Related papers: Matrix Dufresne Identity
We give an elementary proof of a generalization of Bourgain and Tzafriri's Restricted Invertibility Theorem, which says roughly that any matrix with columns of unit length and bounded operator norm has a large coordinate subspace on which…
Classical prolate spheroidal functions play an important role in the study of time-band limiting, scaling limits of random matrices, and the distribution of the zeros of the Riemann zeta function. We establish an intrinsic relationship…
We study boundary traces of shift-invariant diffusions: two-dimensional diffusions in the upper half-plane $\mathbb{R} \times [0, \infty)$ (or in $\mathbb{R} \times [0, R)$) invariant under horizontal translations. We prove that the…
Fractional Dzherbashian-Nersesian operator is considered and three famous fractional order derivatives namely Riemann-Liouville, Caputo and Hilfer derivatives are shown to be special cases of the earlier one. The expression for Laplace…
Random matrix theory (RMT) universality is the defining property of quantum mechanical chaotic systems, and can be probed by observables like the spectral form factor (SFF). In this paper, we describe systematic deviations from RMT…
We show that in one dimension the transfer matrix M of any scattering potential v coincides with the S-matrix of an associated time-dependent non-Hermitian 2 x 2 matrix Hamiltonian H(\tau). If v is real-valued, H(\tau) is pseudo-Hermitian…
In this article, we study high-dimensional behavior of empirical spectral distributions $\{L_N(t), t\in[0,T]\}$ for a class of $N\times N$ symmetric/Hermitian random matrices, whose entries are generated from the solution of stochastic…
Some tools and ideas are interchanged between random matrix theory and multivariate statistics. In the context of the random matrix theory, classes of spherical and generalised Wishart random matrix ensemble, containing as particular cases…
Otto's Theorem characterises the bisimulation-invariant PTIME queries over graphs as exactly those that can be formulated in the polyadic mu-calculus, hinging on the Immerman-Vardi Theorem which characterises PTIME (over ordered structures)…
We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…
In this paper, we first obtain an algebraic formula for the moments of a centered Wishart matrix, and apply it to obtain new convergence results in the large dimension limit when both parameters of the distribution tend to infinity at…
It is shown that a covariant derivative on any d-dimensional manifold M can be mapped to a set of d operators acting on the space of functions on the principal Spin(d)-bundle over M. In other words, any d-dimensional manifold can be…
In this paper we discuss the process convergence of the time dependent fluctuations of linear eigenvalue statistics of random circulant matrices with independent Brownian motion entries, as the dimension of the matrix tends to $\infty $.…
A common optimization problem is the minimization of a symmetric positive definite quadratic form $< x,Tx >$ under linear constrains. The solution to this problem may be given using the Moore-Penrose inverse matrix. In this work we extend…
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use composition techniques as Ninomiya and…
We introduce a class of probability measure-valued diffusions, coined polynomial, of which the well-known Fleming--Viot process is a particular example. The defining property of finite dimensional polynomial processes considered by Cuchiero…
We study a family of essentially pairwise independent Brownian motions indexed by a continuum of labels and show how the Fubini extension framework provides a rigorous way to represent such families as a single jointly measurable process.…
The ergodic unitarily invariant measures on the space of infinite Hermitian matrices have been classified by Pickrell and Olshanski-Vershik. The much-studied complex inverse Wishart measures form a projective family, thus giving rise to a…
The literature presents the characteristic function of the Wishart distribution on m times m matrices as an inverse power of the determinant of the Fourier variable, the exponent being the positive, real shape parameter. I demonstrate that…
The theory of generalized inverses of matrices and operators is closely connected with projections, i.e., idempotent (bounded) linear transformations. We show that a similar situation occurs in any associative ring $\mathcal{R}$ with a unit…