Poisson brackets of orthogonal polynomials

For the standard symplectic forms on Jacobi and CMV matrices, we compute Poisson brackets of OPRL and OPUC, and relate these to other basic Poisson brackets and to Jacobians of basic changes of variable

The bi-Poisson process: a quadratic harness

This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and martingale polynomials. The construction uses a two-parameter extension of the Al-Salam--Chihara polynomials and a relation between these polynomials for different values of parameters.Comment: Published in at http://dx.doi.org/10.1214/009117907000000268 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

CMV matrices in random matrix theory and integrable systems: a survey

We present a survey of recent results concerning a remarkable class of unitary matrices, the CMV matrices. We are particularly interested in the role they play in the theory of random matrices and integrable systems. Throughout the paper we also emphasize the analogies and connections to Jacobi matrices.Comment: Based on a talk given at the Short Program on Random Matrices, Random Processes and Integrable Systems, CRM, Universite de Montreal, 200

Factorization of the current algebra and integrable top-like systems

A hierarchy of integrable hamiltonian nonlinear ODEs is associated with any decomposition of the Lie algebra of Laurent series with coefficients being elements of a semi-simple Lie algebra into a sum of the subalgebra consisting of the Taylor series and some complementary subalgebra. In the case of the Lie algebra $so(3)$ our scheme covers all classical integrable cases in the Kirchhoff problem of the motion of a rigid body in an ideal fluid. Moreover, the construction allows us to generate integrable deformations for known integrable models.Comment: 21 page

Chaotic expansion of powers and martingale representation

This paper extends a recent martingale representation result of [N-S] for a L´evy process to filtrations generated by a rather large class of semimartingales. As in [N-S], we assume the underlying processes have moments of all orders, but here we allow angle brackets to be stochastic. Following their approach, including a chaotic expansion, and incorporating an idea of strong orthogonalization from [D], we show that the stable subspace generated by Teugels martingales is dense in the space of square-integrable martingales, yielding the representation. While discontinuities are of primary interest here, the special case of a (possibly infinite-dimensional) Brownian filtration is an easy consequence

Integrability of Dirac reduced bi-Hamiltonian equations

First, we give a brief review of the theory of the Lenard-Magri scheme for a non-local bi-Poisson structure and of the theory of Dirac reduction. These theories are used in the remainder of the paper to prove integrability of three hierarchies of bi-Hamiltonian PDE's, obtained by Dirac reduction from some generalized Drinfeld-Sokolov hierarchies.Comment: 15 pages. Corrected some typos and added missing equations in Section 5 for g=sl_n, n>