PDEs satisfied by extreme eigenvalues distributions of GUE and LUE

DOI10.1142/S2010326311500031zbMATH Open1288.60003arXiv1102.0402OpenAlexW2962678341MaRDI QIDQ2893153FDOQ2893153

Authors: Estelle Basor, Yang Chen, Lun Zhang 

Publication date: 26 June 2012

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

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.

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

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zbMATH Keywords

ladder operators[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Painlev%EF%BF%BD%EF%BF%BD+equations&go=Go Painlev�� equations]orthogonal polynomialsHermitian random matricesextreme eigenvalues distributions

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)

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Cited In (21)

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

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