Spectrum of large random reversible Markov chains: two examples

MaRDI QIDQ2865810zbMATH OpenFDO

Authors Charles Bordenave, Pietro Caputo, Djalil Chafaï

Publication date 3 December 2013

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.1097, http://alea.impa.br/articles/v7/07-03.pdf

zbMATH Keywords

arc-sine lawbirth-and death processeshomogenizationrandom environmentrandom matricesrandom walksreversible Markov chainsspectral analysisspectral gaptridiagonal matricesWigner's semi-circle law

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Generation, random and stochastic difference and differential equations (37H10) Jacobi (tridiagonal) operators (matrices) and generalizations (47B36) Strong limit theorems (60F15) Processes in random environments (60K37) Multivariate analysis (62H99)

Abstract: We take on a Random Matrix theory viewpoint to study the spectrum of certain reversible Markov chains in random environment. As the number of states tends to infinity, we consider the global behavior of the spectrum, and the local behavior at the edge, including the so called spectral gap. Results are obtained for two simple models with distinct limiting features. The first model is built on the complete graph while the second is a birth-and-death dynamics. Both models give rise to random matrices with non independent entries.

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Cited in

(13)

• Clustering in block Markov chains
• The spectral gap of sparse random digraphs
• Tridiagonal random matrix: Gaussian fluctuations and deviations
• Circular law theorem for random Markov matrices
• Spectral norm bounds for block Markov chain random matrices
• Singular value distribution of dense random matrices with block Markovian dependence
• Time-inhomogeneous random Markov chains
• Aspects of large random Markov kernels
• Random reversible Markov matrices with tunable extremal eigenvalues
• Spectrum of large random Markov chains: Heavy-tailed weights on the oriented complete graph
• Spectrum of non-Hermitian heavy tailed random matrices
• Low eigenvalues of Laplacian matrices of large random graphs
• Spectrum of large random reversible Markov chains: heavy-tailed weights on the complete graph

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