The Kontsevich matrix integral: convergence to the Painlev\'e hierarchy and Stokes' phenomenon

We show that the Kontsevich integral on $n\times n$ matrices ($n< \infty$) is the isomonodromic tau function associated to a $2\times 2$ Riemann--Hilbert problem. The approach allows us to gain control of the analysis of the convergence as $n\to\infty$. By an appropriate choice of the external source matrix in Kontsevich's integral, we show that the limit produces the isomonodromic tau function of a special tronqu\'ee solution of the first Painlev\'e hierarchy, and we identify the solution in terms of the Stokes' data of the associated linear problem. We also show that there are several tau functions that are analytic in appropriate sectors of the space of parameters and that the formal Witten-Kontsevich tau function is the asymptotic expansion of each of them in their respective sectors, thus providing an analytic tool to analyze its nonlinear Stokes' phenomenon.