Diffusion at the random matrix hard edge

DOI10.1007/S00220-008-0712-1MaRDI QIDQ842487zbMATH OpenOpenAlexFDO

Authors Jose Ramirez, Brian Rider

Publication date 25 September 2009

Published in Communications in Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.2043

zbMATH Keywords

eigenvalue distributionsGaussian sample-covariance structureslimiting eigenvaluesrandom diffusionrandom matrix theory

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random linear operators (47B80) Random operators and equations (aspects of stochastic analysis) (60H25) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

Abstract: We show that the limiting minimal eigenvalue distributions for a natural generalization of Gaussian sample-covariance structures (the "beta ensembles") are described by the spectrum of a random diffusion generator. By a Riccati transformation, we obtain a second diffusion description of the limiting eigenvalues in terms of hitting laws. This picture pertains to the so-called hard edge of random matrix theory and sits in complement to the recent work of the authors and B. Virag on the general beta random matrix soft edge. In fact, the diffusion descriptions found on both sides are used here to prove there exists a transition between the soft and hard edge laws at all values of beta.

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Cited in

(31)

• Edge scaling of the \(\beta\)-Jacobi ensemble
• The random matrix hard edge: rare events and a transition
• Operator level hard-to-soft transition for -ensembles
• The hard-to-soft edge transition: exponential moments, central limit theorems and rigidity
• Solving equations with semimartingale noise
• Convergence and an explicit formula for the joint moments of the circular Jacobi \(\beta\)-ensemble characteristic polynomial
• Universality of the stochastic Bessel operator
• Localization of the continuous Anderson Hamiltonian in 1-d
• Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions
• The \(\mathrm{Sine}_{\beta}\) operator
• Inverting weak random operators
• Painlevé representation of Tracy-Widom_ distribution for =6
• Finite size corrections relating to distributions of the length of longest increasing subsequences
• Smallest eigenvalue distributions for two classes of {\(\beta\)}-Jacobi ensembles
• Hard edge for \(\beta\)-ensembles and Painlevé III
• Beta ensembles, stochastic Airy spectrum, and a diffusion
• Limit theorems for beta-Jacobi ensembles
• Asymptotics for products of characteristic polynomials in classical \(\beta\)-ensembles
• Operator level limit of the circular Jacobi \(\beta \)-ensemble
• Limits for circular Jacobi beta-ensembles
• The boundary of the orbital beta process
• Low-temperature random matrix theory at the soft edge
• Classical integrability for beta-ensembles and general Fokker-Planck equations
• Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential
• Bounded Bessel processes and Ferrari-Spohn diffusions
• Erratum to: Diffusion at the random matrix hard edge
• Spiking the random matrix hard edge
• On the hard edge limit of the zero temperature Laguerre -corners process
• The Tracy-Widom distribution at large Dyson index
• Solvable families of random block tridiagonal matrices
• Operator limit of the circular beta ensemble

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