Singular Values of Products of Ginibre Random Matrices

DOI10.1111/SAPM.12147MaRDI QIDQ2973311zbMATH OpenOpenAlexFDO

Authors Nicholas S. Witte, Peter J. Forrester

Publication date 3 April 2017

Published in Studies in Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.00704

zbMATH Keywords

asymptotic analysisintegrable systemPainlevé equations

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Nonlinear ordinary differential equations and systems (34A34) Painlevé and other special ordinary differential equations in the complex domain; classification, hierarchies (34M55) Completely integrable finite-dimensional Hamiltonian systems, integration methods, integrability tests (37J35) Random matrices (probabilistic aspects) (60B20)

Abstract: The squared singular values of the product of $M$ complex Ginibre matrices form a biorthogonal ensemble, and thus their distribution is fully determined by a correlation kernel. The kernel permits a hard edge scaling to a form specified in terms of certain Meijer G-functions, or equivalently hypergeometric functions ${}_0{F}_M$, also referred to as hyper-Bessel functions. In the case $M=1$ it is well known that the corresponding gap probability for no squared singular values in $(0,s)$ can be evaluated in terms of a solution of a particular sigma form of the Painlev'e III' system. One approach to this result is a formalism due to Tracy and Widom, involving the reduction of a certain integrable system. Strahov has generalised this formalism to general $Mge1$, but has not exhibited its reduction. After detailing the necessary working in the case $M=1$, we consider the problem of reducing the 12 coupled differential equations in the case $M=2$ to a single differential equation for the resolvent. An explicit 4-th order nonlinear is found for general hard edge parameters. For a particular choice of parameters, evidence is given that this simplifies to a much simpler third order nonlinear equation. The small and large $s$ asymptotics of the 4-th order equation are discussed, as is a possible relationship of the $M=2$ systems to so-called 4-dimensional Painlev'e-type equations.

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Cited in

(10)

• Singular values for products of two coupled random matrices: hard edge phase transition
• On Wright's generalized Bessel kernel
• Integrable structure of products of finite complex Ginibre random matrices
• Non-asymptotic results for singular values of Gaussian matrix products
• Gap probability for products of random matrices in the critical regime
• Distribution of linear statistics of singular values of the product of random matrices
• Differential equations for singular values of products of Ginibre random matrices
• Schwinger–Dyson and loop equations for a product of square Ginibre random matrices
• Orthogonal and symplectic Harish-Chandra integrals and matrix product ensembles
• Spectral statistics for the difference of two Wishart matrices

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