From random matrices to stochastic operators
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Publication:2641372
Abstract: We propose that classical random matrix models are properly viewed as finite difference schemes for stochastic differential operators. Three particular stochastic operators commonly arise, each associated with a familiar class of local eigenvalue behavior. The stochastic Airy operator displays soft edge behavior, associated with the Airy kernel. The stochastic Bessel operator displays hard edge behavior, associated with the Bessel kernel. The article concludes with suggestions for a stochastic sine operator, which would display bulk behavior, associated with the sine kernel.
The authors introduce ideas allowing to interpret classical random matrix models as finite difference schemes for stochastic differential operators. In random matrix theory, three major types of large \(N\) eigenvalue behaviors are described by sine ensembles, Airy ensembles and Bessel ensembles. In this paper, three particular stochastic operators are studied, each associated with one of the above class of local eigenvalue behavior. The stochastic Airy operator displays soft edge behavior associated with the Airy kernel. The stochastic Bessel operator displays hard edge behavior, associated with the Bessel kernel. The article concludes with suggestion for a stochastic sine operator, which would display bulk behavior, associated with the sine kernel.
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