Related papers: Painlev\'e expressions for LOE, LSE and interpolat…
Some properties that nominally involve the eigenvalues of Gaussian Unitary Ensemble (GUE) can instead be phrased in terms of singular values. By discarding the signs of the eigenvalues, we gain access to a surprising decomposition: the…
We give a proof of the Universality Conjecture for orthogonal (beta=1) and symplectic (beta=4) random matrix ensembles of Laguerre-type in the bulk of the spectrum as well as at the hard and soft spectral edges. Our results are stated…
We develop a class of interacting particle systems for implementing a maximum marginal likelihood estimation (MMLE) procedure to estimate the parameters of a latent variable model. We achieve this by formulating a continuous-time…
We consider the nonlinear Helmholtz (NLH) equation describing the beam propagation in a planar waveguide with Kerr-like nonlinearity under non-paraxial approximation. By applying the Lie symmetry analysis, we determine the Lie point…
We study the probability that all the eigenvalues of $n\times n$ Hermitian matrices, from the Laguerre unitary ensemble with the weight $x^{\gamma}\mathrm{e}^{-4nx},\;x\in[0,\infty),\;\gamma>-1$, lie in the interval $[0,\alpha]$. By using…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
Random matrix ensembles with orthogonal and unitary symmetry correspond to the cases of real symmetric and Hermitian random matrices respectively. We show that the probability density function for the corresponding spacings between…
We derive simple linear, inhomogeneous recurrences for the variance of the index by utilising the fact that the generating function for the distribution of the number of positive eigenvalues of a Gaussian unitary ensemble is a…
We consider those Gaussian Unitary Ensembles where the eigenvalues have prescribed multiplicities, and obtain joint probability density for the eigenvalues. In the simplest case where there is only one multiple eigenvalue t, this leads to…
The gap probability generating function has as its coefficients the probability of an interval containing exactly $k$ eigenvalues. For scaled random matrices with orthogonal symmetry, and the interval at the hard or soft spectrum edge, the…
Inter-relations between random matrix ensembles with different symmetry types provide inter-relations between generating functions for the gap probabilites at the spectrum edge. Combining these in the scaled limit with the exact evaluation…
We apply the uniform asymptotics method proposed by Bassom, Clarkson, Law and McLeod to a special Painlev\'{e} V equation, and we provide a simpler and more rigorous proof of the connection formulas for a special solution of the equation,…
Inspired by the quantization of classical quantities and Rankin Selberg convolution, we study the anticommutator operation $\{\cdot, \cdot\}$, where $\{A,B\} = AB + BA$, applied to real symmetric random matrix ensembles including Gaussian…
Given the Hermitian, symmetric and symplectic ensembles, it is shown that the probability that the spectrum belongs to one or several intervals satisfies a nonlinear PDE. This is done for the three classical ensembles: Gaussian, Laguerre…
This is an expository account of the edge eigenvalue distributions in random matrix theory and their application in multivariate statistics. The emphasis is on the Painlev\'e representations of these distributions.
This letter introduces the novel concept of Painlev\'e solitons -- waves arising from the interaction between Painlev\'e waves and solitons in integrable systems. Painlev\'e solitons may also be viewed as solitons propagating against a…
It has recently been emphasized that all known exact evaluations of gap probabilities for classical unitary matrix ensembles are in fact $\tau$-functions for certain Painlev\'e systems. We show that all exact evaluations of gap…
This paper is concerned with certain connections between the ensemble of n x n unitary matrices -- specifically the characteristic function of the random variable tr(U) -- and combinatorics -- specifically Ulam's problem concerning the…
A family of random matrix ensembles interpolating between the GUE and the Ginibre ensemble of $n\times n$ matrices with iid centered complex Gaussian entries is considered. The asymptotic spectral distribution in these models is uniform in…
For beta ensembles with convex poynomial potentials, we prove a large deviation principle for the empirical spectral distribution seen from the rightmost particle. This modified spectral distribution was introduced by Perret and Schehr (J.…