PDEs satisfied by extreme eigenvalues distributions of GUE and LUE

DOI10.1142/S2010326311500031MaRDI QIDQ2893153zbMATH OpenOpenAlexFDO

Authors Estelle Basor, Yang Chen, Lun Zhang

Publication date 26 June 2012

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.0402

zbMATH Keywords

ladder operatorsorthogonal polynomialsHermitian random matricesextreme eigenvalues distributionsPainlevé equations

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Asymptotic distributions of eigenvalues in context of PDEs (35P20) Painlevé-type functions (33E17)

Abstract: In this paper we study, $extsfProb(n,a,b),$ the probability that all the eigenvalues of finite $n$ unitary ensembles lie in the interval $(a,b)$. This is identical to the probability that the largest eigenvalue is less than $b$ and the smallest eigenvalue is greater than $a$. It is shown that a quantity allied to $extsfProb(n,a,b)$, namely, ${\displaystyle }$ H_n(a,b):=left[frac{partial}{partial a}+frac{partial}{partial b} ight]ln extsf{Prob}(n,a,b),${\displaystyle }$ in the Gaussian Unitary Ensemble (GUE) and ${\displaystyle }$ H_n(a,b):=left[afrac{partial}{partial a}+bfrac{partial}{partial b} ight]ln extsf{Prob}(n,a,b),${\displaystyle }$ in the Laguerre Unitary Ensemble (LUE) satisfy certain nonlinear partial differential equations for fixed $n$, interpreting $H_n(a,b)$ as a function of $a$ and $b$. These partial differential equations maybe considered as two variable generalizations of a Painlev'{e} IV and a Painlev'{e} V system, respectively. As an application of our result, we give an analytic proof that the extreme eigenvalues of the GUE and the LUE, when suitably centered and scaled, are asymptotically independent.

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Cited in

(21)

• Perturbed Laguerre unitary ensembles, Hankel determinants, and information theory
• Painlevé III' and the Hankel determinant generated by a singularly perturbed Gaussian weight
• The Hankel determinant associated with a singularly perturbed Laguerre unitary ensemble
• On the ratio probability of the smallest eigenvalues in the Laguerre unitary ensemble
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• On a distinguished family of random variables and Painlevé equations
• Symmetrization process and truncated orthogonal polynomials
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• The largest eigenvalue distribution of the Laguerre unitary ensemble
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• PDEs for the Gaussian ensemble with external source and the Pearcey distribution
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• Painlevé V, Painlevé XXXIV and the degenerate Laguerre unitary ensemble
• Painlevé transcendents and the Hankel determinants generated by a discontinuous Gaussian weight
• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• Asymptotic gap probability distributions of the Gaussian unitary ensembles and Jacobi unitary ensembles
• Hankel determinants for a Gaussian weight with Fisher–Hartwig singularities and generalized Painlevé IV equation
• Universal structure and universal equations (PDE) for unitary ensembles
• Random matrix models, double-time Painlevé equations, and wireless relaying
• On the condition number of the critically-scaled Laguerre unitary ensemble

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