Linear differential equations for the resolvents of the classical matrix ensembles

DOI10.1142/S2010326322500034zbMATH Open1480.15043arXiv1908.04963OpenAlexW3103583818MaRDI QIDQ5019010FDOQ5019010

Authors: Anas A. Rahman, Peter J. Forrester 

Publication date: 27 December 2021

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Abstract: The spectral density for random matrix $$ ensembles can be written in terms of the average of the absolute value of the characteristic polynomial raised to the power of $$, which for even $$ is a polynomial of degree $$. In the cases of the classical Gaussian, Laguerre, and Jacobi weights, we show that this polynomial, and moreover the spectral density itself, can be characterised as the solution of a linear differential equation of degree $$. This equation, and its companion for the resolvent, are given explicitly for $$ and $4$ for all three classical cases, and also for $$ in the Gaussian case. Known dualities for the spectral moments relating $$ to $$ then imply corresponding differential equations in the case $$, and for the Gaussian ensemble, the case $$. We apply the differential equations to give a systematic derivation of recurrences satisfied by the spectral moments and by the coefficients of their $1/N$ expansions, along with first-order differential equations for the coefficients of the $1/N$ expansions of the corresponding resolvents. We also present the form of the differential equations when scaled at the hard or soft edges.

Full work available at URL: https://arxiv.org/abs/1908.04963

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zbMATH Keywords

resolventeigenvalue densitySelberg integralclassical ensembleshard and soft edge scalingmoment recurrences

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Qualitative investigation and simulation of ordinary differential equation models (34C60) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

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Cited In (13)

• Quantitative Tracy-Widom laws for the largest eigenvalue of generalized Wigner matrices
• On Resolvent Identities in Gaussian Ensembles at the Edge of the Spectrum
• Relations between moments for the Jacobi and Cauchy random matrix ensembles
• Spectral moments of the real Ginibre ensemble
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
• The classical β-ensembles with β proportional to 1/N: From loop equations to Dyson’s disordered chain
• Differential identities for the structure function of some random matrix ensembles
• Expanding the Fourier transform of the scaled circular Jacobi \(\beta\) ensemble density
• Harer-Zagier type recursion formula for the elliptic GinOE
• Moments of the ground state density for the d-dimensional Fermi gas in an harmonic trap
• Differential operators and spectral distributions of invariant ensembles from the classical orthogonal polynomials: the discrete case
• The averaged characteristic polynomial for the Gaussian and chiral Gaussian ensembles with a source
• On special solutions to the Ermakov-Painlevé XXV equation

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