Near-extreme eigenvalues and the first gap of Hermitian random matrices

DOI10.1007/S10955-014-1044-5zbMATH Open1302.82058arXiv1312.2966OpenAlexW2051558130MaRDI QIDQ743429FDOQ743429

Authors: Anthony Perret, Grégory Schehr 

Publication date: 24 September 2014

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We study the phenomenon of "crowding" near the largest eigenvalue $lambd{a}_{max}$ of random $NimesN$ matrices belonging to the Gaussian Unitary Ensemble (GUE) of random matrix theory. We focus on two distinct quantities: (i) the density of states (DOS) near $lambd{a}_{max}$, $h{o}_{mDOS}(r,N)$, which is the average density of eigenvalues located at a distance $r$ from $lambd{a}_{max}$ and (ii) the probability density function of the gap between the first two largest eigenvalues, $p_{mGAP}(r,N)$. In the edge scaling limit where $r=calO(N^{-1/6})$, which is described by a double scaling limit of a system of unconventional orthogonal polynomials, we show that $h{o}_{mDOS}(r,N)$ and $p_{mGAP}(r,N)$ are characterized by scaling functions which can be expressed in terms of the solution of a Lax pair associated to the Painlev'e XXXIV equation. This provides an alternative and simpler expression for the gap distribution, which was recently studied by Witte, Bornemann and Forrester in Nonlinearity 26, 1799 (2013). Our expressions allow to obtain precise asymptotic behaviors of these scaling functions both for small and large arguments.

Full work available at URL: https://arxiv.org/abs/1312.2966

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zbMATH Keywords

random matricesorthogonal polynomialsextreme statistics

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

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