Janossy densities for Unitary ensembles at the spectral edge
Probability
2008-04-08 v2 Mathematical Physics
math.MP
Abstract
For a broad class of unitary ensembles of random matrices we demonstrate the universal nature of the Janossy densities of eigenvalues near the spectral edge, providing a different formulation of the probability distributions of the limiting second, third, etc. largest eigenvalues of the ensembles in question. The approach is based on a representation of the Janossy densities in terms of a system of orthogonal polynomials, plus the steepest descent method of Deift and Zhou for the asymptotic analysis of the associated Riemann-Hilbert problem.
Keywords
Cite
@article{arxiv.0706.0921,
title = {Janossy densities for Unitary ensembles at the spectral edge},
author = {Brian Rider and Xin Zhou},
journal= {arXiv preprint arXiv:0706.0921},
year = {2008}
}
Comments
6 figures, corrected typos, one erroneous corollary eliminated