English

Extremal singular values of random matrix products and Brownian motion on GL(N,C)

Probability 2022-01-31 v1 Mathematical Physics math.MP

Abstract

We establish universality for the largest singular values of products of random matrices with right unitarily invariant distributions, in a regime where the number of matrix factors and size of the matrices tend to infinity simultaneously. The behavior of the largest log singular values coincides with the large N limit of Dyson Brownian motion with a characteristic drift vector consisting of equally spaced coordinates, which matches the large N limit of the largest log singular values of Brownian motion on GL(N, C). Our method utilizes the formalism of multivariate Bessel generating functions, also known as spherical transforms, to obtain and analyze combinatorial expressions for observables of these processes.

Keywords

Cite

@article{arxiv.2201.11809,
  title  = {Extremal singular values of random matrix products and Brownian motion on GL(N,C)},
  author = {Andrew Ahn},
  journal= {arXiv preprint arXiv:2201.11809},
  year   = {2022}
}

Comments

31 pages, 1 figure, comments welcome!