From Gumbel to Tracy-Widom

DOI10.1007/S00440-006-0012-7zbMATH Open1116.60020arXivmath/0510181OpenAlexW2004226321MaRDI QIDQ2369863FDOQ2369863

Authors: Kurt Johansson 

Publication date: 21 June 2007

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: The Tracy-Widom distribution that has been much studied in recent years can be thought of as an extreme value distribution. We discuss interpolation between the classical extreme value distribution $exp(-exp(-x))$, the Gumbel distribution and the Tracy-Widom distribution. There is a family of determinantal processes whose edge behaviour interpolates between a Poisson process with density $exp(-x)$ and the Airy kernel point process. This process can be obtained as a scaling limit of a grand canonical version of a random matrix model introduced by Moshe, Neuberger and Shapiro. We also consider the deformed GUE ensemble, $M=M_0+sqrt2SV$, with $M_0$ diagobal with independent elements and $V$ from GUE. Here we do not see a transition from Tracy-Widom to Gumbel, but rather a transition from Tracy-Widom to Gaussian.

Full work available at URL: https://arxiv.org/abs/math/0510181

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Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Random matrices (algebraic aspects) (15B52) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

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Cited In (60)

• Gumbel laws in the symmetric exclusion process
• Anisotropic local laws for random matrices
• Local elliptic law
• Stampedes I: fishnet OPE and octagon bootstrap with nonzero bridges
• Lower tail of the KPZ equation
• The periodic Schur process and free fermions at finite temperature
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• Airy kernel determinant solutions to the KdV equation and integro-differential Painlevé equations
• Tracy-Widom distribution, Airy\(_2\) process and its sample path properties
• Gaussian and non-Gaussian fluctuations for mesoscopic linear statistics in determinantal processes
• Periodic Airy process and equilibrium dynamics of edge fermions in a trap
• The spectral edge of some random band matrices
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• Jánossy Densities and Darboux Transformations for the Stark and Cylindrical KdV Equations
• Integrable equations associated with the finite‐temperature deformation of the discrete Bessel point process

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