Fractional Brownian motion with Hurst index H = 0 and the Gaussian unitary ensemble

DOI10.1214/15-AOP1039zbMATH Open1393.60037arXiv1312.0212MaRDI QIDQ317494FDOQ317494

B. A. Khoruzhenko, N. J. Simm, Y. V. Fyodorov

Publication date: 30 September 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: The goal of this paper is to establish a relation between characteristic polynomials of $NimesN$ GUE random matrices $mathcalH$ as $Noinfty$, 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 $D_N(z)=-log|det(mathcalH-zI)|$ on mesoscopic scales as $Noinfty$. 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, $D_N(x)$ 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.

Full work available at URL: https://arxiv.org/abs/1312.0212

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zbMATH Keywords

random matrix theoryfractional Brownian motiongeneralized processeslogarithmically correlatedmesoscopic regime

Mathematics Subject Classification ID

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)

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Uses Software

• Digital Library of Mathematical Functions

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