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

TL;DR

This paper investigates the hydrodynamic limits of one-dimensional stochastic log-gases, deriving functional equations for transforms of measures that facilitate explicit calculations in free probability theory.

Contribution

It introduces a method to transform complex Burgers-type equations into simpler functional equations for R- and S-transforms, aiding free probability computations.

Findings

Derived functional equations for R- and S-transforms of measures.

Simplified equations enable explicit free cumulant calculations.

Connected the equations to free convolutions in free probability.

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.