Matrix Dufresne Identity

Abstract

We prove a version of the classical Dufresne identity for matrix processes. In particular, we show that the inverse Wishart laws on the space of positive definite r x r matrices can be realized by the infinite time horizon integral of M_t times its transpose in which t -> M_t is a drifted Brownian motion on the general linear group. This solves a problem in the study of spiked random matrix ensembles which served as the original motivation for this result. Various known extensions of the Dufresne identity (and their applications) are also shown to have analogs in this setting. For example, we identify matrix valued diffusions built from M_t which generalize in a natural way the scalar processes figuring into the geometric Levy and Pitman theorems of Matsumoto and Yor.