Related papers: Derivative principles for invariant ensembles
The Hermite polynomials are ubiquitous but can be difficult to work with due to their unwieldy definition in terms of derivatives. To remedy this, we showcase an underappreciated Gaussian integral formula for the Hermite polynomials, which…
In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivative securities. The proposed method is extended from Reisinger and Wittum (2007) and…
We show that randomly choosing the matrices in a completely positive map from the unitary group gives a quantum expander. We consider Hermitian and non-Hermitian cases, and we provide asymptotically tight bounds in the Hermitian case on the…
We consider a class of nonlinear integro-differential operators and prove existence of two principal (half) eigenvalues in bounded smooth domains with exterior Dirichlet condition. We then establish simplicity of the principal…
We derive a multiplication law for free non-hermitian random matrices allowing for an easy reconstruction of the two-dimensional eigenvalue distribution of the product ensemble from the characteristics of the individual ensembles. We define…
We consider $n\times n$ non-Hermitian random matrices with independent entries and a variance profile, as well as an additive deterministic diagonal deformation. We show that their empirical eigenvalue distribution converges to a limiting…
We present two analytical formulae for estimating the sensitivity -- namely, the gradient or Jacobian -- at given realizations of an arbitrary-dimensional random vector with respect to its distributional parameters. The first formula…
We show that the requirement of manifest coordinate invariance of perturbatively defined quantum-mechanical path integrals in curved space leads to an extension of the theory of distributions by specifying unique rules for integrating…
We study multiplicative statistics for the eigenvalues of unitarily-invariant Hermitian random matrix models. We consider one-cut regular polynomial potentials and a large class of multiplicative statistics. We show that in the large matrix…
The symmetry study of main differential equations of mechanics and electrodynamics has shown, that differential equations, which are invariant under transformations of groups, which are symmetry groups of mathematical numbers (considered…
We introduce a probabilistic representation of the derivative of the semigroup associated to a multidimensional killed diffusion process defined on the half-space. The semigroup derivative is expressed as a functional of a process that is…
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…
A general strategy is provided to identify the most general metric for diagonalizable pseudo-Hermitian and anti-pseudo-Hermitian Hamilton operators represented by two-dimensional matrices. It is investigated how a permutation of the…
A general method to derive the diagonal representation for a generic matrix valued quantum Hamiltonian is proposed. In this approach new mathematical objects like non-commuting operators evolving with the Planck constant promoted as a…
It is known that a unitary matrix can be decomposed into a product of reflections, one for each dimension, and the Haar measure on the unitary group pushes forward to independent uniform measures on the reflections. We consider the sequence…
We show that sampling or interpolation formulas in reproducing kernel Hilbert spaces can be obtained by reproducing kernels whose dual systems form molecules, ensuring that the size profile of a function is fully reflected by the size…
We use the Whittaker vectors and the Drinfeld Casimir element to show that eigenfunctions of the difference Toda Hamiltonian can be expressed via fermionic formulas. Motivated by the combinatorics of the fermionic formulas we use the…
We calculate the exceptional points of the eigenvalues of several parameter-dependent Hamiltonian operators of mathematical and physical interest. We show that the calculation is greatly facilitated by the application of the discriminant to…
We characterize the relationship between the singular values of a complex Hermitian (resp., real symmetric, complex symmetric) matrix and the singular values of its off-diagonal block. We also characterize the eigenvalues of an Hermitian…
The aim of this paper is to bring into the picture a new phenomenon in the theory of orthogonal matrix polynomials satisfying second order differential equations. The last few years have witnessed some examples of a (fixed) family of…