Large Deviations Asymptotics of Rectangular Spherical Integral
arXiv:2106.07146
Abstract
In this article we study the Dyson Bessel process, which describes the evolution of singular values of rectangular matrix Brownian motions, and prove a large deviation principle for its empirical particle density. We then use it to obtain the asymptotics of the so-called rectangular spherical integrals as go to infinity while converges.
Draft version, comments are welcome