A simple derivation of the Tracy-Widom distribution of the maximal eigenvalue of a Gaussian unitary random matrix

DOI10.1088/1742-5468/2011/04/P04001zbMATH Open1456.60025arXiv1102.0738MaRDI QIDQ3301240FDOQ3301240

Authors: Céline Nadal, Satya N. Majumdar 

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: In this paper, we first briefly review some recent results on the distribution of the maximal eigenvalue of a $(NimesN)$ random matrix drawn from Gaussian ensembles. Next we focus on the Gaussian Unitary Ensemble (GUE) and by suitably adapting a method of orthogonal polynomials developed by Gross and Matytsin in the context of Yang-Mills theory in two dimensions, we provide a rather simple derivation of the Tracy-Widom law for GUE. Our derivation is based on the elementary asymptotic scaling analysis of a pair of coupled nonlinear recursion relations. As an added bonus, this method also allows us to compute the precise subleading terms describing the right large deviation tail of the maximal eigenvalue distribution. In the Yang-Mills language, these subleading terms correspond to non-perturbative (in $1/N$ expansion) corrections to the two-dimensional partition function in the so called `weak' coupling regime.

Full work available at URL: https://arxiv.org/abs/1102.0738

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Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20)

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Cited In (24)

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• Near-extreme eigenvalues and the first gap of Hermitian random matrices
• Computing the Tracy-Widom distribution for arbitrary \(\beta>0\)
• Eigenvalue processes of symmetric tridiagonal matrix-valued processes associated with Gaussian beta ensemble
• Low-temperature entropy in JT gravity
• Universality of the third-order phase transition in the constrained Coulomb gas
• The wasteland of random supergravities
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