Rank-One HCIZ Integrals and Multiplicative Convolutions

We study how spectral averaging interacts with the logarithm in large-dimensional rank-one Harish-Chandra–Itzykson–Zuber (HCIZ) integrals. For independent bi-unitarily invariant matrices $A,B$ with uniformly bounded deterministic singular values and weakly convergent empirical spectral measures of their Gram matrices, the integral for $(BA{)}^{\ast }(BA)\otimes {\mathbf{1}}_N$ has two limiting descriptions at speed $N^2$ for small real parameters: averaging its logarithm gives free multiplicative convolution, whereas taking the logarithm after averaging gives classical multiplicative convolution. We also prove an exact finite-dimensional equality between this annealed integral and the one for $(A^{\ast }A)\otimes (B^{\ast }B)$. For every fixed number of factors $k\ge 3$, we construct counterexamples showing that the analogous equality can fail even asymptotically. For tensor products with any fixed number $k$ of factors, global Haar vectors at speed $N^k$ and product-state vectors at speed $N$ yield classical and free multiplicative convolution, respectively, for small real parameters under the corresponding hypotheses. We also derive the known multiplicativity of the $S$-transform.