Orthogonal and symplectic Harish-Chandra integrals and matrix product ensembles

DOI10.1142/S2010326319500151zbMATH Open1444.60012arXiv1711.10691OpenAlexW2963725005WikidataQ128783693 ScholiaQ128783693MaRDI QIDQ5108293FDOQ5108293

Authors: J. R. Ipsen, Dangzheng Liu, Lun Zhang, Peter J. Forrester 

Publication date: 30 April 2020

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

Abstract: In this paper, we highlight the role played by orthogonal and symplectic Harish-Chandra integrals in the study of real-valued matrix product ensembles. By making use of these integrals and the matrix-valued Fourier-Laplace transform, we find the explicit eigenvalue distributions for particular Hermitian anti-symmetric matrices and particular Hermitian anti-self dual matrices, involving both sums and products. As a consequence of these results, the eigenvalue probability density function of the random product structure $X_{M}cdots{X}_1(iA)X_1^{T}cdots{X}_M^T$, where each $X_i$ is a standard real Gaussian matrix, and $A$ is a real anti-symmetric matrix can be determined. For $M=1$ and $A$ the bidiagonal anti-symmetric matrix with 1's above the diagonal, this reclaims results of Defosseux. For general $M$, and this choice of $A$, or $A$ itself a standard Gaussian anti-symmetric matrix, the eigenvalue distribution is shown to coincide with that of the squared singular values for the product of certain complex Gaussian matrices first studied by Akemann et al. As a point of independent interest, we also include a self-contained diffusion equation derivation of the orthogonal and symplectic Harish-Chandra integrals.

Full work available at URL: https://arxiv.org/abs/1711.10691

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zbMATH Keywords

Harish-Chandra integralrandom product matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (16)

• The Harish-Chandra integral: an introduction with examples
• Multiplicative convolution of real asymmetric and real anti-symmetric matrices
• On orthogonal and symplectic matrix ensembles
• Matrix product ensembles of Hermite type and the hyperbolic Harish-Chandra-Itzykson-Zuber integral
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