Second order freeness and fluctuations of random matrices. II: Unitary random matrices
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Publication:864571
DOI10.1016/J.AIM.2006.05.003zbMATH Open1122.46045arXivmath/0405258OpenAlexW2022432807MaRDI QIDQ864571FDOQ864571
Authors: James A. Mingo, Piotr Śniady, Roland Speicher 
Publication date: 12 February 2007
Published in: Advances in Mathematics (Search for Journal in Brave)
Abstract: We extend the relation between random matrices and free probability theory from the level of expectations to the level of fluctuations. We show how the concept of "second order freeness", which was introduced in Part I, allows one to understand global fluctuations of Haar distributed unitary random matrices. In particular, independence between the unitary ensemble and another ensemble goes in the large limit over into asymptotic second order freeness. Two important consequences of our general theory are: (i) we obtain a natural generalization of a theorem of Diaconis and Shahshahani to the case of several independent unitary matrices; (ii) we can show that global fluctuations in unitarily invariant multi-matrix models are not universal.
Full work available at URL: https://arxiv.org/abs/math/0405258
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Random matrices (algebraic aspects) (15B52) Free probability and free operator algebras (46L54) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)
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