Multiple orthogonal polynomials in random matrix theory
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multiple orthogonal polynomialsnon-intersecting Brownian motionrandom matrices with external sourceRiemann-Hilbert problemsteepest descent analysistwo matrix modelvector equilibrium problems
Random matrices (algebraic aspects) (15B52) Potentials and capacity, harmonic measure, extremal length and related notions in two dimensions (31A15) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Combinatorial probability (60C05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Abstract: Multiple orthogonal polynomials are a generalization of orthogonal polynomials in which the orthogonality is distributed among a number of orthogonality weights. They appear in random matrix theory in the form of special determinantal point processes that are called multiple orthogonal polynomial (MOP) ensembles. The correlation kernel in such an ensemble is expressed in terms of the solution of a Riemann-Hilbert problem, that is of size (r+1) x (r+1) in the case of r weights. A number of models give rise to a MOP ensemble, and we discuss recent results on models of non-intersecting Brownian motions, Hermitian random matrices with external source, and the two matrix model. A novel feature in the asymptotic analysis of the latter two models is a vector equilibrium problem for two or more measures, that describes the limiting mean eigenvalue density. The vector equilibrium problems involve both an external field and an upper constraint.
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