Matrix liberation process III: Unitary Brownian motion and martingale analysis

We investigate the rate functions that emerge in our previous works towards large deviation principle for the matrix liberation process driven by the unitary Brownian motion as well as the unitary Brownian motion itself. Our approach is grounded in the viewpoint of the martingale problem. Specifically, we formulate and solve a “free martingale problem” within this framework, which provides a new perspective on the underlying stochastic structure.