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.
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- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
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(28)- Universality of the stochastic Bessel operator
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- Smallest eigenvalue distributions for two classes of {\(\beta\)}-Jacobi ensembles
- Edge scaling of the \(\beta\)-Jacobi ensemble
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