Support of the Brown measure of a family of free multiplicative Brownian motions with non-negative initial condition

Abstract

We consider a family $b_{s,\tau}$ of free multiplicative Brownian motions labeled by a real variance parameter $s$ and a complex covariance parameter $\tau$. We then consider the element $xb_{s,\tau}$, where $x$ is non-negative and freely independent of $b_{s,\tau}$. Our goal is to identify the support of the Brown measure of $xb_{s,\tau}$. In the case $\tau =s$, we identify a region $\Sigma_s$ such that the Brown measure is vanishing outside of $\overline{\Sigma}_s$ except possibly at the origin. For general values of $\tau$, we construct a map $f_{s-\tau}$ and define $D_{s,\tau}$ as the complement of $f_{s-\tau}(\overline{\Sigma}_s^c)$. Then the Brown measure is zero outside $D_{s,\tau}$ except possibly at the origin. The proof of these results is based on a two-stage PDE analysis, using one PDE (following the work of Driver, Hall, and Kemp) for the case $\tau=s$ and a different PDE (following the work of Hall and Ho) to deform the $\tau=s$ case to general values of $\tau$.