Janossy Densities for Unitary Ensembles at the Spectral Edge

DOI10.1093/IMRN/RNN037MaRDI QIDQ3515965zbMATH OpenOpenAlexFDO

Authors Brian Rider, X. Zhou

Publication date 30 July 2008

Published in IMRN. International Mathematics Research Notices (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.0921

zbMATH Keywords

Riemann-Hilbert problemunitary random matricesJanossy densities

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Riemann-Hilbert problems in context of PDEs (35Q15)

Abstract: For a broad class of unitary ensembles of random matrices we demonstrate the universal nature of the Janossy densities of eigenvalues near the spectral edge, providing a different formulation of the probability distributions of the limiting second, third, etc. largest eigenvalues of the ensembles in question. The approach is based on a representation of the Janossy densities in terms of a system of orthogonal polynomials, plus the steepest descent method of Deift and Zhou for the asymptotic analysis of the associated Riemann-Hilbert problem.

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Cited in

(7)

• Universal structure and universal equations (PDE) for unitary ensembles
• Janossy densities. II: Pfaffian ensembles
• Universality of the matrix Airy and Bessel functions at spectral edges of unitary ensembles
• Janossy densities of coupled random matrices
• Joint distribution of the first and second eigenvalues at the soft edge of unitary ensembles
• Near-extreme eigenvalues and the first gap of Hermitian random matrices
• Janossy densities. I: Determinantal ensembles

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