Related papers: Weakly universal dynamical correlations between ei…
This paper is the second of a series devoted to the study of the dynamics of the spectrum of large random matrices. We study general extensions of the partial differential equation arising to characterize the limit spectral measure of the…
We study the behavior of two-time correlation functions at late times for finite system sizes considering observables whose (one-point) average value does not depend on energy. In the long time limit, we show that such correlation functions…
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is devised in order to produce a statistical…
We consider non-gaussian ensembles of random normal matrices with the constraint that the ensembles are invariant under unitary transformations. We show that the level density of eigenvalues exhibits disk to ring transition in the complex…
It has been observed that the statistical distribution of the eigenvalues of random matrices possesses universal properties, independent of the probability law of the stochastic matrix. In this article we find the correlation functions of…
We consider real symmetric or complex hermitian random matrices with correlated entries. We prove local laws for the resolvent and universality of the local eigenvalue statistics in the bulk of the spectrum. The correlations have fast decay…
We apply random matrix theory to complex networks. We show that nearest neighbor spacing distribution of the eigenvalues of the adjacency matrices of various model networks, namely scale-free, small-world and random networks follow…
We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most of the eigenvalues in the spectrum of C agree…
This paper is a detailed account of the recent progress in understanding the statistical properties of complex eigenvalues of random non-Hermitian matrices reported earlier in our two short communications: Physics Letters A v.226, 46 (1997)…
We consider $N\times N$ symmetric random matrices where the probability distribution for each matrix element is given by a measure $\nu$ with a subexponential decay. We prove that the eigenvalue spacing statistics in the bulk of the…
The eigenvalues of the matrix structure $X + X^{(0)}$, where $X$ is a random Gaussian Hermitian matrix and $X^{(0)}$ is non-random or random independent of $X$, are closely related to Dyson Brownian motion. Previous works have shown how an…
We study the joint probability density of the eigenvalues of a product of rectangular real, complex or quaternion random matrices in a unified way. The random matrices are distributed according to arbitrary probability densities, whose only…
We investigate random density matrices obtained by partial tracing larger random pure states. We show that there is a strong connection between these random density matrices and the Wishart ensemble of random matrix theory. We provide…
A one-dimensional system of nonintersecting Brownian particles is constructed as the diffusion scaling limit of Fisher's vicious random walk model. $N$ Brownian particles start from the origin at time $t=0$ and undergo mutually avoiding…
The Wigner-Gaudin-Mehta-Dyson conjecture asserts that the local eigenvalue statistics of large random matrices exhibit universal behavior depending only on the symmetry class of the matrix ensemble. For invariant matrix models, the…
We discuss recent results on decay of correlations for non-uniformly expanding maps. Throughout the discussion, we address the question of why different dynamical systems have different rates of decay of correlations and how this may…
Weak invariants are time-dependent observables with conserved expectation values. Their fluctuations, however, do not remain constant in time. On the assumption that time evolution of the state of an open quantum system is given in terms of…
The eigenvalue density for members of the Gaussian orthogonal and unitary ensembles follows the Wigner semi-circle law. If the Gaussian entries are all shifted by a constant amount c/Sqrt(2N), where N is the size of the matrix, in the large…
Eugene Wigner's revolutionary vision predicted that the energy levels of large complex quantum systems exhibit a universal behavior: the statistics of energy gaps depend only on the basic symmetry type of the model. Simplified models of…
We study the statistics of a system of N random levels with integer values, in the presence of a logarithmic repulsive potential of Dyson type. This probleme arises in sums over representations (Young tableaux) of GL(N) in various matrix…