Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions

Abstract

We study Bessel and Dunkl processes (Xt,k)t≥0 on RN with possibly multivariate coupling constants k≥0. These processes describe interacting particle systems of Calogero–Moser–Sutherland type with N particles. For the root systems AN−1 and BN these Bessel processes are related with β-Hermite and β-Laguerre ensembles. Moreover, for the frozen case k=∞, these processes degenerate to deterministic or pure jump processes.We use the generators for Bessel and Dunkl processes of types A and B and derive analogues of Wigner’s semicircle and Marchenko–Pastur limit laws for N→∞ for the empirical distributions of the particles with arbitrary initial empirical distributions by using free convolutions. In particular, for Dunkl processes of type B new non-symmetric semicircle-type limit distributions on R appear. Our results imply that the form of the limiting measures is already completely determined by the frozen processes. Moreover, in the frozen cases, our approach leads to a new simple proof of the semicircle and Marchenko–Pastur limit laws for the empirical measures of the zeros of Hermite and Laguerre polynomials respectively.