Related papers: Mixed Correlation Functions of the Two-Matrix Mode…
We consider matrix orthogonal polynomials related to Jacobi type matrices of weights that can be defined in terms of a given matrix Pearson equation. Stating a Riemann-Hilbert problem we can derive first and second order differential…
In this training course report, I briefly present the one- and two-matrix models as tools for the study of conformal field theories with boundaries. In a first part, after a short historical presentation of random matrices, I present the…
Using large $N$ arguments, we propose a scheme for calculating the two-point eigenvector correlation function for non-normal random matrices in the large $N$ limit. The setting generalizes the quaternionic extension of free probability to…
A number of applications require the computation of the trace of a matrix that is implicitly available through a function. A common example of a function is the inverse of a large, sparse matrix, which is the focus of this paper. When the…
Any associative bilinear multiplication on the set of n-by-n matrices over some field of characteristic not two, that makes the same vectors orthogonal and has the same trace as ordinary matrix multiplication, must be ordinary matrix…
For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…
Many models for chaotic systems consist of joining two integrable systems with incompatible constants of motion. The quantum counterparts of such models have a propagator which factorizes into two integrable parts. Each part can be…
Two-dimensional Coulomb gases on an annulus at a special inverse temperature $\beta = 2$ are studied by using the orthogonal polynomial method borrowed from the theory of random matrices. The correlation functions among the Coulomb gas…
We consider a minimal realization of a rational matrix functions. We perturb the polynomial part and one of the constant matrices from the realization part. We derive explicit computable expressions of backward errors of approximate…
Eigenvalue problems on irreducible $\mathfrak{su}(2)$ modules and their adjoints are considered in the Bargmann, Barut-Girardello and finite difference models. The biorthogonality relations that arise between the corresponding generating…
The theory of self-reciprocal functions is applied to the study Mordell type integrals. We find two particular eigenfunctions of the double cosine Fourier transform and then use them to evaluate certain one- and two-dimensional Mordell type…
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…
We calculate within a semiclassical approximation the autocorrelation function of cross sections. The starting point is the semiclassical expression for the diagonal matrix elements of an operator. For general operators with a smooth…
The eigenvalue probability density function for symplectic invariant random matrix ensembles can be generalised to discrete settings involving either a linear or exponential lattice. The corresponding correlation functions can be expressed…
In the spectral theory of non-self-adjoint operators there is a well-known operation of product of operator colligations. Many similar operations appear in the theory of infinite-dimensional groups as multiplications of double cosets. We…
Random matrices are used in fields as different as the study of multi-orthogonal polynomials or the enumeration of discrete surfaces. Both of them are based on the study of a matrix integral. However, this term can be confusing since the…
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a…
The microscopic correlation functions of non-chiral random matrix models with complex eigenvalues are analyzed for a wide class of non-Gaussian measures. In the large-N limit of weak non-Hermiticity, where N is the size of the complex…
We argue that restricted Schur polynomials provide a useful parameterization of the complete set of gauge invariant variables of multi-matrix models. The two point functions of restricted Schur polynomials are evaluated exactly in the free…
We consider multiple orthogonal polynomials corresponding to two Macdonald functions (modified Bessel functions of the second kind), with emphasis on the polynomials on the diagonal of the Hermite-Pad\'e table. We give some properties of…