Brownian motion on the complex general group and the non-compact Jacobi process

RESUMO

In this paper, we introduce and study a new matrix-valued process built out of truncations of the Brownian motion on complex positive definite matrices and of its inverse. In particular, we prove that its eigenvalue process is a non-compact Jacobi particle system on $(1,\infty)$. Surprisingly, the same particle system occurred in \cite{BDW} in relation with the Brownian motion on the non-compact complex Grassmann manifold. In this respect, we provide some evidence supporting this occurrence and based on the realization of the Grassmann manifold as a generalized Poincaré disc. We proceed further to the spectral study of the large size limit of our matrix model and prove results that parallel those obtained by the second author for the free Jacobi process.