Symmetry, Integrability and Geometry: Methods and Applications (SIGMA)

SIGMA 18 (2022), 049, 22 pages      arXiv:2106.00442      https://doi.org/10.3842/SIGMA.2022.049
Contribution to the Special Issue on Non-Commutative Algebra, Probability and Analysis in Action

Functional Equations Solving Initial-Value Problems of Complex Burgers-Type Equations for One-Dimensional Log-Gases

Taiki Endo a, Makoto Katori a and Noriyoshi Sakuma b
a) Department of Physics, Faculty of Science and Engineering, Chuo University, Kasuga, Bunkyo-ku, Tokyo 112-8551, Japan
b) Graduate School of Natural Sciences, Nagoya City University, Mizuho-ku, Nagoya, Aichi 467-8501, Japan

Received February 24, 2022, in final form June 23, 2022; Published online July 02, 2022

Abstract
We study the hydrodynamic limits of three kinds of one-dimensional stochastic log-gases known as Dyson's Brownian motion model, its chiral version, and the Bru-Wishart process studied in dynamical random matrix theory. We define the measure-valued processes so that their Cauchy transforms solve the complex Burgers-type equations. We show that applications of the method of characteristic curves to these partial differential equations provide the functional equations relating the Cauchy transforms of measures at an arbitrary time with those at the initial time. We transform the functional equations for the Cauchy transforms to those for the $R$-transforms and the $S$-transforms of the measures, which play central roles in free probability theory. The obtained functional equations for the $R$-transforms and the $S$-transforms are simpler than those for the Cauchy transforms and useful for explicit calculations including the computation of free cumulant sequences. Some of the results are argued using the notion of free convolutions.

Key words: stochastic log-gases; complex Burgers-type equations; functional equations; Cauchy transforms; $R$-transforms; $S$-transforms; free probability and free convolutions.

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