Linear differential equations for the resolvents of the classical matrix ensembles

DOI10.1142/S2010326322500034MaRDI QIDQ5019010zbMATH OpenOpenAlexFDO

Authors Anas A. Rahman, Peter J. Forrester

Publication date 27 December 2021

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

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

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)

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.

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Cited in

(18)

• Quantitative Tracy-Widom laws for the largest eigenvalue of generalized Wigner matrices
• On Resolvent Identities in Gaussian Ensembles at the Edge of the Spectrum
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• Spectral moments of the real Ginibre ensemble
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• Spectral moments of complex and symplectic non-Hermitian random matrices
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• The averaged characteristic polynomial for the Gaussian and chiral Gaussian ensembles with a source
• Moments of the Gaussian {\(\beta\)} ensembles and the large-\(N\) expansion of the densities
• On special solutions to the Ermakov-Painlevé XXV equation

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