Diffusion method in random matrix theory

DOI10.1088/1751-8113/49/1/015201MaRDI QIDQ2994532zbMATH OpenOpenAlexFDO

Authors Jacek Grela

Publication date 2 August 2016

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.05927

zbMATH Keywords

characteristic polynomialsdiffusion equationrandom matrix theory

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20)

Abstract: We introduce a simple yet powerful calculational tool useful in calculating averages of ratios and products of characteristic polynomials. The method is based on Dyson Brownian motion and Grassmann integration formula for determinants. It is intended as an alternative to other RMT techniques applicable to general gaussian measures. Resulting formulas are exact for finite matrix size N and form integral representations convenient for large N asymptotics. Quantities obtained by the method can be interpreted as averages over matrix models with an external source. We provide several explicit and novel calculations showing a range of applications.

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Cited in

(14)

• The averaged characteristic polynomial for the Gaussian and chiral Gaussian ensembles with a source
• scientific article; zbMATH DE number 2185591 (Why is no real title available?)
• PDE Methods in Random Matrix Theory
• On characteristic polynomials for a generalized chiral random matrix ensemble with a source
• Diffusion in the space of complex Hermitian matrices -- microscopic properties of the averaged characteristic polynomial and the averaged inverse characteristic polynomial
• Duality in non-Hermitian random matrix theory
• Phase transition of eigenvalues in deformed Ginibre ensembles. I: GinUE
• Bulk universality for complex non-Hermitian matrices with independent and identically distributed entries
• Free energy expansions of a conditional GinUE and large deviations of the smallest eigenvalue of the LUE
• Bulk universality for deformed GinUEs
• Schur function expansion in non-Hermitian ensembles and averages of characteristic polynomials
• Dualities for characteristic polynomial averages of complex symmetric and self dual non-Hermitian random matrices
• Bulk universality for real matrices with independent and identically distributed entries
• Repeated erfc statistics for deformed GinUEs

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