English

Singular values for products of complex Ginibre matrices with a source: hard edge limit and phase transition

Probability 2016-01-20 v2 Mathematical Physics Classical Analysis and ODEs math.MP

Abstract

The singular values squared of the random matrix product Y=GrGr1G1(G0+A)Y = G_r G_{r-1} \cdots G_1 (G_0 + A), where each GjG_j is a rectangular standard complex Gaussian matrix while AA is non-random, are shown to be a determinantal point process with correlation kernel given by a double contour integral. When all but finitely many eigenvalues of AAA^*A are equal to bNbN, the kernel is shown to admit a well-defined hard edge scaling, in which case a critical value is established and a phase transition phenomenon is observed. More specifically, the limiting kernel in the subcritical regime of 0<b<10<b<1 is independent of bb, and is in fact the same as that known for the case b=0b=0 due to Kuijlaars and Zhang. The critical regime of b=1b=1 allows for a double scaling limit by choosing b=(1τ/N)1b = (1-\tau/\sqrt{N})^{-1}, and for this the critical kernel and outlier phenomenon are established. In the simplest case r=0r=0, which is closely related to non-intersecting squared Bessel paths, a distribution corresponding to the finite shifted mean LUE is proven to be the scaling limit in the supercritical regime of b>1b>1 with two distinct scaling rates. Similar results also hold true for the random matrix product TrTr1T1(G0+A)T_r T_{r-1} \cdots T_1 (G_0 + A), with each TjT_j being a truncated unitary matrix.

Keywords

Cite

@article{arxiv.1503.07955,
  title  = {Singular values for products of complex Ginibre matrices with a source: hard edge limit and phase transition},
  author = {Peter J. Forrester and Dang-Zheng Liu},
  journal= {arXiv preprint arXiv:1503.07955},
  year   = {2016}
}

Comments

35 pages; some changes suggested by the referees are made, e.g., Section 3.3 is deleted and a detailed proof of Theorem 3.2 is given; some references are added or updated