Extremal singular values of random matrix products and Brownian motion on GL (N, C)

DOI10.1007/S00440-023-01217-5zbMATH Open1527.15040arXiv2201.11809MaRDI QIDQ6090871FDOQ6090871

Authors: Andrew Ahn 

Publication date: 20 November 2023

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We establish universality for the largest singular values of products of random matrices with right unitarily invariant distributions, in a regime where the number of matrix factors and size of the matrices tend to infinity simultaneously. The behavior of the largest log singular values coincides with the large N limit of Dyson Brownian motion with a characteristic drift vector consisting of equally spaced coordinates, which matches the large N limit of the largest log singular values of Brownian motion on GL(N, C). Our method utilizes the formalism of multivariate Bessel generating functions, also known as spherical transforms, to obtain and analyze combinatorial expressions for observables of these processes.

Full work available at URL: https://arxiv.org/abs/2201.11809

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zbMATH Keywords

Brownian motionuniversalityproducts of random matriceslargest singular values

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

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Cited In (3)

• Diffusion onGL(N,C)/U(N)and Eigenvalue Density forN→∞Limit
• The Large-NLimits of Brownian Motions on 𝔾𝕃_N
• On the singular values of complex matrix Brownian motion with a matrix drift

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