TY - JOUR
AB - We consider spectral properties and the edge universality of sparse random matrices, the class of random matrices that includes the adjacency matrices of the Erdős–Rényi graph model G(N, p). We prove a local law for the eigenvalue density up to the spectral edges. Under a suitable condition on the sparsity, we also prove that the rescaled extremal eigenvalues exhibit GOE Tracy–Widom fluctuations if a deterministic shift of the spectral edge due to the sparsity is included. For the adjacency matrix of the Erdős–Rényi graph this establishes the Tracy–Widom fluctuations of the second largest eigenvalue when p is much larger than N−2/3 with a deterministic shift of order (Np)−1.
AU - Lee, Jii
AU - Schnelli, Kevin
ID - 690
IS - 1-2
JF - Probability Theory and Related Fields
TI - Local law and Tracy–Widom limit for sparse random matrices
VL - 171
ER -
TY - JOUR
AB - We consider the totally asymmetric simple exclusion process in a critical scaling parametrized by a≥0, which creates a shock in the particle density of order aT−1/3, T the observation time. When starting from step initial data, we provide bounds on the limiting law which in particular imply that in the double limit lima→∞limT→∞ one recovers the product limit law and the degeneration of the correlation length observed at shocks of order 1. This result is shown to apply to a general last-passage percolation model. We also obtain bounds on the two-point functions of several airy processes.
AU - Nejjar, Peter
ID - 70
IS - 2
JF - Latin American Journal of Probability and Mathematical Statistics
SN - 1980-0436
TI - Transition to shocks in TASEP and decoupling of last passage times
VL - 15
ER -
TY - THES
AB - The eigenvalue density of many large random matrices is well approximated by a deterministic measure, the self-consistent density of states. In the present work, we show this behaviour for several classes of random matrices. In fact, we establish that, in each of these classes, the self-consistent density of states approximates the eigenvalue density of the random matrix on all scales slightly above the typical eigenvalue spacing. For large classes of random matrices, the self-consistent density of states exhibits several universal features. We prove that, under suitable assumptions, random Gram matrices and Hermitian random matrices with decaying correlations have a 1/3-Hölder continuous self-consistent density of states ρ on R, which is analytic, where it is positive, and has either a square root edge or a cubic root cusp, where it vanishes. We, thus, extend the validity of the corresponding result for Wigner-type matrices from [4, 5, 7]. We show that ρ is determined as the inverse Stieltjes transform of the normalized trace of the unique solution m(z) to the Dyson equation −m(z) −1 = z − a + S[m(z)] on C N×N with the constraint Im m(z) ≥ 0. Here, z lies in the complex upper half-plane, a is a self-adjoint element of C N×N and S is a positivity-preserving operator on C N×N encoding the first two moments of the random matrix. In order to analyze a possible limit of ρ for N → ∞ and address some applications in free probability theory, we also consider the Dyson equation on infinite dimensional von Neumann algebras. We present two applications to random matrices. We first establish that, under certain assumptions, large random matrices with independent entries have a rotationally symmetric self-consistent density of states which is supported on a centered disk in C. Moreover, it is infinitely often differentiable apart from a jump on the boundary of this disk. Second, we show edge universality at all regular (not necessarily extreme) spectral edges for Hermitian random matrices with decaying correlations.
AU - Alt, Johannes
ID - 149
TI - Dyson equation and eigenvalue statistics of random matrices
ER -
TY - JOUR
AB - We prove a new central limit theorem (CLT) for the difference of linear eigenvalue statistics of a Wigner random matrix H and its minor H and find that the fluctuation is much smaller than the fluctuations of the individual linear statistics, as a consequence of the strong correlation between the eigenvalues of H and H. In particular, our theorem identifies the fluctuation of Kerov's rectangular Young diagrams, defined by the interlacing eigenvalues ofH and H, around their asymptotic shape, the Vershik'Kerov'Logan'Shepp curve. Young diagrams equipped with the Plancherel measure follow the same limiting shape. For this, algebraically motivated, ensemble a CLT has been obtained in Ivanov and Olshanski [20] which is structurally similar to our result but the variance is different, indicating that the analogy between the two models has its limitations. Moreover, our theorem shows that Borodin's result [7] on the convergence of the spectral distribution of Wigner matrices to a Gaussian free field also holds in derivative sense.
AU - Erdös, László
AU - Schröder, Dominik J
ID - 1012
IS - 10
JF - International Mathematics Research Notices
SN - 10737928
TI - Fluctuations of rectangular young diagrams of interlacing wigner eigenvalues
VL - 2018
ER -
TY - JOUR
AB - Let S be a positivity-preserving symmetric linear operator acting on bounded functions. The nonlinear equation -1/m=z+Sm with a parameter z in the complex upper half-plane ℍ has a unique solution m with values in ℍ. We show that the z-dependence of this solution can be represented as the Stieltjes transforms of a family of probability measures v on ℝ. Under suitable conditions on S, we show that v has a real analytic density apart from finitely many algebraic singularities of degree at most 3. Our motivation comes from large random matrices. The solution m determines the density of eigenvalues of two prominent matrix ensembles: (i) matrices with centered independent entries whose variances are given by S and (ii) matrices with correlated entries with a translation-invariant correlation structure. Our analysis shows that the limiting eigenvalue density has only square root singularities or cubic root cusps; no other singularities occur.
AU - Ajanki, Oskari H
AU - Krüger, Torben H
AU - Erdös, László
ID - 721
IS - 9
JF - Communications on Pure and Applied Mathematics
SN - 00103640
TI - Singularities of solutions to quadratic vector equations on the complex upper half plane
VL - 70
ER -