$$ b t is the large-Nlimit of the Brownian motion on$$\mathsf {GL}(N;\mathbb {C}),$$ GL ( N ; C ) , in the sense of$$*$$ -distributions. The natural candidate for the large-Nlimit of the empirical distribution of eigenvalues is thus the Brown measure of$$b_{t}$$ b t . In previous work, the second and third authors showed that this Brown measure is supported in the closure of a region$$\Sigma _{t}$$ Σ t that appeared in the work of Biane. In the present paper, we compute the Brown measure completely. It has a continuous density$$W_{t}$$ W t on$$\overline{\Sigma }_{t},$$ Σ ¯ t , which is strictly positive and real analytic on$$\Sigma _{t}$$ Σ t . This density has a simple form in polar coordinates:$$\begin{aligned} W_{t}(r,\theta )=\frac{1}{r^{2}}w_{t}(\theta ), \end{aligned}$$ W t ( r , θ ) = 1 r 2 w t ( θ ) , where$$w_{t}$$ w t is an analytic function determined by the geometry of the region$$\Sigma _{t}$$ Σ t . We show also that the spectral measure of free unitary Brownian motion$$u_{t}$$ u t is a “shadow” of the Brown measure of$$b_{t}$$ b t , precisely mirroring the relationship between the circular and semicircular laws. We develop several new methods, based on stochastic differential equations and PDE, to prove these results.  more » « less
Award ID(s):
2055340
PAR ID:
10372851
Author(s) / Creator(s):
; ;
Publisher / Repository:
Springer Science + Business Media
Date Published:
Journal Name:
Probability Theory and Related Fields
Volume:
184
Issue:
1-2
ISSN:
0178-8051
Page Range / eLocation ID:
p. 209-273
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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