Related papers: Truncations of Haar distributed matrices, traces a…
We characterize the limiting second order distributions of certain independent complex Wigner and deterministic matrices using Voiculescu's notions of freeness over the diagonal. If the Wigner matrices are Gaussian, Mingo and Speicher's…
The Aldous--Broder algorithm provides a way of sampling a uniformly random spanning tree for finite connected graphs using simple random walk. Namely, start a simple random walk on a connected graph and stop at the cover time. The tree…
We propose a class of tests for linear regression on concomitants (induced order statistics). These tests are based on sequential sums of regression residuals. We self-center and self-normalize these sums. The resulting process is called an…
We propose and test a method to interpolate sparsely sampled signals by a stochastic process with a broad range of spatial and/or temporal scales. To this end, we extend the notion of a fractional Brownian bridge, defined as fractional…
We derive a formula for the entries in the change-of-basis matrix between Young's seminormal and natural representations of the symmetric group. These entries are determined as sums over weighted paths in the weak Bruhat graph on standard…
We study biased, diffusive transport of Brownian particles through narrow, spatially periodic structures in which the motion is constrained in lateral directions. The problem is analyzed under the perspective of the Fick-Jacobs equation…
Consider the problem of matching two independent i.i.d. samples of size $N$ from two distributions $P$ and $Q$ in $\mathbb{R}^d$. For an arbitrary continuous cost function, the optimal assignment problem looks for the matching that…
This paper establishes a comprehensive concentration theory for truncated signatures of Gaussian rough paths. The signature of a path, defined as the collection of all iterated integrals, provides a complete description of its geometric…
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…
The model of heavy Wigner matrices generalizes the classical ensemble of Wigner matrices: the sub-diagonal entries are independent, identically distributed along to and out of the diagonal, and the moments its entries are of order 1/N,…
We study $N$ vicious Brownian bridges propagating from an initial configuration $\{a_1 < a_2 < \ldots< a_N \}$ at time $t=0$ to a final configuration $\{b_1 < b_2 < \ldots< b_N \}$ at time $t=t_f$, while staying non-intersecting for all…
We develop a systematic matrix-analytic approach, based on intertwinings of Markov semigroups, for proving theorems about hitting-time distributions for finite-state Markov chains -- an approach that (sometimes) deepens understanding of the…
Let $M$ be chosen uniformly at random w.r.t. the Haar measure on the unitary group $U_n$, the unitary symplectic group $USp_{2n}$ or the orthogonal group $O_n$. Diaconis and Shashahani proved that the traces…
Sinkhorn proved that every entry-wise positive matrix can be made doubly stochastic by multiplying with two diagonal matrices. In this note we prove a recently conjectured analogue for unitary matrices: every unitary can be decomposed into…
We consider $N\times N$ Hermitian or symmetric random matrices with independent entries. The distribution of the $(i,j)$-th matrix element is given by a probability measure $\nu_{ij}$ whose first two moments coincide with those of the…
This paper introduces a version of decoupling and randomization to establish concentration inequalities for double-indexed permutation statistics. The results yield, among other applications, a new combinatorial Hanson-Wright inequality and…
We give a new method to construct linear spaces of matrices of constant rank, based on truncated graded cohomology modules of certain vector bundles as well as on the existence of graded Artinian modules with pure resolutions. Our method…
We found the eigenvalues of the transfer matrix for the 2-D inhomogeneous statistical model with twisted boundary condition by using the analytic Bethe Ansatz method. In the uniform case, the derived hamiltonian generalizes the 1-D Hubbard…
We show that the truncation of twisted Yangians are isomorphic to finite W-algebras based on orthogonal or symplectic algebras. This isomorphism allows us to classify all the finite dimensional irreducible representations of the quoted…