The spectral edge of unitary Brownian motion (Q681517): Difference between revisions

This interesting paper is concerned with convergence of the standard Brownian motion on the unitary groups. Let for each fixed \(t\geq0\) \(U_t^N\) be a random unitary matrix, whose spectrum \(\mathrm{spec}(U_t^N)\) consists of \(N\) eigenvalues \(\lambda_1(U_t^N), \dots, \lambda_N(U_t^N)\). The first major result, cf. Theorem 1.1, concerns the empirical law of eigenvalues of the Brownian motion \(\{U_t^N\}_{t\geq0}\). Since the spectrum is contained in the circle, the authors characterize convergence in terms of the Hausdorff distance \(d_H\). Conditions are given under which \[ d_H\big(\mathrm{spec}(U_t^N),\mathrm{supp }\nu_t\big)\to0\quad\text{ a.s. as }N\to\infty, \] where \(\nu_t\) denotes the law of the free unitary Brownian motion. The second main result is an extension of this to any finite collection of times, cf Theorem 1.4. Several examples illustrate the theory.