Hydrodynamical spectral evolution for random matrices

DOI10.1088/1751-8113/49/8/085203zbMATH Open1344.15017arXiv1507.07274OpenAlexW3105545697MaRDI QIDQ2994577FDOQ2994577

Authors: Jacek Grela, Peter J. Forrester 

Publication date: 2 August 2016

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

Abstract: The eigenvalues of the matrix structure $X+X^{(0)}$, where $X$ is a random Gaussian Hermitian matrix and $X^{(0)}$ is non-random or random independent of $X$, are closely related to Dyson Brownian motion. Previous works have shown how an infinite hierarchy of equations satisfied by the dynamical correlations become triangular in the infinite density limit, and give rise to the complex Burgers equation for the Green's function of the corresponding one-point density function. We show how this and analogous partial differential equations, for chiral, circular and Jacobi versions of Dyson Brownian motion follow from a macroscopic hydrodynamical description involving the current density and continuity equation. The method of characteristics gives a systematic approach to solving the PDEs, and in the chiral case we show how this efficiently reclaims the characterisation of the global eigenvalue density for non-central Wishart matrices due to Dozier and Silverstein. Collective variables provide another approach to deriving the complex Burgers equation in the Gaussian case, and we show that this approach applies equally as well to chiral matrices. We relate both the Gaussian and chiral cases to the asymptotics of matrix integrals.

Full work available at URL: https://arxiv.org/abs/1507.07274

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zbMATH Keywords

random matrix theoryspectral densityBurgers equationeigenvalueDyson Brownian motionHarish-Chandra-Itzykson-Zuber integral

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65) KdV equations (Korteweg-de Vries equations) (35Q53)

Cited In (8)

• Three-parametric Marcenko-Pastur density
• Dip-ramp-plateau for Dyson Brownian motion from the identity on \(U(N)\)
• Perturbative construction of mean-field equations in extensive-rank matrix factorization and denoising
• Asymptotics of rectangular spherical integrals
• Hydrodynamic limit of multiple SLE
• Non-intersecting Brownian bridges in the flat-to-flat geometry
• Chiral random matrix model at finite chemical potential: characteristic determinant and edge universality
• Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases

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