Fractional Brownian motion with Hurst index H = 0 and the Gaussian unitary ensemble
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Publication:317494
fractional Brownian motiongeneralized processeslogarithmically correlatedmesoscopic regimerandom matrix theory
Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Prediction theory (aspects of stochastic processes) (60G25)
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.
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