English

Products of Independent Non-Hermitian Random Matrices

Probability 2014-08-18 v3 Mathematical Physics math.MP

Abstract

For fixed m>1m>1, we consider mm independent n×nn \times n non-Hermitian random matrices X1,...,XmX_1, ..., X_m with i.i.d. centered entries with a finite (2+η)(2+\eta)-th moment, η>0. \eta>0. As nn tends to infinity, we show that the empirical spectral distribution of nm/2\*X1X2...Xmn^{-m/2} \*X_1 X_2 ... X_m converges, with probability 1, to a non-random, rotationally invariant distribution with compact support in the complex plane. The limiting distribution is the mm-th power of the circular law.

Keywords

Cite

@article{arxiv.1012.4497,
  title  = {Products of Independent Non-Hermitian Random Matrices},
  author = {Sean O'Rourke and Alexander Soshnikov},
  journal= {arXiv preprint arXiv:1012.4497},
  year   = {2014}
}

Comments

The paper is accepted for publication in Electronic Journal of Probability. In the final version we fixed a small technical gap in the proofs of Theorem 15 and Lemma 19 and added the reference to the 2009 paper by Girko and Vladimirova