Asymptotics for products of characteristic polynomials in classical -ensembles

DOI10.1007/S00365-013-9206-2zbMATH Open1311.15033arXiv1112.1119OpenAlexW3101755693MaRDI QIDQ485304FDOQ485304

Authors: Patrick Desrosiers, Dangzheng Liu 

Publication date: 9 January 2015

Published in: Constructive Approximation (Search for Journal in Brave)

Abstract: We study the local properties of eigenvalues for the Hermite (Gaussian), Laguerre (Chiral) and Jacobi $$-ensembles of $NimesN$ random matrices. More specifically, we calculate scaling limits of the expectation value of products of characteristic polynomials as $Noinfty$. In the bulk of the spectrum of each $$-ensemble, the same scaling limit is found to be $e^{p_1}{}_1{F}_1$ whose exact expansion in terms of Jack polynomials is well known. The scaling limit at the soft edge of the spectrum for the Hermite and Laguerre $$-ensembles is shown to be a multivariate Airy function, which is defined as a generalized Kontsevich integral. As corollaries, when $$ is even, scaling limits of the $k$-point correlation functions for the three ensembles are obtained. The asymptotics of the multivariate Airy function for large and small arguments is also given. All the asymptotic results rely on a generalization of Watson's lemma and the steepest descent method for integrals of Selberg type.

Full work available at URL: https://arxiv.org/abs/1112.1119

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zbMATH Keywords

eigenvaluerandom matricesJack polynomialssteepest descent method\(\beta\)-ensemblesmultivariate Airy fuinctionmultivariate Bessel functionmultivariate hypergeometric functions

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Symmetric functions and generalizations (05E05) Other hypergeometric functions and integrals in several variables (33C70)

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Cited In (17)

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• Recursion for the smallest eigenvalue density of \(\beta \)-Wishart-Laguerre ensemble
• Scaling limits of correlations of characteristic polynomials for the Gaussian \(\beta\)-ensemble with external source
• Universal objects of the infinite beta random matrix theory
• Characteristic polynomials of random truncations: Moments, duality and asymptotics
• Universality for multiplicative statistics of Hermitian random matrices and the integro-differential Painlevé II equation
• Hermite and Laguerre \(\beta\)-ensembles: asymptotic corrections to the eigenvalue density
• Phase transitions for products of characteristic polynomials under Dyson Brownian motion
• Universality of the matrix Airy and Bessel functions at spectral edges of unitary ensembles
• Strong approximation of Gaussian \(\beta\) ensemble characteristic polynomials: the hyperbolic regime
• Special function solutions of Painlevé equations: theory, asymptotics and applications
• Global and local scaling limits for the \(\beta=2\) Stieltjes-Wigert random matrix ensemble
• Optimal soft edge scaling variables for the Gaussian and Laguerre even \(\beta\) ensembles
• The densities and distributions of the largest eigenvalue and the trace of a beta-Wishart matrix
• Limits for circular Jacobi beta-ensembles
• Loop equation analysis of the circular \(\beta\) ensembles
• Eigenvalues of Hermite and Laguerre ensembles: large beta asymptotics

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