Related papers: Universal shocks in the Wishart random-matrix ense…
The bivariate normal density with unit variance and correlation $\rho$ is well-known. We show that by integrating out $\rho$, the result is a function of the maximum norm. The Bayesian interpretation of this result is that if we put a…
Second-order phase transitions are characterised by critical scaling and universality. The singular behaviour of thermodynamic quantities at the transition, in particular, is determined by critical exponents of the universality class of the…
Between the linear and nonlinear regimes, we identify a universal transition range centered on a characteristic halo mass $m_h^*\propto t$, within which gravitational dynamics self-organize the matter field toward an effective spectral…
Polynomial ensembles are determinantal point processes associated with (non necessarily orthogonal) projections onto polynomial subspaces. The aim of this survey article is to put forward the use of recurrence coefficients to obtain the…
We study the yielding transition of a two dimensional amorphous system under shear by using a mesoscopic elasto-plastic model. The model combines a full (tensorial) description of the elastic interactions in the system, and the possibility…
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…
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…
We consider random hermitian matrices made of complex blocks. The symmetries of these matrices force them to have pairs of opposite real eigenvalues, so that the average density of eigenvalues must vanish at the origin. These densities are…
Let $W$ be a random positive definite symmetric matrix distributed according to a real Wishart distribution and let $W^{-1}=(W^{ij})_{i,j}$ be its inverse matrix. We compute general moments $\mathbb{E} [W^{k_1 k_2} W^{k_3 k_4} ...…
For random matrices with block correlation structure we show that the fluctuations of linear eigenvalue statistics are Gaussian on all mesoscopic scales with universal variance which coincides with that of the Gaussian unitary or Gaussian…
The product of M complex random Gaussian matrices of size N has recently been studied by Akemann, Kieburg and Wei. They showed that, for fixed M and N, the joint probability distribution for the squared singular values of the product matrix…
The role of solvent quality in determining the universal material properties of dilute polymer solutions undergoing steady simple shear flow is examined. A bead-spring chain representation of the polymer molecule is used, and the influence…
We consider the distribution of the top eigenvector $\widehat{v}$ of a spiked matrix model of the form $H = \theta vv^* + W$, in the supercritical regime where $H$ has an outlier eigenvalue of comparable magnitude to $\|W\|$. We show that,…
Universality in unitary invariant random matrix ensembles with complex matrix elements is considered. We treat two general ensembles which have a determinant factor in the weight. These ensembles are relevant, e.g., for spectra of the Dirac…
A generalized Wigner matrix perturbed by a finite-rank deterministic matrix is considered. The fluctuations of the largest eigenvalues, which emerge outside the bulk of the spectrum, and the corresponding eigenvectors, are studied. Under…
The unitary evolution maps in closed chaotic quantum graphs are known to have universal spectral correlations, as predicted by random matrix theory. In chaotic graphs with absorption the quantum maps become non-unitary. We show that their…
This paper proves a matrix model for the Wishart Ensemble with general covariance and general dimension parameter beta. In so doing, we introduce a new and elegant definition of Jack polynomials.
Wishart correlation matrices are the standard model for the statistical analysis of time series. The ensemble averaged eigenvalue density is of considerable practical and theoretical interest. For complex time series and correlation…
We consider a general McKean-Vlasov stochastic differential equation driven by a rotationally invariant $\alpha$-stable process on $\mathbb{R}^d$ with $\alpha \in (1,2)$. We assume that the diffusion coefficient is the identity matrix and…
We extend a recent theory of parametric correlations in the spectrum of random matrices to study the response to an external perturbation of eigenvalues near the soft edge of the support. We demonstrate by explicit non-perturbative…