Top eigenvalue of a random matrix: large deviations and third order phase transition
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Publication:3301722
Abstract: We study the fluctuations of the largest eigenvalue of random matrices in the limit of large . The main focus is on Gaussian -ensembles, including in particular the Gaussian orthogonal (), unitary () and symplectic () ensembles. The probability density function (PDF) of consists, for large , of a central part described by Tracy-Widom distributions flanked, on both sides, by two large deviations tails. While the central part characterizes the typical fluctuations of -- of order --, the large deviations tails are instead associated to extremely rare fluctuations -- of order . Here we review some recent developments in the theory of these extremely rare events using a Coulomb gas approach. We discuss in particular the third-order phase transition which separates the left tail from the right tail, a transition akin to the so-called Gross-Witten-Wadia phase transition found in 2-d lattice quantum chromodynamics. We also discuss the occurrence of similar third-order transitions in various physical problems, including non-intersecting Brownian motions, conductance fluctuations in mesoscopic physics and entanglement in a bipartite system.
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