Gap probability for products of random matrices in the critical regime

DOI10.1016/J.JAT.2021.105687MaRDI QIDQ2071759zbMATH OpenOpenAlexFDO

Authors Sergey Berezin, Eugene Strahov

Publication date 31 January 2022

Published in Journal of Approximation Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.06169

zbMATH Keywords

determinantal point processesgap probabilitiesproducts of random matricesRiemann-Hilbert problemssingular value statistics

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: The singular values of a product of $M$ independent Ginibre matrices of size $NimesN$ form a determinantal point process. Near the soft edge, as both $M$ and $N$ go to infinity in such a way that $M/Noalpha$, $alpha>0$, a scaling limit emerges. We consider a gap probability for the corresponding limiting determinantal process, namely, the probability that there are no particles in the interval $(a,+infty)$. We derive a Tracy-Widom-like formula in terms of the unique solution of a certain matrix Riemann-Hilbert problem of size $2imes2$. The right-tail asymptotics for this solution is obtained by the Deift-Zhou non-linear steepest descent analysis.

Recommendations

• Integrable structure of products of finite complex Ginibre random matrices
• Differential equations for singular values of products of Ginibre random matrices
• Singular Values of Products of Ginibre Random Matrices
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• Singular values for products of complex Ginibre matrices with a source: hard edge limit and phase transition

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Cited in

(6)

• Integrable structure of products of finite complex Ginibre random matrices
• Differential equations for singular values of products of Ginibre random matrices
• Various equations for gap probabilities of coupled Gaussian matrices
• Hole probabilities and overcrowding estimates for products of complex Gaussian matrices
• Gap probabilities for edge intervals in finite Gaussian and Jacobi unitary matrix ensembles
• Local limits in \(p\)-adic random matrix theory

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