Related papers: The complex elliptic Ginibre ensemble at weak non-…
We present two complementary methods, each applicable in a different range, to evaluate the distribution of the lowest eigenvalue of random matrices in a Jacobi ensemble. The first method solves an associated Painleve VI nonlinear…
We consider the product of n complex non-Hermitian, independent random matrices, each of size NxN with independent identically distributed Gaussian entries (Ginibre matrices). The joint probability distribution of the complex eigenvalues of…
We compare the Ornstein-Uhlenbeck process for the Gaussian Unitary Ensemble to its non-hermitian counterpart - for the complex Ginibre ensemble. We exploit the mathematical framework based on the generalized Green's functions, which…
Tracy and Widom have evaluated the cumulative distribution of the largest eigenvalue for the finite and scaled infinite GUE in terms of a PIV and PII transcendent respectively. We generalise these results to the evaluation of…
Eigenspaces of the quantum isotropic Harmonic Oscillator $\hat{H}_{\hbar} : = - \frac{\hbar^2}{2} \Delta + \frac{||x||^2}{2}$ on $\mathbb{R}^d$ have extremally high multiplicites and the eigenspace projections $\Pi_{\hbar, E_N(\hbar)} $…
We study a class of Hermitian random matrices which includes and generalizes Wigner matrices, heavy-tailed random matrices, and sparse random matrices such as the adjacency matrices of Erdos-Renyi random graphs with p ~ 1/N. Our NxN random…
The squared singular values of the product of $M$ complex Ginibre matrices form a biorthogonal ensemble, and thus their distribution is fully determined by a correlation kernel. The kernel permits a hard edge scaling to a form specified in…
We analyze the localization behavior in a non-Hermitian system subject to a quasiperiodic onsite potential. We characterize localization transitions using multiple quantitative indicators, including inverse participation ratio (IPR),…
Consider semiparametric models that display local asymptotic exponentiality (Ibragimov and Has'minskii (1981)), an asymptotic property of the likelihood associated with discontinuities of densities. Our interest goes to estimation of the…
In the present work, eigenvalue distributions defined by a random rectangular matrix whose components are neither independently nor identically distributed are analyzed using replica analysis and belief propagation. In particular, we…
We study unitary invariant random matrix ensembles with singular potentials. We obtain asymptotics for the partition functions associated to the Laguerre and Gaussian Unitary Ensembles perturbed with a pole of order $k$ at the origin, in…
The microcanonical Gross--Pitaevskii (aka semiclassical Bose-Hubbard) lattice model dynamics is characterized by a pair of energy and norm densities. The grand canonical Gibbs distribution fails to describe a part of the density space, due…
We establish the general equivalence between rare event process for arbitrary continuous functions whose maximal values are achieved on non-trivial sets, and the entry times distribution for arbitrary measure zero sets. We then use it to…
In this review we summarise recent results for the complex eigenvalues and singular values of finite products of finite size random matrices, their correlation functions and asymptotic limits. The matrices in the product are taken from…
The non-asymptotic tail bounds of random variables play crucial roles in probability, statistics, and machine learning. Despite much success in developing upper bounds on tail probability in literature, the lower bounds on tail…
We consider the eigenvalues of non-Hermitian random matrices in the symmetry class of the symplectic Ginibre ensemble, which are known to form a Pfaffian point process in the plane. It was recently discovered that the limiting correlation…
We prove several types of scaling results for Wigner distributions of spectral projections of the isotropic Harmonic oscillator on $\mathbb R^d$. In prior work, we studied Wigner distributions $W_{\hbar, E_N(\hbar)}(x, \xi)$ of individual…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
Consider the complex Ginibre ensemble, whose eigenvalues are $(\lambda_i)_{1\le i\le n}$ and the spectral radius $R_n=\max_{1\le i\le n}|\lambda_i|.$ Set $X_n=\sqrt{4 \gamma_{n}}(R_{n}-\sqrt{n}-\frac12\sqrt{\gamma_{n}})$ and $F_n$ be its…
It is now believed that the limiting distribution function of the largest eigenvalue in the three classic random matrix models GOE, GUE and GSE describe new universal limit laws for a wide variety of processes arising in mathematical…