Related papers: Eigenvalue processes of symmetric tridiagonal matr…
In this paper, we present a generalized Cuppen's divide-and-conquer algorithm for the symmetric tridiagonal eigenproblem. We extend the Cuppen's work to the rank two modifications of the form $A =T +\beta_1\bw_1\bw_1^T +…
We find the precise rate at which the empirical measure associated to a $\beta$-ensemble converges to its limiting measure. In our setting the $\beta$-ensemble is a random point process on a compact complex manifolds distributed according…
Evaluation of the eigenvectors of symmetric tridiagonal matrices is one of the most basic tasks in numerical linear algebra. It is a widely known fact that, in the case of well separated eigenvalues, the eigenvectors can be evaluated with…
We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes constructed from the corresponding eigenvalues. We show that…
Given a symmetric matrix $A$, we show from the simple sketch $GAG^T$, where $G$ is a Gaussian matrix with $k = O(1/\epsilon^2)$ rows, that there is a procedure for approximating all eigenvalues of $A$ simultaneously to within $\epsilon…
We relate the distribution of eigenvalues of a random symmetric matrix in the Gaussian Orthogonal Ensemble to the distribution of critical values of a random linear combination of eigenfunctions of the Laplacian on a compact Riemann…
The dynamics of the eigenvalues (semimartingales) of a L\'{e}vy process $X$ with values in Hermitian matrices is described in terms of It\^{o} stochastic differential equations with jumps. This generalizes the well known Dyson-Brownian…
We study three instances of log-correlated processes on the interval: the logarithm of the Gaussian unitary ensemble (GUE) characteristic polynomial, the Gaussian log-correlated potential in presence of edge charges, and the Fractional…
A supereigenvalue model with purely positive bosonic eigenvalues is presented and solved by considering its superloop equations. This model represents the supersymmetric generalization of the complex one matrix model, in analogy to the…
We show that the stochastic dynamics of a large class of one-dimensional interacting particle systems may be presented by integrable quantum spin Hamiltonians. Using the Bethe ansatz and similarity transformations this yields new exact…
We determine the operator limit for large powers of random tridiagonal matrices as the size of the matrix grows. The result provides a novel expression in terms of functionals of Brownian motions for the Laplace transform of the…
A generalized eigenvalue algorithm for tridiagonal matrix pencils is presented. The algorithm appears as the time evolution equation of a nonautonomous discrete integrable system associated with a polynomial sequence which has some…
Two families of stochastic interacting particle systems, the interacting Brownian motions and Bessel processes, are defined as extensions of Dyson's Brownian motion models and the eigenvalue processes of the Wishart and Laguerre processes…
We study mesoscopic linear statistics for a class of determinantal point processes which interpolates between Poisson and Gaussian Unitary Ensemble statistics. These processes are obtained by modifying the spectrum of the correlation kernel…
As a unifying framework for examining several properties that nominally involve eigenvalues, we present a particular structure of the singular values of the Gaussian orthogonal ensemble (GOE): the even-location singular values are…
We present a simple proof for bounding the smallest eigenvalue of the empirical covariance in a causal Gaussian process. Along the way, we establish a one-sided tail inequality for Gaussian quadratic forms using a causal decomposition. Our…
Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional brownian motion and the multifractional…
We consider the eigenvectors of symmetric matrices with independent heavy tailed entries, such as matrices with entries in the domain of attraction of $\alpha$-stable laws, or adjacencymatrices of Erdos-Renyi graphs. We denote by…
We show that the Brydges-Fr\"ohlich-Spencer-Dynkin and the Le Jan's isomorphisms between the Gaussian free fields and the occupation times of symmetric Markov processes generalize to the $\beta$-Dyson's Brownian motion. For…
A system of one-dimensional Brownian motions (BMs) conditioned never to collide with each other is realized as (i) Dyson's BM model, which is a process of eigenvalues of hermitian matrix-valued diffusion process in the Gaussian unitary…