Related papers: Relationships between $\tau$-function and Fredholm…
There has recently been interest in relating properties of matrices drawn at random from the classical compact groups to statistical characteristics of number-theoretical L-functions. One example is the relationship conjectured to hold…
We study a $d$-dimensional random walk with exponentially distributed increments conditioned so that the components stay ordered (in the sense of Doob). We find explicitly a positive harmonic function $h$ for the killed process and then…
We discuss the product of $M$ rectangular random matrices with independent Gaussian entries, which have several applications including wireless telecommunication and econophysics. For complex matrices an explicit expression for the joint…
Okamoto has obtained a sequence of $\tau$-functions for the \PVI system expressed as a double Wronskian determinant based on a solution of the Gauss hypergeometric equation. Starting with integral solutions of the Gauss hypergeometric…
In an earlier work we had considered a Gaussian ensemble of random matrices in the presence of a given external matrix source. The measure is no longer unitary invariant and the usual techniques based on orthogonal polynomials, or on the…
We study averages of multiplicative eigenvalue statistics in ensembles of orthogonal Haar distributed matrices, which can alternatively be written as Toeplitz+Hankel determinants. We obtain new asymptotics for symbols with Fisher-Hartwig…
We consider two versions of discrete time totally asymmetric simple exclusion processes (TASEPs) with geometric and Bernoulli random hopping probabilities. For the process mixed with these and continuous time dynamics, we obtain a single…
One of the main applications of free probability is to show that for appropriately chosen independent copies of $d$ random matrix models, any noncommutative polynomial in these $d$ variables has a spectral distribution that converges…
We calculate the autocorrelation functions (or shifted moments) of the characteristic polynomials of matrices drawn uniformly with respect to Haar measure from the groups U(N), O(2N) and USp(2N). In each case the result can be expressed in…
Two types of parameter dependent generalizations of classical matrix ensembles are defined by their probability density functions (PDFs). As the parameter is varied, one interpolates between the eigenvalue PDF for the superposition of two…
Explicit expressions are proven for derivatives of the ratio of a determinant or Pfaffian determinant and a Vandermonde determinant. Such ratios appear for example in general group integrals of Harish-Chandra--Itzykson--Zuber type and in…
Consider the evolution $$ \frac{\pl m_\iy}{\pl t_n}=\Lb^n m_\iy, \frac{\pl m_\iy}{\pl s_n}=-m_\iy(\Lb^\top)^n, $$ on bi- or semi-infinite matrices $m_\iy=m_\iy(t,s)$, with skew-symmetric initial data $m_{\iy}(0,0)$. Then, $m_\iy(t,-t)$ is…
An infinite log-gas formalism, due to Dyson, and independently Fogler and Shklovskii, is applied to the computation of conditioned gap probabilities at the hard and soft edges of random matrix $\beta$-ensembles. The conditioning is that…
We consider pairs of maps from a discrete group to the unitary group. The deficiencies of these maps from being homomorphisms may be great, but if they are close to each other then we call such pairs balanced. We show that balanced pairs…
The $\tau$-function theory of Painlev\'e systems is used to derive recurrences in the rank $n$ of certain random matrix averages over U(n). These recurrences involve auxilary quantities which satisfy discrete Painlev\'e equations. The…
We introduce and study a family of random processes with a discrete time related to products of random matrices. Such processes are formed by singular values of random matrix products, and the number of factors in a random matrix product…
The universal Witham hierarchy is considered from the point of view of topological field theories. The $\tau$-function for this hierarchy is defined. It is proved that the algebraic orbits of Whitham hierarchy can be identified with various…
We study a potential introduced by Darboux to describe conjugate nets, which within the modern theory of integrable systems can be interpreted as a $\tau$-function. We investigate the potential using the non-local $\bar\partial$ dressing…
We give a probabilistic introduction to determinantal and permanental point processes. Determinantal processes arise in physics (fermions, eigenvalues of random matrices) and in combinatorics (nonintersecting paths, random spanning trees).…
We consider the gap probability for the Bessel process in the single-time and multi-time case. We prove that the scalar and matrix Fredholm determinants of such process can be expressed in terms of determinants of integrable kernels \`a la…