Infinite random matrices and ergodic measures
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Abstract: We introduce and study a 2-parameter family of unitarily invariant probability measures on the space of infinite Hermitian matrices. We show that the decomposition of a measure from this family on ergodic components is described by a determinantal point process on the real line. The correlation kernel for this process is explicitly computed. At certain values of parameters the kernel turns into the well-known sine kernel which describes the local correlation in Circular and Gaussian Unitary Ensembles. Thus, the random point configuration of the sine process is interpreted as the random set of ``eigenvalues of infinite Hermitian matrices distributed according to the corresponding measure.
This paper is concerned with measures of infinite-dimensional unitary measures and associated spectral measures corresponding to the Dyson ensemble as the distribution of eigenvalues for finite-dimensional unitary matrices. The problem is transformed from unitary to Hermitian matrices by the Cayley transform. A 2-parameter family of measures is studied where the first parameter corresponds to the mean of the eigenvalues in the finite case, and one of the main theorems proves that the spectral measure is concentrated on the subset where the second parameter is zero. The other main theorem identifies the sine process, known to be a limit of the radial parts of the spectral measures in the finite-dimensional part, as the point process naturally obtained from a spectral measure in the infinite-dimensional case.
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