Three-dimensional Gaussian fluctuations of spectra of overlapping stochastic Wishart matrices

DOI10.1142/S2010326322500484MaRDI QIDQ6163575zbMATH OpenWikidataFDO

Authors Jeffrey Kuan, Zhengye Zhou

Publication date 26 June 2023

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

Full work available at URL https://arxiv.org/abs/2112.13728

zbMATH Keywords

Gaussian free fieldintegrabilityWishart matrices

Mathematics Subject Classification ID

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

Abstract: In arXiv:1410.7268v3, the authors consider eigenvalues of overlapping Wishart matrices and prove that its fluctuations asymptotically convergence to the Gaussian free field. In this brief note, their result is extended to show that when the matrix entries undergo stochastic evolution, the fluctuations asymptotically converge to a three-dimensional Gaussian field, which has an explicit contour integral formula. This is analogous to the result of arXiv:1011.3544 for stochastic Wigner matrices.

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Cites work

• Anisotropic growth of random surfaces in \({2+1}\) dimensions
• Asymptotics of Plancherel measures for the infinite-dimensional unitary group
• CLT for spectra of submatrices of Wigner random matrices
• Random surface growth with a wall and Plancherel measures for \(O (\infty )\)
• Spectra of overlapping Wishart matrices and the Gaussian free field
• The Gaussian free field in interlacing particle systems
• Three-dimensional Gaussian fluctuations of non-commutative random surfaces along time-like paths

Cited in

(3)

• Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
• CLT for spectra of submatrices of Wigner random matrices. II: Stochastic evolution
• Spectra of overlapping Wishart matrices and the Gaussian free field

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