The largest eigenvalue of small rank perturbations of Hermitian random matrices (Q816987): Difference between revisions

The goal of the paper is to investigate how a small rank perturbation of a Hermitian random matrix can affect significatively the limiting properties of the spectrum, as the size of the matrix goes to infinity. In a dense paper full of results, the author continues the study of eigenvalue statistics for non homogeneous Wishart random matrices initiated by \textit{J. Baik, G. Ben Arous} and herself [Ann. Probab. 33, No. 5, 1643--1697 (2005; Zbl 1086.15022)], now considering Hermitian random matrices with independent Gaussian entries with various expectations. The author proves that the largest eigenvalue of such random matrices exhibits, in the large size limit, various limiting distributions depending on both the eigenvalues of the expectation matrix and its rank.