On Mesoscopic Equilibrium for Linear Statistics in Dyson’s Brownian Motion

DOI10.1090/MEMO/1222zbMATH Open1435.60004arXiv1312.4295OpenAlexW2963161801WikidataQ129379442 ScholiaQ129379442MaRDI QIDQ4645889FDOQ4645889

Authors: Maurice Duits, Kurt Johansson 

Publication date: 11 January 2019

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Abstract: In this paper we study mesoscopic fluctuations for Dyson's Brownian motion with $$. Dyson showed that the Gaussian Unitary Ensemble (GUE) is the invariant measure for this stochastic evolution and conjectured that, when starting from a generic configuration of initial points, the time that is needed for the GUE statistics to become dominant depends on the scale we look at: The microscopic correlations arrive at the equilibrium regime sooner than the macrosopic correlations. In this paper we investigate the transition on the intermediate, i.e. mesoscopic, scales. The time scales that we consider are such that the system is already in microscopic equilibrium (sine-universality for the local correlations), but we have not yet reached equilibrium at the macrosopic scale. We describe the transition to equilibrium on all mesoscopic scales by means of Central Limit Theorems for linear statistics with sufficiently smooth test functions. We consider two situations: deterministic initial points and randomly chosen initial points. In the random situation, we obtain a transition from the classical Central Limit Theorem for independent random variables to the one for the GUE.

Full work available at URL: https://arxiv.org/abs/1312.4295

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zbMATH Keywords

linear statisticsrandom matricescentral limit theoremsDyson's Brownian motionmesoscopic scalePoisson initial conditions

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) (L^p)-limit theorems (60F25)

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Cited In (21)

• Mesoscopic linear statistics of Wigner matrices of mixed symmetry class
• Universality of mesoscopic fluctuations for orthogonal polynomial ensembles
• Dyson Brownian motion for general \(\beta\) and potential at the edge
• The Nevai condition and a local law of large numbers for orthogonal polynomial ensembles
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• Boundaries of sine kernel universality for Gaussian perturbations of Hermitian matrices
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