A diffusive matrix model for invariant -ensembles

DOI10.1214/EJP.V18-2073MaRDI QIDQ388940zbMATHOpenAlexFDO

Authors Romain Allez, Alice Guionnet

Publication date 17 January 2014

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

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

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)

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.

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Cited in

(14)

• Continuum limits of random matrices and the Brownian carousel
• Random matrices in non-confining potentials
• Operator limit of the circular beta ensemble
• Motion by mean curvature and Dyson Brownian motion
• Poisson statistics for matrix ensembles at large temperature
• Eigenvector dynamics under free addition
• Functional central limit theorems for multivariate Bessel processes in the freezing regime
• The high temperature crossover for general 2D Coulomb gases
• Products of beta matrices and sticky flows
• The eigenvector moment flow and local quantum unique ergodicity
• Tracy-Widom at high temperature
• Freezing limits for Calogero–Moser–Sutherland particle models
• 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

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