Integrable structure of products of finite complex Ginibre random matrices

DOI10.1016/J.PHYSD.2018.07.009MaRDI QIDQ2000717zbMATH OpenOpenAlexFDO

Authors Vladimir V. Mangazeev, Peter J. Forrester

Publication date 28 June 2019

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.07536

zbMATH Keywords

determinantal point processintegrabilitycomplex Gaussian matricesrepresentation of the finite kernelsquared singular value

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (probabilistic aspects) (60B20)

Abstract: We consider the squared singular values of the product of $M$ standard complex Gaussian matrices. Since the squared singular values form a determinantal point process with a particular Meijer G-function kernel, the gap probabilities are given by a Fredholm determinant based on this kernel. It was shown by Strahov cite{St14} that a hard edge scaling limit of the gap probabilities is described by Hamiltonian differential equations which can be formulated as an isomonodromic deformation system similar to the theory of the Kyoto school. We generalize this result to the case of finite matrices by first finding a representation of the finite kernel in integrable form. As a result we obtain the Hamiltonian structure for a finite size matrices and formulate it in terms of a $(M+1)imes(M+1)$ matrix Schlesinger system. The case $M=1$ reproduces the Tracy and Widom theory which results in the Painlev'e V equation for the $(0,s)$ gap probability. Some integrals of motion for $M=2$ are identified, and a coupled system of differential equations in two unknowns is presented which uniquely determines the corresponding $(0,s)$ gap probability.

Recommendations

• Differential equations for singular values of products of Ginibre random matrices
• Singular Values of Products of Ginibre Random Matrices
• Singular values of products of random matrices and polynomial ensembles
• Gap probability for products of random matrices in the critical regime
• Singular values of products of Ginibre random matrices, multiple orthogonal polynomials and hard edge scaling limits

Cites work

• Application of the τ‐function theory of Painlevé equations to random matrices: P_V, P_III, the LUE, JUE, and CUE
• Bessel process, Schramm-Loewner evolution, and the Dyson model
• Biorthogonal ensembles
• Cauchy-Laguerre two-matrix model and the Meijer-\(G\) random point field
• DIFFERENTIAL EQUATIONS FOR QUANTUM CORRELATION FUNCTIONS
• Density matrix of an impenetrable Bose gas and the fifth Painlevé transcendent
• Differential equations for deformed Laguerre polynomials
• Differential equations for singular values of products of Ginibre random matrices
• Dropping the independence: singular values for products of two coupled random matrices
• Eigenvalue statistics for product complex Wishart matrices
• Fredholm determinants, differential equations and matrix models
• Hard edge limit of the product of two strongly coupled random matrices
• Large \(n\) limit of Gaussian random matrices with external source. III: Double scaling limit
• Level spacing distributions and the Bessel kernel
• Log-gases and random matrices.
• Matrix integrals, Toda symmetries, Virasoro constraints, and orthogonal polynomials
• Meijer G-Functions: A Gentle Introduction
• Muttalib-Borodin ensembles in random matrix theory -- realisations and correlation functions
• On Wright's generalized Bessel kernel
• On the numerical evaluation of Fredholm determinants
• PDEs for the Gaussian ensemble with external source and the Pearcey distribution
• Painlevé III and 2D polymers
• Painlevé V and the distribution function of a discontinuous linear statistic in the Laguerre unitary ensembles
• Products of Random Matrices
• Recent exact and asymptotic results for products of independent random matrices
• Relating the Bures measure to the Cauchy two-matrix model
• Singular Values of Products of Ginibre Random Matrices
• Singular value correlation functions for products of Wishart random matrices
• Singular value statistics of matrix products with truncated unitary matrices
• Singular values of products of Ginibre random matrices, multiple orthogonal polynomials and hard edge scaling limits
• The Pearcey process
• The eight-vertex model and Painlevé VI
• The gap probabilities of the tacnode, Pearcey and Airy point processes, their mutual relationship and evaluation
• The special functions and their approximations. Vol. I, II
• The spectrum edge of random matrix ensembles.
• Toward a classification of four-dimensional Painlevé-type equations

Cited in

(8)

• Deformed Ginibre ensembles and integrable systems
• Orthogonal and symplectic Harish-Chandra integrals and matrix product ensembles
• Schwinger–Dyson and loop equations for a product of square Ginibre random matrices
• Non-linear PDEs for gap probabilities in random matrices and KP theory
• Singular Values of Products of Ginibre Random Matrices
• Universal microscopic correlation functions for products of independent Ginibre matrices
• Gap probability for products of random matrices in the critical regime
• Differential equations for singular values of products of Ginibre random matrices

This page was built for publication: Integrable structure of products of finite complex Ginibre random matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000717)