Integrable structure of products of finite complex Ginibre random matrices

DOI10.1016/J.PHYSD.2018.07.009zbMATH Open1415.60011arXiv1705.07536OpenAlexW2618806507MaRDI QIDQ2000717FDOQ2000717

Authors: Vladimir V. Mangazeev, Peter J. Forrester 

Publication date: 28 June 2019

Published in: Physica D (Search for Journal in Brave)

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.

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

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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)

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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

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