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Brownian motion and the classical groups

  • Jan 1, 2003
  • Anthony D'aristotile +2 more
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Abstract

Let Γ be chosen from the orthogonal group O n according to Haar measure, and let A be an n x n real matrix with non-random entries satisfying TrAA* = n.We show that TrAΓ converges in distribution to a standard normal random variable as n -> oo uniformly in A. This extends a theorem of E. Borel.The result is applied to show that if entries βi, ,βk n are selected from Γ where k n -• oo as n -• oo, then J T~ Ί2\ k =i^ A, 0 < ί < 1 converges to Brownian motion.Partial results in this direction are obtained for the unitary and symplectic groups.

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