English

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