Diffusion method in random matrix theory

DOI10.1088/1751-8113/49/1/015201zbMATH Open1345.60008arXiv1506.05927OpenAlexW648278347MaRDI QIDQ2994532FDOQ2994532

Authors: Jacek Grela 

Publication date: 2 August 2016

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: We introduce a simple yet powerful calculational tool useful in calculating averages of ratios and products of characteristic polynomials. The method is based on Dyson Brownian motion and Grassmann integration formula for determinants. It is intended as an alternative to other RMT techniques applicable to general gaussian measures. Resulting formulas are exact for finite matrix size N and form integral representations convenient for large N asymptotics. Quantities obtained by the method can be interpreted as averages over matrix models with an external source. We provide several explicit and novel calculations showing a range of applications.

Full work available at URL: https://arxiv.org/abs/1506.05927

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zbMATH Keywords

random matrix theorydiffusion equationcharacteristic polynomials

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20)

Cited In (6)

• Duality in non-Hermitian random matrix theory
• Title not available (Why is that?)
• PDE Methods in Random Matrix Theory
• On characteristic polynomials for a generalized chiral random matrix ensemble with a source
• Diffusion in the space of complex Hermitian matrices -- microscopic properties of the averaged characteristic polynomial and the averaged inverse characteristic polynomial
• The averaged characteristic polynomial for the Gaussian and chiral Gaussian ensembles with a source

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