Related papers: Localization in covariance matrices of coupled het…
We introduce a random matrix model for the stationary covariance of multivariate Ornstein-Uhlenbeck processes with heterogeneous temperatures, where the covariance is constrained by the Sylvester-Lyapunov equation. Using the replica method,…
Using numerical exact diagonalization, we study matrix elements of a local spin operator in the eigenbasis of two different nonintegrable quantum spin chains. Our emphasis is on the question to what extent local operators can be represented…
In this paper we study some convergence results concerning the one-dimensional distribution of a time-changed fractional Ornstein-Uhlenbeck process. In particular, we establish that, despite the time change, the process admits a Gaussian…
We study the hierarchical analogue of power-law random band matrices, a symmetric ensemble of random matrices with independent entries whose variances decay exponentially in the metric induced by the tree topology on $\mathbb{N}$. We map…
We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…
A dynamical signature of localization in quantum systems is the absence of transport which is governed by the amount of coherence that configuration space states possess with respect to the Hamiltonian eigenbasis. To make this observation…
We consider a random time evolution operator composed of a circuit of random unitaries coupling even and odd neighboring spins on a chain in turn. In spirit of Floquet evolution, the circuit is time-periodic; each timestep is repeated with…
Motivated by the problem of Many-Body Localization and the recent numerical results for the level and eigenfunction statistics on the random regular graphs, a generalization of the Rosenzweig-Porter random matrix model is suggested that…
An isolated quantum system is said to thermalize if ${\rm Tr} (A \rho(t)) \to {\rm Tr} (A \rho_{\rm eq})$ for time $t \to \infty$. Here $\rho(t)$ is the time-dependent density matrix of the system, $\rho_{\rm eq}$ is the time-independent…
Recent advances in AdS/CFT holography have suggested that the near-horizon dynamics of black holes can be described by random matrix systems. We study how the energy spectrum of a system with a generic random Hamiltonian matrix affects its…
The Eigenstate Thermalization Hypothesis (ETH) was developed as a framework for understanding how the principles of statistical mechanics emerge in the long-time limit of isolated quantum many-body systems. Since then, ETH has shifted the…
The standard approach for path integral Monte Carlo simulations of open quantum systems is extended as an efficient tool to monitor the time evolution of coherences (off-diagonal elements of the reduced density matrix) also for strong…
Spatio-temporal modelling is an increasingly popular topic in Statistics. Our paper contributes to this line of research by developing the theory, simulation and inference for a spatio-temporal Ornstein-Uhlenbeck process. We conduct…
We show that in the high temperature limit the partition function of a matrix model is localized on certain shells in the phase space where on each shell the classically conjugate matrix variables obey the canonical commutation relations.…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…
The eigenstate thermalization hypothesis provides a framework for understanding thermalization in isolated quantum many-body systems by characterizing statistical properties of local observables in energy eigenstates. Here we demonstrate…
We consider $N\times N$ self-adjoint Gaussian random matrices defined by an arbitrary deterministic sparsity pattern with $d$ nonzero entries per row. We show that such random matrices exhibit a canonical localization-delocalization…
We verify that the eigenstate thermalization hypothesis (ETH) holds universally for locally interacting quantum many-body systems. Introducing random-matrix ensembles with interactions, we numerically obtain a distribution of maximum…
We introduce generalizations of the COGARCH model of Kl\"uppelberg et al. from 2004 and the volatility and price model of Barndorff-Nielsen and Shephard from 2001 to a Markov-switching environment. These generalizations allow for exogeneous…
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the…