Tracy-Widom at high temperature (Q478410)

The authors investigate the limiting marginal distributions of the bottom eigenvalues of the stochastic Airy operator when the temperature \(T\) tends to \(+\infty\). The stochastic Airy operator appears as the continuous scaling limit of \(\beta\)-ensembles (where \(\beta=1/T\)) at the edge of the spectrum. They prove that the Tracy-Widom \(\beta\) distribution converges weakly to the Gumbel distribution, when \(\beta\) goes to \(0\). The characterization of the marginal distributions of the low lying eigenvalues of the stochastic Airy operator is used in terms of the explosion times process of the associated Riccati diffusion. It is shown that the empirical measure of the explosion times converges weakly in the space of Radon measures to an inhomogeneous Poisson point process on \({\mathbb R}_+\) with explicit intensity. The marginal statistics of the minimal eigenvalues of \(\beta_N\)-ensembles in the double scaling limit \(\beta_N\to 0\), \(N\to +\infty\), are discussed.