Recent exact and asymptotic results for products of independent random matrices

DOI10.5506/APHYSPOLB.46.1747zbMATH Open1371.60008arXiv1502.01667OpenAlexW1546545543MaRDI QIDQ5360108FDOQ5360108

Authors: J. R. Ipsen, Gernot Akemann 

Publication date: 27 September 2017

Published in: Acta Physica Polonica B (Search for Journal in Brave)

Abstract: In this review we summarise recent results for the complex eigenvalues and singular values of finite products of finite size random matrices, their correlation functions and asymptotic limits. The matrices in the product are taken from ensembles of independent real, complex, or quaternionic Ginibre matrices, or truncated unitary matrices. Additional mixing within one ensemble between matrices and their inverses is also covered. Exact determinantal and Pfaffian expressions are given in terms of the respective kernels of orthogonal polynomials or functions. Here we list all known cases and some straightforward generalisations. The asymptotic results for large matrix size include new microscopic universality classes at the origin and a generalisation of weak non-unitarity close to the unit circle. So far in all other parts of the spectrum the known standard universality classes have been identified. In the limit of infinite products the Lyapunov and stability exponents share the same normal distribution. To leading order they both follow a permanental point processes. Our focus is on presenting recent developments in this rapidly evolving area of research.

Full work available at URL: https://arxiv.org/abs/1502.01667

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Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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• Integrable structure of products of finite complex Ginibre random matrices
• Random matrix time series
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• Limiting Spectral Distributions of Sums of Products of Non-Hermitian Random Matrices
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• Random matrix products: universality and least singular values
• The multiplicative constant for the Meijer-\(G\) kernel determinant
• The local universality of Muttalib-Borodin ensembles when the parameter \(\theta\) is the reciprocal of an integer
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• Local laws for polynomials of Wigner matrices
• Spectral densities of singular values of products of Gaussian and truncated unitary random matrices
• How many eigenvalues of a product of truncated orthogonal matrices are real?
• On the number of real eigenvalues of a product of truncated orthogonal random matrices
• Hard edge limit of the product of two strongly coupled random matrices
• Cyclic Pólya ensembles on the unitary matrices and their spectral statistics
• The local universality of Muttalib-Borodin biorthogonal ensembles with parameter \(\theta = \frac{1}{2}\)
• Universality in several-matrix models via approximate transport maps
• Universality of the number variance in rotational invariant two-dimensional Coulomb gases
• Correlation kernels for sums and products of random matrices
• Dynamical correlation functions for products of random matrices
• Fluctuations of the product of random matrices and generalized Lyapunov exponent
• Kac-Rice fixed point analysis for single- and multi-layered complex systems
• May-Wigner transition in large random dynamical systems

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