Fractional Brownian motion with Hurst index H = 0 and the Gaussian unitary ensemble
From MaRDI portal
Publication:317494
random matrix theoryfractional Brownian motiongeneralized processeslogarithmically correlatedmesoscopic regime
Gaussian processes (60G15) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Prediction theory (aspects of stochastic processes) (60G25) Functional limit theorems; invariance principles (60F17)
Abstract: The goal of this paper is to establish a relation between characteristic polynomials of GUE random matrices as , and Gaussian processes with logarithmic correlations. We introduce a regularized version of fractional Brownian motion with zero Hurst index, which is a Gaussian process with stationary increments and logarithmic increment structure. Then we prove that this process appears as a limit of on mesoscopic scales as . By employing a Fourier integral representation, we use this to prove a continuous analogue of a result by Diaconis and Shahshahani [J. Appl. Probab. 31A (1994) 49-62]. On the macroscopic scale, gives rise to yet another type of Gaussian process with logarithmic correlations. We give an explicit construction of the latter in terms of a Chebyshev-Fourier random series.
Recommendations
- scientific article; zbMATH DE number 1779520
- Moments of the position of the maximum for GUE characteristic polynomials and for log-correlated Gaussian processes
- On the distribution of the maximum value of the characteristic polynomial of GUE random matrices
- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
- On the moments of characteristic polynomials
Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 3960673 (Why is no real title available?)
- scientific article; zbMATH DE number 1464566 (Why is no real title available?)
- scientific article; zbMATH DE number 2154234 (Why is no real title available?)
- scientific article; zbMATH DE number 2174437 (Why is no real title available?)
- scientific article; zbMATH DE number 1890852 (Why is no real title available?)
- scientific article; zbMATH DE number 3037624 (Why is no real title available?)
- A limit theorem for measurable random processes and its applications
- An introduction to random matrices
- Analyticity of the planar limit of a matrix model
- Asymptotic distribution of smoothed eigenvalue density. I. Gaussian random matrices
- Asymptotic distribution of smoothed eigenvalue density. II. Wigner random matrices
- Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
- Correlations of the characteristic polynomials in the Gaussian unitary ensemble or a singular Hankel determinant
- Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise
- Eigenvalue distribution of large random matrices
- Exact solution of the six-vertex model with domain wall boundary conditions. Disordered phase
- Fractional Brownian Motions, Fractional Noises and Applications
- Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential
- Freezing transitions and extreme values: random matrix theory, \(\zeta(\frac12 +\mathrm{i}t)\) and disordered landscapes
- Gaussian fluctuations of eigenvalues in the GUE
- Gaussian free fields for mathematicians
- Gaussian multiplicative chaos and applications: a review
- General \(\beta\)-Jacobi corners process and the Gaussian free field
- Lectures on random matrix models. The Riemann-Hilbert approach
- Log-infinitely divisible multifractal processes
- Long Range Dependence
- NIST handbook of mathematical functions
- On fluctuations of eigenvalues of random Hermitian matrices.
- On the Eigenvalues of Random Matrices
- On the characteristic polynomial of a random unitary matrix
- Orthogonal polynomials and random matrices: a Riemann-Hilbert approach.
- Random conformal weldings
- Random matrix theory and \(\zeta(1/2+it)\).
- Regularity conditions in the CLT for linear eigenvalue statistics of Wigner matrices
- Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
- The Altshuler-Shklovskii formulas for random band matrices. I: The unimodular case
- The Altshuler-Shklovskii formulas for random band matrices. II: The general case
- The Noise in the Circular Law and the Gaussian Free Field
- The Riemann--Hilbert approach to strong asymptotics for orthogonal polynomials on [-1,1]
- The central limit theorem for local linear statistics in classical compact groups and related combinatorial identities
- The isomonodromy approach to matrix models in 2D quantum gravity
- Universality for eigenvalue correlations at the origin of the spectrum
- Universality of mesoscopic fluctuations for orthogonal polynomial ensembles
Cited in
(40)- Gaussian multiplicative chaos for Gaussian orthogonal and symplectic ensembles
- Universality of mesoscopic fluctuations for orthogonal polynomial ensembles
- The Nevai condition and a local law of large numbers for orthogonal polynomial ensembles
- Rigidity and a mesoscopic central limit theorem for Dyson Brownian motion for general \(\beta\) and potentials
- Central limit theorems for the real eigenvalues of large Gaussian random matrices
- A theory of intermittency differentiation of 1D infinitely divisible multiplicative chaos measures
- Testing in high-dimensional spiked models
- On the moments of the moments of the characteristic polynomials of random unitary matrices
- Imaginary multiplicative chaos: moments, regularity and connections to the Ising model
- A characterisation of the Gaussian free field
- A CLT for the characteristic polynomial of random Jacobi matrices, and the G\(\beta\)E
- Limit theorems on the mesoscopic scale for the Anderson model
- Mesoscopic central limit theorem for general \(\beta\)-ensembles
- How much can the eigenvalues of a random Hermitian matrix fluctuate?
- Global fluctuations for 1D log-gas dynamics. Covariance kernel and support
- Mesoscopic fluctuations for unitary invariant ensembles
- Optimal stopping with signatures
- Random matrices with merging singularities and the Painlevé V equation
- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
- Secular coefficients and the holomorphic multiplicative chaos
- The multiplicative chaos of \(H=0\) fractional Brownian fields
- Local scaling limits of Lévy driven fractional random fields
- Moments of the position of the maximum for GUE characteristic polynomials and for log-correlated Gaussian processes
- Gaussian and non-Gaussian fluctuations for mesoscopic linear statistics in determinantal processes
- Comparing the stochastic nonlinear wave and heat equations: a case study
- An edge CLT for the log determinant of Wigner ensembles
- Extreme values of CUE characteristic polynomials: a numerical study
- A review of conjectured laws of total mass of Bacry-Muzy GMC measures on the interval and circle and their applications
- Multiplicative chaos and the characteristic polynomial of the CUE: The 𝐿¹-phase
- On Barnes beta distributions and applications to the maximum distribution of the 2D Gaussian free field
- From rough to multifractal volatility: the log S-fBm model
- The random normal matrix model: insertion of a point charge
- Maximum of the characteristic polynomial of random unitary matrices
- Random Hermitian matrices and Gaussian multiplicative chaos
- Subcritical multiplicative chaos for regularized counting statistics from random matrix theory
- Mod-Gaussian convergence for random determinants
- On fluctuations of global and mesoscopic linear statistics of generalized Wigner matrices
- On Cramér-von Mises statistic for the spectral distribution of random matrices
- Third-order phase transition: random matrices and screened Coulomb gas with hard walls
- On Mesoscopic Equilibrium for Linear Statistics in Dyson’s Brownian Motion
This page was built for publication: Fractional Brownian motion with Hurst index \({H = 0}\) and the Gaussian unitary ensemble
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q317494)
