Related papers: Universal shocks in the Wishart random matrix ense…
We study the diffusion of complex Wishart matrices and derive a partial differential equation governing the behavior of the associated averaged characteristic polynomial. In the limit of large size matrices, the inverse Cole-Hopf transform…
We link the appearance of universal kernels in random matrix ensembles to the phenomenon of shock formation in some fluid dynamical equations. Such equations are derived from Dyson's random walks after a proper rescaling of the time. In the…
The eigenvalue statistics for complex $N \times N$ Wishart matrices $X_{r,s}^\dagger X_{r,s}$, where $ X_{r,s}$ is equal to the product of $r$ complex Gaussian matrices, and the inverse of $s$ complex Gaussian matrices, are considered. In…
We compute analytically the probability of large fluctuations to the left of the mean of the largest eigenvalue in the Wishart (Laguerre) ensemble of positive definite random matrices. We show that the probability that all the eigenvalues…
We evaluate averages involving characteristic polynomials, inverse characteristic polynomials and ratios of characteristic polynomials for a $N\times N$ random matrix taken from a $L$-deformed Chiral Gaussian Unitary Ensemble with an…
We prove that when suitably normalized, small enough powers of the absolute value of the characteristic polynomial of random Hermitian matrices, drawn from one-cut regular unitary invariant ensembles, converge in law to Gaussian…
Following our recent letter, we study in detail an entry-wise diffusion of non-hermitian complex matrices. We obtain an exact partial differential equation (valid for any matrix size $N$ and arbitrary initial conditions) for evolution of…
Based on a student research project this article gives a short review on Wishart processes. A Wishart procces is a matrix valued continuous time stochastic process with a marginal Wishart distribution. The Wishart distribution is a matrix…
We introduce a one-parameter deformation of the Wishart-Laguerre or chiral ensembles of positive definite random matrices with Dyson index beta=1,2 and 4. Our generalised model has a fat-tailed distribution while preserving the invariance…
It has been shown recently [10] that Cauchy transforms of orthogonal polynomials appear naturally in general correlation functions containing ratios of characteristic polynomials of random NxN Hermitian matrices. Our main goal is to…
We have discussed earlier the correlation functions of the random variables $\det(\la-X)$ in which $X$ is a random matrix. In particular the moments of the distribution of these random variables are universal functions, when measured in the…
In this paper we consider non-asymptotic behavior of the real compound Wishart matrices that generalize the classical real Wishart distribution. In particular, we consider matrices of the form 1/nXBX', where X consists of real centered…
Using Beck and Cohen's superstatistics, we introduce in a systematic way a family of generalised Wishart-Laguerre ensembles of random matrices with Dyson index $\beta$ = 1,2, and 4. The entries of the data matrix are Gaussian random…
In this work, we consider the weighted difference of two independent complex Wishart matrices and derive the joint probability density function of the corresponding eigenvalues in a finite-dimension scenario using two distinct approaches.…
We establish a simple relation between curvatures of the group of volume-preserving diffeomorphisms and the lifespan of potential solutions to the inviscid Burgers equation before the appearance of shocks. We show that shock formation…
Generalised uncorrelated Wishart matrices are formed out of rectangular standard Gaussian data matrices with a certain pattern of zero entries. Development of the theory in the real and complex cases has proceeded along separate line. For…
We study the spectrum of generalized Wishart matrices, defined as $\mathbf{F}=( X Y^\top + Y X^\top)/2T$, where $X$ and $Y$ are $N \times T$ matrices with zero mean, unit variance IID entries and such that $\mathbb{E}[X_{it} Y_{jt}]=c…
We consider weakly asymmetric exclusion processes whose initial density profile is a small perturbation of a constant. We show that in the diffusive time-scale, in all dimensions, the density defect evolves as the solution of a viscous…
Dynamics of viscous shocks is considered in the modular Burgers equation, where the time evolution becomes complicated due to singularities produced by the modular nonlinearity. We prove that the viscous shocks are asymptotically stable…
We show that the averaged characteristic polynomial and the averaged inverse characteristic polynomial, associated with Hermitian matrices whose elements perform a random walk in the space of complex numbers, satisfy certain partial…