Asymptotics of a Fredholm Determinant Corresponding to the First Bulk Critical Universality Class in Random Matrix Models

We study the determinant det(I?K _PII) of an integrable Fredholm operator K _PII acting on the interval (?s, s) whose kernel is constructed out of the Ψ-function associated with the Hastings–McLeod solution of the second Painlevé equation. This Fredholm determinant describes the critical behavior of the eigenvalue gap probabilities of a random Hermitian matrix chosen from the unitary ensemble in the bulk double scaling limit near a quadratic zero of the limiting mean eigenvalue density. Using the Riemann–Hilbert method, we evaluate the large s-asymptotics of det(I?K _PII) .     

Edge Universality for Orthogonal Ensembles of Random Matrices

We prove edge universality of local eigenvalue statistics for orthogonal invariant matrix models with real analytic potentials and one interval limiting spectrum. Our starting point is the result of Shcherbina (Commun. Math. Phys. 285, 957–974, 2009) on the representation of the reproducing matrix kernels of orthogonal ensembles in terms of scalar reproducing kernel of corresponding unitary ensemble.     

Singular Values of Products of Ginibre Random Matrices,Multiple Orthogonal Polynomials and Hard Edge Scaling Limits

Akemann, Ipsen and Kieburg recently showed that the squared singular values of products of M rectangular random matrices with independent complex Gaussian entries are distributed according to a determinantal point process with a correlation kernel that can be expressed in terms of Meijer G-functions. We show that this point process can be interpreted as a multiple orthogonal polynomial ensemble. We give integral representations for the relevant multiple orthogonal polynomials and a new double contour integral for the correlation kernel, which allows us to find its scaling limits at the origin (hard edge). The limiting kernels generalize the classical Bessel kernels. For M = 2 they coincide with the scaling limits found by Bertola, Gekhtman, and Szmigielski in the Cauchy–Laguerre two-matrix model, which indicates that these kernels represent a new universality class in random matrix theory.     

Scaling Limit of Symmetric Random Walk in High-Contrast Periodic Environment

It is shown that the deterministic infinite trigonometric products

$$\begin{aligned} \prod _{n\in \mathbb {N}}\left[ 1- p +p\cos \left( \textstyle n^{-s}_{_{}}t\right) \right] =: {\text{ Cl }_{p;s}^{}}(t) \end{aligned}$$

with parameters \( p\in (0,1]\ \& \ s>\frac{1}{2}\), and variable \(t\in \mathbb {R}\), are inverse Fourier transforms of the probability distributions for certain random series \(\Omega _{p}^\zeta (s)\) taking values in the real \(\omega \) line; i.e. the \({\text{ Cl }_{p;s}^{}}(t)\) are characteristic functions of the \(\Omega _{p}^\zeta (s)\). The special case \(p=1=s\) yields the familiar random harmonic series, while in general \(\Omega _{p}^\zeta (s)\) is a “random Riemann-\(\zeta \) function,” a notion which will be explained and illustrated—and connected to the Riemann hypothesis. It will be shown that \(\Omega _{p}^\zeta (s)\) is a very regular random variable, having a probability density function (PDF) on the \(\omega \) line which is a Schwartz function. More precisely, an elementary proof is given that there exists some \(K_{p;s}^{}>0\), and a function \(F_{p;s}^{}(|t|)\) bounded by \(|F_{p;s}^{}(|t|)|\!\le \! \exp \big (K_{p;s}^{} |t|^{1/(s+1)})\), and \(C_{p;s}^{}\!:=\!-\frac{1}{s}\int _0^\infty \ln |{1-p+p\cos \xi }|\frac{1}{\xi ^{1+1/s}}\mathrm{{d}}\xi \), such that

$$\begin{aligned} \forall \,t\in \mathbb {R}:\quad {\text{ Cl }_{p;s}^{}}(t) = \exp \bigl ({- C_{p;s}^{} \,|t|^{1/s}\bigr )F_{p;s}^{}(|t|)}; \end{aligned}$$

the regularity of \(\Omega _{p}^\zeta (s)\) follows. Incidentally, this theorem confirms a surmise by Benoit Cloitre, that \(\ln {\text{ Cl }_{{{1}/{3}};2}^{}}(t) \sim -C\sqrt{t}\; \left( t\rightarrow \infty \right) \) for some \(C>0\). Graphical evidence suggests that \({\text{ Cl }_{{{1}/{3}};2}^{}}(t)\) is an empirically unpredictable (chaotic) function of t. This is reflected in the rich structure of the pertinent PDF (the Fourier transform of \({\text{ Cl }_{{{1}/{3}};2}^{}}\)), and illustrated by random sampling of the Riemann-\(\zeta \) walks, whose branching rules allow the build-up of fractal-like structures.

     

Combinatorics of Dispersionless Integrable Systems and Universality in Random Matrix Theory

It is well-known that the partition function of the unitary ensembles of random matrices is given by a τ-function of the Toda lattice hierarchy and those of the orthogonal and symplectic ensembles are τ-functions of the Pfaff lattice hierarchy. In these cases the asymptotic expansions of the free energies given by the logarithm of the partition functions lead to the dispersionless (i.e. continuous) limits for the Toda and Pfaff lattice hierarchies. There is a universality between all three ensembles of random matrices, one consequence of which is that the leading orders of the free energy for large matrices agree. In this paper, this universality, in the case of Gaussian ensembles, is explicitly demonstrated by computing the leading orders of the free energies in the expansions. We also show that the free energy as the solution of the dispersionless Toda lattice hierarchy gives a solution of the dispersionless Pfaff lattice hierarchy, which implies that this universality holds in general for the leading orders of the unitary, orthogonal, and symplectic ensembles. We also find an explicit formula for the two point function F _nm which represents the number of connected ribbon graphs with two vertices of degrees n and m on a sphere. The derivation is based on the Faber polynomials defined on the spectral curve of the dispersionless Toda lattice hierarchy, and \frac1nmF_nm{\frac{1}{nm}F_{nm}} are the Grunsky coefficients of the Faber polynomials.     

Bulk Universality and Related Properties of Hermitian Matrix Models

We give a new proof of universality properties in the bulk of spectrum of the hermitian matrix models, assuming that the potential that determines the model is globally C ² and locally C ³ function (see Theorem 3.1). The proof as our previous proof in (Pastur and Shcherbina in J. Stat. Phys. 86:109–147, 1997) is based on the orthogonal polynomial techniques but does not use asymptotics of orthogonal polynomials. Rather, we obtain the sin -kernel as a unique solution of a certain non-linear integro-differential equation that follows from the determinant formulas for the correlation functions of the model. We also give a simplified and strengthened version of paper (Boutet de Monvel, et al. in J. Stat. Phys. 79:585–611, 1995) on the existence and properties of the limiting Normalized Counting Measure of eigenvalues. We use these results in the proof of universality and we believe that they are of independent interest.     

Limit Cycles near Stationary Points in the Lorenz System

The limit cycles in the Lorenz system near the stationary points are analysed numerically. A plane in phase space of the linear Lorenz system is used to locate suitable initial points of trajectories near the limit cycles. The numerical results show a stable and an unstable limit cycle near the stationary point. The stable limit cycle is smaller than the unstable one and has not been previously reported in the literature. In addition, all the limit cycles in the Lorenz system are theoreticallv Proven not to be planar.     

Random Matrices: Universality of Local Eigenvalue Statistics up to the Edge

This is a continuation of our earlier paper (Tao and Vu, , 2010) on the universality of the eigenvalues of Wigner random matrices. The main new results of this paper are an extension of the results in Tao and Vu (, 2010) from the bulk of the spectrum up to the edge. In particular, we prove a variant of the universality results of Soshnikov (Commun Math Phys 207(3):697–733, 1999) for the largest eigenvalues, assuming moment conditions rather than symmetry conditions. The main new technical observation is that there is a significant bias in the Cauchy interlacing law near the edge of the spectrum which allows one to continue ensuring the delocalization of eigenvectors.     

Universality in Orthogonal and Symplectic Invariant Matrix Models with Quartic Potential

In this work, we develop an orthogonal-polynomials approach for random matrices with orthogonal or symplectic invariant laws, called one-matrix models with polynomial potential in theoretical physics, which are a generalization of Gaussian random matrices. The representation of the correlation functions in these matrix models, via the technique of quaternion determinants, makes use of matrix kernels. We get new formulas for matrix kernels, generalizing the known formulas for Gaussian random matrices, which essentially express them in terms of the reproducing kernel of the theory of orthogonal polynomials. Finally, these formulas allow us to prove the universality of the local statistics of eigenvalues, both in the bulk and at the edge of the spectrum, for matrix models with two-band quartic potential by using the asymptotics given by Bleher and Its for the corresponding orthogonal polynomials.     

On Asymptotic Expansions and Scales of Spectral Universality in Band Random Matrix Ensembles

 We consider real random symmetric N × N matrices H of the band-type form with characteristic length b. The matrix entries are independent Gaussian random variables and have the variance proportional to , where u(t) vanishes at infinity. We study the resolvent in the limit and obtain the explicit expression for the leading term of the first correlation function of the normalized trace . We examine on the local scale and show that its asymptotic behavior is determined by the rate of decay of u(t). In particular, if u(t) decays exponentially, then . This expression is universal in the sense that the particular form of u determines the value of C > 0 only. Our results agree with those detected in both numerical and theoretical physics studies of spectra of band random matrices. Received: 8 April 2000 / Accepted: 7 June 2002 Published online: 21 October 2002 RID="*" ID="*" Present address: Département de Mathématiques, Université de Versailles Saint-Quentin, 78035 Versailles, France.     

A Particular Bit of Universality: Scaling Limits of Some Dependent Percolation Models

We study families of dependent site percolation models on the triangular lattice and hexagonal lattice that arise by applying certain cellular automata to independent percolation configurations. We analyze the scaling limit of such models and show that the distance between macroscopic portions of cluster boundaries of any two percolation models within one of our families goes to zero almost surely in the scaling limit. It follows that each of these cellular automaton generated dependent percolation models has the same scaling limit (in the sense of Aizenman-Burchard [3]) as independent site percolation on .The work was conducted while this author was at Department of Physics, New York University, New York, NY 10003, USA. Research partially supported by the U.S. NSF under grants DMS-98-02310 and DMS-01-02587.Research partially supported by the U.S. NSF under grants DMS-98-03267 and DMS-01-04278.Research partially supported by FAPERJ grant E-26/151.905/2000 and CNPq.     

On the Proof of Universality for Orthogonal and Symplectic Ensembles in Random Matrix Theory

We give a streamlined proof of a quantitative version of a result from P. Deift and D. Gioev, Universality in Random Matrix Theory for Orthogonal and Symplectic Ensembles. IMRP Int. Math. Res. Pap. (in press) which is crucial for the proof of universality in the bulk P. Deift and D. Gioev, Universality in Random Matrix Theory for Orthogonal and Symplectic Ensembles. IMRP Int. Math. Res. Pap. (in press) and also at the edge P. Deift and D. Gioev, {Universality at the edge of the spectrum for unitary, orthogonal and symplectic ensembles of random matrices. Comm. Pure Appl. Math. (in press) for orthogonal and symplectic ensembles of random matrices. As a byproduct, this result gives asymptotic information on a certain ratio of the β=1,2,4 partition functions for log gases.     

General Limit Distributions for Sums of Random Variables with a Matrix Product Representation

The general limit distributions of the sum of random variables described by a finite matrix product ansatz are characterized. Using a mapping to a Hidden Markov Chain formalism, non-standard limit distributions are obtained, and related to a form of ergodicity breaking in the underlying non-homogeneous Hidden Markov Chain. The link between ergodicity and limit distributions is detailed and used to provide a full algorithmic characterization of the general limit distributions.     

Limiting Properties of Random Graph Models with Vertex and Edge Weights

This paper provides an overview of results, concerning longest or heaviest paths, in the area of random directed graphs on the integers along with some extensions. We study first-order asymptotics of heaviest paths allowing weights both on edges and vertices and assuming that weights on edges are signed. We aim at an exposition that summarizes, simplifies, and extends proof ideas. We also study sparse graph asymptotics, showing convergence of the weighted random graphs to a certain weighted graph that can be constructed in terms of Poisson processes. We are motivated by numerous applications, ranging from ecology to parallel computing models. It is the latter set of applications that necessitates the introduction of vertex weights. Finally, we discuss some open problems and research directions.     

Large <Emphasis Type="Italic">n</Emphasis> Limit of Gaussian Random Matrices with External Source,Part III: Double Scaling Limit

We consider the double scaling limit in the random matrix ensemble with an external source

Universality of the Edge Distribution of Eigenvalues of Wigner Random Matrices with Polynomially Decaying Distributions of Entries

We consider an ensemble of Wigner symmetric random matrices A_n={a_ij}, i,j=1, . . . ,n with matrix elements a_ij, being i.i.d. symmetrically distributed random variables We assume that and that for p>18. We prove that the distribution of the k (k=1,2, . . . ) largest (smallest) eigenvalues has a universal limit as n→∞ (the Tracy-Widom distribution).     

Proof of a Conjecture on the Infinite Dimension Limit of a Unifying Model for Random Matrix Theory

Journal of Statistical Physics - We study the large N limit of a sparse random block matrix ensemble. It depends on two parameters: the average connectivity Z and the size of the blocks d, which is...     

Errata: “Universality in Orthogonal and Symplectic Invariant Matrix Models with Quartic Potential”

The errata concern mainly the last computations for the universality of the local statistics of eigenvalues at the edge of the spectrum in parts (iii) of Theorems 2.3 and 2.4.