Hole probabilities and overcrowding estimates for products of complex Gaussian matrices

DOI10.1007/S10955-013-0750-8zbMATH Open1314.15026arXiv1211.1576OpenAlexW3104337300MaRDI QIDQ359579FDOQ359579

Authors: Eugene Strahov, Gernot Akemann 

Publication date: 12 August 2013

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We consider eigenvalues of a product of n non-Hermitian, independent random matrices. Each matrix in this product is of size N imes N with independent standard complex Gaussian variables. The eigenvalues of such a product form a determinantal point process on the complex plane (Akemann and Burda J. Phys A: Math. Theor. 45 (2012) 465201), which can be understood as a generalization of the finite Ginibre ensemble. As N ightarrowinfty, a generalized infinite Ginibre ensemble arises. We show that the set of absolute values of the points of this determinantal process has the same distribution as {R_1^{(n)},R_2^{(n)},...}, where R_k^{(n)} are independent, and (R_k^{(n)})^2 is distributed as the product of n independent Gamma variables Gamma(k,1). This enables us to find the asymptotics for the hole probabilities, i.e. for the probabilities of the events that there are no points of the process in a disc of radius r with its center at 0, as r ightarrowinfty. In addition, we solve the relevant overcrowding problem: we derive an asymptotic formula for the probability that there are more than m points of the process in a fixed disk of radius r with its center at 0, as m ightarrowinfty.

Full work available at URL: https://arxiv.org/abs/1211.1576

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zbMATH Keywords

determinantal processesgeneralized Ginibre ensembleshole probabilitiesnon-Hermitian random matrix theoryovercrowdingproducts of random matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)

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Cited In (21)

• The hole probability for Gaussian entire functions
• Point processes, hole events, and large deviations: random complex zeros and Coulomb gases
• The forbidden region for random zeros: Appearance of quadrature domains
• Singular values of products of Ginibre random matrices, multiple orthogonal polynomials and hard edge scaling limits
• Polynomial ensembles and Pólya frequency functions
• Dropping the independence: singular values for products of two coupled random matrices
• Permanental processes from products of complex and quaternionic induced Ginibre ensembles
• Order statistics of the moduli of the eigenvalues of product random matrices from polynomial ensembles
• Time-inhomogeneous random Markov chains
• Products of independent elliptic random matrices
• Gaussian fluctuations for linear eigenvalue statistics of products of independent iid random matrices
• Hole probabilities for \(\beta\)-ensembles and determinantal point processes in the complex plane
• Hole probabilities for finite and infinite Ginibre ensembles
• On the almost‐circular symplectic induced Ginibre ensemble
• A note on the limiting mean distribution of singular values for products of two Wishart random matrices
• Overcrowding and hole probabilities for random zeros on complex manifolds
• Outliers in the spectrum for products of independent random matrices
• Disk counting statistics near hard edges of random normal matrices: the multi-component regime
• Exponential moments for disk counting statistics at the hard edge of random normal matrices
• Universality of the number variance in rotational invariant two-dimensional Coulomb gases
• Large gap asymptotics on annuli in the random normal matrix model

Uses Software

• Digital Library of Mathematical Functions

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