On a distinguished family of random variables and Painlevé equations

DOI10.2140/PMP.2021.2.613MaRDI QIDQ2668205zbMATH OpenOpenAlexFDO

Authors Theodoros Assiotis, Benjamin Bedert, Mustafa Güneş, Arun Soor

Publication date 3 March 2022

Published in Probability and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.04760

zbMATH Keywords

characteristic polynomialsHardy's functionjoint momentsPainlevé equationsrandom unitary matrices

Mathematics Subject Classification ID

Relations with random matrices (11M50) Random matrices (algebraic aspects) (15B52) Painlevé-type functions (33E17) Random matrices (probabilistic aspects) (60B20)

Abstract: A family of random variables $mathbfX(s)$, depending on a real parameter $s>-frac12$, appears in the asymptotics of the joint moments of characteristic polynomials of random unitary matrices and their derivatives, in the ergodic decomposition of the Hua-Pickrell measures and conjecturally in the asymptotics of the joint moments of Hardy's function and its derivative. Our first main result establishes a connection between the characteristic function of $mathbfX(s)$ and the $sigma$-Painlev'e III' equation in the full range of parameter values $s>-frac12$. Our second main result gives the first explicit expression for the density and all the complex moments of the absolute value of $mathbfX(s)$ for integer values of $s$. Finally, we establish an analogous connection to another special case of the $sigma$-Painlev'e III' equation for the Laplace transform of the sum of the inverse points of the Bessel point process.

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Cited in

(12)

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• q-deformed Gaussian unitary ensemble: spectral moments and genus-type expansions
• Asymptotic analysis of a family of Painlevé functions with applications to CUE derivative moments

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