Top eigenvalue of a random matrix: large deviations and third order phase transition

DOI10.1088/1742-5468/2014/01/P01012zbMATH Open1456.82019arXiv1311.0580MaRDI QIDQ3301722FDOQ3301722

Authors: Satya N. Majumdar, Grégory Schehr 

Publication date: 11 August 2020

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

Abstract: We study the fluctuations of the largest eigenvalue $lambd{a}_{max}$ of $NimesN$ random matrices in the limit of large $N$. The main focus is on Gaussian $$-ensembles, including in particular the Gaussian orthogonal ($$), unitary ($$) and symplectic ($$) ensembles. The probability density function (PDF) of $lambd{a}_{max}$ consists, for large $N$, 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 $lambd{a}_{max}$ -- of order $calO(N^{-2/3})$ --, the large deviations tails are instead associated to extremely rare fluctuations -- of order $calO(1)$. 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.

Full work available at URL: https://arxiv.org/abs/1311.0580

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Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Classical equilibrium statistical mechanics (general) (82B05) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

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