A diffusive matrix model for invariant -ensembles

DOI10.1214/EJP.V18-2073zbMATH Open1284.60015arXiv1206.1460OpenAlexW2137086163MaRDI QIDQ388940FDOQ388940

Authors: Romain Allez, Alice Guionnet 

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We define a new diffusive matrix model converging towards the $$-Dyson Brownian motion for all $$ that provides an explicit construction of $$-ensembles of random matrices that is invariant under the orthogonal/unitary group. We also describe the eigenvector dynamics of the limiting matrix process; we show that when $$ and that two eigenvalues collide, the eigenvectors of these two colliding eigenvalues fluctuate very fast and take the uniform measure on the orthocomplement of the eigenvectors of the remaining eigenvalues.

Full work available at URL: https://arxiv.org/abs/1206.1460

Recommendations

• Matrix models for beta ensembles
• Beta ensembles, stochastic Airy spectrum, and a diffusion
• On universality for orthogonal ensembles of random matrices
• Universality of random matrices and local relaxation flow
• Orthogonal and symplectic matrix models: universality and other properties

zbMATH Keywords

random matricesDyson Brownian motioninteracting particles systemstochastic calculus

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Interacting particle systems in time-dependent statistical mechanics (82C22)

Cited In (14)

• Products of beta matrices and sticky flows
• Continuum limits of random matrices and the Brownian carousel
• Motion by mean curvature and Dyson Brownian motion
• Eigenvector dynamics under free addition
• The classical β-ensembles with β proportional to 1/N: From loop equations to Dyson’s disordered chain
• Eigenvalue processes of symmetric tridiagonal matrix-valued processes associated with Gaussian beta ensemble
• Poisson statistics for matrix ensembles at large temperature
• The high temperature crossover for general 2D Coulomb gases
• Tracy-Widom at high temperature
• Random matrices in non-confining potentials
• Operator limit of the circular beta ensemble
• Functional central limit theorems for multivariate Bessel processes in the freezing regime
• The eigenvector moment flow and local quantum unique ergodicity
• Freezing limits for Calogero–Moser–Sutherland particle models

This page was built for publication: A diffusive matrix model for invariant \(\beta\)-ensembles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q388940)