Diffusion at the random matrix hard edge

DOI10.1007/S00220-008-0712-1zbMATH Open1183.47035arXiv0803.2043OpenAlexW2157279769MaRDI QIDQ842487FDOQ842487

Authors: Jose Ramirez, Brian Rider 

Publication date: 25 September 2009

Published in: Communications in Mathematical Physics (Search for Journal in Brave)

Abstract: We show that the limiting minimal eigenvalue distributions for a natural generalization of Gaussian sample-covariance structures (the "beta ensembles") are described by the spectrum of a random diffusion generator. By a Riccati transformation, we obtain a second diffusion description of the limiting eigenvalues in terms of hitting laws. This picture pertains to the so-called hard edge of random matrix theory and sits in complement to the recent work of the authors and B. Virag on the general beta random matrix soft edge. In fact, the diffusion descriptions found on both sides are used here to prove there exists a transition between the soft and hard edge laws at all values of beta.

Full work available at URL: https://arxiv.org/abs/0803.2043

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zbMATH Keywords

random matrix theoryrandom diffusioneigenvalue distributionsGaussian sample-covariance structureslimiting eigenvalues

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44) Random linear operators (47B80) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cited In (27)

• Operator level limit of the circular Jacobi \(\beta \)-ensemble
• Universality of the stochastic Bessel operator
• Operator level hard-to-soft transition for \(\beta\)-ensembles
• Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions
• Spiking the random matrix hard edge
• The random matrix hard edge: rare events and a transition
• Convergence and an explicit formula for the joint moments of the circular Jacobi \(\beta\)-ensemble characteristic polynomial
• Classical integrability for beta-ensembles and general Fokker-Planck equations
• The \(\mathrm{Sine}_{\beta}\) operator
• Solving equations with semimartingale noise
• Painlevé representation of Tracy-Widom\(_\beta\) distribution for \(\beta=6\)
• Hard edge for \(\beta\)-ensembles and Painlevé III
• Bounded Bessel processes and Ferrari-Spohn diffusions
• The boundary of the orbital beta process
• Erratum to: Diffusion at the random matrix hard edge
• Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential
• Low-temperature random matrix theory at the soft edge
• Beta ensembles, stochastic Airy spectrum, and a diffusion
• Asymptotics for products of characteristic polynomials in classical \(\beta\)-ensembles
• Inverting weak random operators
• Operator limit of the circular beta ensemble
• Limit theorems for beta-Jacobi ensembles
• Finite size corrections relating to distributions of the length of longest increasing subsequences
• Limits for circular Jacobi beta-ensembles
• Localization of the continuous Anderson Hamiltonian in 1-d
• Smallest eigenvalue distributions for two classes of {\(\beta\)}-Jacobi ensembles
• Edge scaling of the \(\beta\)-Jacobi ensemble

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