Related papers: Strong approximation of Gaussian $\beta$-ensemble …
Given a gamma population with known shape parameter $\alpha$, we develop a general theory for estimating a function $g(\cdot)$ of the scale parameter $\beta$ with bounded variance. We begin by defining a sequential sampling procedure with…
We propose the notion of $E_{2}$-quasi-exact solvability and apply this idea to find explicit solutions to the eigenvalue problem for a non-Hermitian Hamiltonian system depending on two parameters. The model considered reduces to the…
We investigate the marginal distribution of the bottom eigenvalues of the stochastic Airy operator when the inverse temperature $\beta$ tends to $0$. We prove that the minimal eigenvalue, whose fluctuations are governed by the Tracy-Widom…
In this article we recover the distribution function (and possible density) of an arbitrary random variable that is subject to an additive measurement error. This problem is also known as deconvolution and has a long tradition in…
The extended Airy kernel describes the space-time correlation functions for the Airy process, which is the limiting process for a polynuclear growth model. The Airy functions themselves are given by integrals in which the exponents have a…
We develop an exact determinantal formula for the probability that the Airy$_2$ process is bounded by a function $g$ on a finite interval. As an application, we provide a direct proof that $\sup(\aip(x)-x^2)$ is distributed as a GOE random…
This paper presents new results allowing an unknown non-Gaussian positive matrix-valued random field to be identified through a stochastic elliptic boundary value problem, solving a statistical inverse problem. A new general class of…
We study the scaling limit of the spectrum of the \beta-Jacobi ensemble at the soft-edge and hard-edge for general values of \beta. We show that the limiting point processes correspond respectively to the stochastic Airy and Bessel point…
The numerical evaluation of an individual Bessel or Hankel function of large order and large argument is a notoriously problematic issue in physics. Recurrence relations are inefficient when an individual function of high order and argument…
We have found an exact formula expressing a general correlation function containing both products and ratios of characteristic polynomials of random Hermitian matrices. The answer is given in the form of a determinant. An essential…
Bernstein's theorem (also called Hausdorff--Bernstein--Widder theorem) enables the integral representation of a completely monotonic function. We introduce a finite completely monotonic function, which is a completely monotonic function…
The paper addresses the calculation of correlation functions of permanental polynomials of matrices with random entries. By exploiting a convenient contour integral representation of the matrix permanent some explicit results are provided…
A Gelfand-Tsetlin scheme of depth N is a triangular array with m integers at level m, m=1,...,N, subject to certain interlacing constraints. We study the ensemble of uniformly random Gelfand-Tsetlin schemes with arbitrary fixed N-th row. We…
The first two terms in the large $N$ asymptotic expansion of the $\beta$ moment of the characteristic polynomial for the Gaussian and Laguerre $\beta$-ensembles are calculated. This is used to compute the asymptotic expansion of the…
We investigate the average characteristic polynomial $\mathbb E\big[\prod_{i=1}^N(z-x_i)\big] $ where the $x_i$'s are real random variables which form a determinantal point process associated to a bounded projection operator. For a subclass…
We consider operator-valued polynomials in Gaussian Unitary Ensemble random matrices and we show that its $L^p$-norm can be upper bounded, up to an asymptotically small error, by the operator norm of the same polynomial evaluated in free…
We consider the asymptotics of the second-order correlation function of the characteristic polynomial of a random matrix. We show that the known result for a random matrix from the Gaussian Unitary Ensemble essentially continues to hold for…
In this paper we compute some of the higher order terms in the large-t asymptotic expansion of the Airy process two-point function, extending the previous work of Adler and van Moerbeke and Widom. We prove that it is possible to represent…
The focus of this paper is on the probability, $E_\beta(0;J)$, that a set $J$ consisting of a finite union of intervals contains no eigenvalues for the finite $N$ Gaussian Orthogonal ($\beta=1$) and Gaussian Symplectic ($\beta=4$) Ensembles…
We consider the random continued fraction S(t) := 1/(s_1 + t/(s_2 + t/(s_3 + >...))) where the s_n are independent random variables with the same gamma distribution. For every realisation of the sequence, S(t) defines a Stieltjes function.…