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

random matrix theoryrandom diffusioneigenvalue distributionsGaussian sample-covariance structureslimiting eigenvalues

Mathematics Subject Classification ID

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

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.

Recommendations

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Cited in

(28)

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

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