CLT for spectra of submatrices of Wigner random matrices. II: Stochastic evolution

MaRDI QIDQ3194873zbMATH OpenFDO

Authors Alexei Borodin

Publication date 20 October 2015

Full work available at URL https://arxiv.org/abs/1011.3544

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Gaussian processes (60G15)

Abstract: We show that the global fluctuations of spectra of GOE and GUE matrices and their principal submatrices executing Dyson's Brownian motion are Gaussian in the limit of large matrix dimensions. For nested submatrices one obtains a limiting three-dimensional generalized Gaussian process; its restrictions to two-dimensional sections that are monotone in matrix sizes and time moments coincide with the two-dimensional Gaussian Free Field with zero boundary conditions. The proof is by moment convergence, and it extends to more general Wigner matrices and their stochastic evolution.

Recommendations

• CLT for spectra of submatrices of Wigner random matrices
• Gaussian fluctuations of eigenvalues in Wigner random matrices
• Three-dimensional Gaussian fluctuations of spectra of overlapping stochastic Wishart matrices
• A UNIVERSALITY RESULT FOR THE GLOBAL FLUCTUATIONS OF THE EIGENVECTORS OF WIGNER MATRICES
• Universality of Wigner Random Matrices

Cited in

(14)

• On global fluctuations for non-colliding processes
• Log-gases on quadratic lattices via discrete loop equations and q-boxed plane partitions
• The random transposition dynamics on random regular graphs and the Gaussian free field
• Lozenge tilings and the Gaussian free field on a cylinder
• CLT for linear spectral statistics of Hermitian Wigner matrices with general moment conditions
• CLT for spectra of submatrices of Wigner random matrices
• A limit theorem at the spectral edge for corners of time-dependent Wigner matrices
• General -Jacobi corners process and the Gaussian free field
• Three-dimensional Gaussian fluctuations of non-commutative random surfaces along time-like paths
• Cycles and eigenvalues of sequentially growing random regular graphs
• A UNIVERSALITY RESULT FOR THE GLOBAL FLUCTUATIONS OF THE EIGENVECTORS OF WIGNER MATRICES
• Gaussian fluctuations for products of random matrices
• Dynamical loop equation
• Multilevel Dyson Brownian motions via Jack polynomials

This page was built for publication: CLT for spectra of submatrices of Wigner random matrices. II: Stochastic evolution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3194873)