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Dispersion and Limit Theorems for Random Walks Associated with Hypergeometric Functions of Type BC

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Abstract

The spherical functions of the non-compact Grassmann manifolds \(G_{p,q}({\mathbb {F}})=G/K\) over the (skew-)fields \({\mathbb {F}}={\mathbb {R}}, {\mathbb {C}}, {\mathbb {H}}\) with rank \(q\ge 1\) and dimension parameter \(p>q\) can be described as Heckman–Opdam hypergeometric functions of type BC, where the double coset space G /  / K is identified with the Weyl chamber \( C_q^B\subset {\mathbb {R}}^q\) of type B. The corresponding product formulas and Harish-Chandra integral representations were recently written down by M. Rösler and the author in an explicit way such that both formulas can be extended analytically to all real parameters \(p\in [2q-1,\infty [\), and that associated commutative convolution structures \(*_p\) on \(C_q^B\) exist. In this paper, we study the associated moment functions and the dispersion of probability measures on \(C_q^B\) with the aid of this generalized integral representation. This leads to strong laws of large numbers and central limit theorems for associated time-homogeneous random walks on \((C_q^B, *_p)\) where the moment functions and the dispersion appear in order to determine drift vectors and covariance matrices of these limit laws explicitly. For integers p, all results have interpretations for G-invariant random walks on the Grassmannians G / K. Besides the BC-cases, we also study the spaces \(GL(q,{\mathbb {F}})/U(q,{\mathbb {F}})\), which are related to Weyl chambers of type A, and for which corresponding results hold. For the rank-one-case \(q=1\), the results of this paper are well known in the context of Jacobi-type hypergroups on \([0,\infty [\).

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  1. Fakultät Mathematik, Technische Universität Dortmund, Vogelpothsweg 87, 44221, Dortmund, Germany

    Michael Voit

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  1. Michael Voit
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Voit, M. Dispersion and Limit Theorems for Random Walks Associated with Hypergeometric Functions of Type BC . J Theor Probab 30, 1130–1169 (2017). https://doi.org/10.1007/s10959-016-0669-5

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  • DOI: https://doi.org/10.1007/s10959-016-0669-5

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