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In this paper we calculate, in the large N limit, the eigenvalue density of an infinite product of random unitary matrices, each of them generated by a random hermitian matrix. This is equivalent to solving unitary diffusion generated by a…
We consider an even probability distribution on the $d$-dimensional Euclidean space with the property that it assigns measure zero to any hyperplane through the origin. Given $N$ independent random vectors with this distribution, under the…
We present an entropy comparison result concerning weighted sums of independent and identically distributed random variables.
The symmetric convex hull of random points that are independent and distributed according to the cone probability measure on the $\ell_p$-unit sphere of $\mathbb R^n$ for some $1\leq p < \infty$ is considered. We prove that these random…
On unitary compact groups the decomposition of a generic element into product of reflections induces a decomposition of the characteristic polynomial into a product of factors. When the group is equipped with the Haar probability measure,…
Polynomial ensembles are a sub-class of probability measures within determinantal point processes. Examples include products of independent random matrices, with applications to Lyapunov exponents, and random matrices with an external…
In this paper, we study permutations $\pi \in S_n$ with exactly $m$ transpositions. In particular, we are interested in the expected value of $\pi(1)$ when such permutations are chosen uniformly at random. When $n$ is even, this expected…
We consider a class of sample covariance matrices of the form $Q=TXX^{*}T^*,$ where $X=(x_{ij})$ is an $M \times N$ rectangular matrix consisting of i.i.d entries and $T$ is a deterministic matrix satisfying $T^*T$ is diagonal. Assuming $M$…
We prove that the squared singular values of a fixed matrix multiplied with a truncation of a Haar distributed unitary matrix are distributed by a polynomial ensemble. This result is applied to a multiplication of a truncated unitary matrix…
We consider projections of points onto fundamental chambers of finite real reflection groups. Our main result shows that for groups of type $A_n$, $B_n$, and $D_n$, the coefficients of the characteristic polynomial of the reflection…
The algebraic area probability distribution of closed planar random walks of length N on a square lattice is considered. The generating function for the distribution satisfies a recurrence relation in which the combinatorics is encoded. A…
Consider an infinite sequence $(U_n)_{n\in\mathbb{N}}$ of independent Cauchy random variables, defined by a sequence $(\delta_n)_{n\in\mathbb{N}}$ of location parameters and a sequence $(\gamma_n)_{n\in\mathbb{N}}$ of scale parameters. Let…
If we treat the symmetric group $S_n$ as a probability measure space where each element has measure $1/n!$, then the number of cycles in a permutation becomes a random variable. The Cycle Length Lemma describes the expected values of…
We study the properties of the eigenvalues of real random matrices and their products. It is known that when the matrix elements are Gaussian-distributed independent random variables, the fraction of real eigenvalues tends to unity as the…
We investigate global solvability, in the framework of smooth functions and Schwartz distributions, of certain sums of squares of vector fields defined on a product of compact Riemannian manifolds $T \times G$, where $G$ is further assumed…
We investigate the universality of singular value and eigenvalue distributions of matrix valued functions of independent random matrices and apply these general results in several examples. In particular we determine the limit distribution…
The concepts of variability and uncertainty, both epistemic and alleatory, came from experience and coexist with different connotations. Therefore this article attempts to express their relation by analytic means firstly setting sights on…
Admissible vectors lead to frames or coherent states under the action of a group by means of square integrable representations. This work shows that admissible vectors can be seen as weights with central support on the (left) group von…
Random matrices formed from i.i.d. standard real Gaussian entries have the feature that the expected number of real eigenvalues is non-zero. This property persists for products of such matrices, independently chosen, and moreover it is…
We prove edge universality of local eigenvalue statistics for orthogonal invariant matrix models with real analytic potentials and one interval limiting spectrum. Our starting point is the result of \cite{S:08} on the representation of the…