The eigenvalue density for members of the Gaussian orthogonal and unitary ensembles follows the Wigner semicircle law. If the Gaussian entries are all shifted by a constant amount s (2N)1 2, where N is the size of the matrix, in the large N limit a single eigenvalue will separate from the support of the Wigner semicircle provided s>1. In this study, using an asymptotic analysis of the secular equation for the eigenvalue condition, we compare this effect to analogous effects occurring in general variance Wishart matrices and matrices from the shifted mean chiral ensemble. We undertake an analogous comparative study of eigenvalue separation properties when the sizes of the matrices are fixed and s→∞, and higher rank analogs of this setting. This is done using exact expressions for eigenvalue probability densities in terms of generalized hypergeometric functions and using the interpretation of the latter as a Green function in the Dyson Brownian motion model. For the shifted mean Gaussian unitary ensemble an...
The eigenvalue probability density function ) is closely related to the Dyson Brownian motion model @cite_1 in random matrix theory (see Section 3 below). It is also referred to as a Gaussian ensemble with a source. In this context the case of @math having a finite rank has been studied by a number of authors @cite_26 @cite_21 @cite_10 @cite_35 . However our use of this differs in that we will keep @math fixed, and exhibit phase separation as a function of the perturbing parameter.
@cite_35 @cite_26 @cite_21 @cite_1 @cite_10
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This text is about spiked models of non Hermitian random matrices. More specifically, we consider matrices of the type @math , where the rank of @math stays bounded as the dimension goes to infinity and where the matrix @math is a non Hermitian random matrix, satisfying an isotropy hypothesis: its distribution is invariant under the left and right actions of the unitary group. The macroscopic eigenvalue distribution of such matrices is governed by the so called Single Ring Theorem, due to Guionnet, Krishnapur and Zeitouni. We first prove that if @math has some eigenvalues out of the maximal circle of the single ring, then @math has some eigenvalues (called outliers) in the neighborhood of those of @math , which is not the case for the eigenvalues of @math in the inner cycle of the single ring. Then, we study the fluctuations of the outliers of @math around the eigenvalues of @math and prove that they are distributed as the eigenvalues of some finite dimensional random matrices. Such facts had already been noticed for Hermitian models. More surprising facts are that outliers can here have very various rates of convergence to their limits (depending on the Jordan Canonical Form of @math ) and that some correlations can appear between outliers at a macroscopic distance from each other (a fact already noticed by Knowles and Yin in the Hermitian case, but only in the case of non Gaussian models, whereas spiked Gaussian matrices belong to our model and can have such correlated outliers). Our first result generalizes a previous result by Tao for matrices with i.i.d. entries, whereas the second one (about the fluctuations) is new. We study various statistics related to the eigenvalues and eigenfunctions of random Hamiltonians in the localized regime. Consider a random Hamiltonian at an energy @math in the localized phase. Assume the density of states function is not too flat near @math . Restrict it to some large cube @math . Consider now @math , a small energy interval centered at @math that asymptotically contains infintely many eigenvalues when the volume of the cube @math grows to infinity. We prove that, with probability one in the large volume limit, the eigenvalues of the random Hamiltonian restricted to the cube inside the interval are given by independent identically distributed random variables, up to an error of size an arbitrary power of the volume of the cube. As a consequence, we derive * uniform Poisson behavior of the locally unfolded eigenvalues, * a.s. Poisson behavior of the joint distibutions of the unfolded energies and unfolded localization centers in a large range of scales. * the distribution of the unfolded level spacings, locally and globally, * the distribution of the unfolded localization centers, locally and globally. We continue the study of the Hermitian random matrix ensemble with external source Open image in new window where A has two distinct eigenvalues ±a of equal multiplicity. This model exhibits a phase transition for the value a=1, since the eigenvalues of M accumulate on two intervals for a>1, and on one interval for 0 1 was treated in Part I, where it was proved that local eigenvalue correlations have the universal limiting behavior which is known for unitarily invariant random matrices, that is, limiting eigenvalue correlations are expressed in terms of the sine kernel in the bulk of the spectrum, and in terms of the Airy kernel at the edge. In this paper we establish the same results for the case 0<a<1. As in Part I we apply the Deift Zhou steepest descent analysis to a 3×3-matrix Riemann-Hilbert problem. Due to the different structure of an underlying Riemann surface, the analysis includes an additional step involving a global opening of lenses, which is a new phenomenon in the steepest descent analysis of Riemann-Hilbert problems. A new type of Coulomb gas is defined, consisting of n point charges executing Brownian motions under the influence of their mutual electrostatic repulsions. It is proved that this gas gives an exact mathematical description of the behavior of the eigenvalues of an (n × n) Hermitian matrix, when the elements of the matrix execute independent Brownian motions without mutual interaction. By a suitable choice of initial conditions, the Brownian motion leads to an ensemble of random matrices which is a good statistical model for the Hamiltonian of a complex system possessing approximate conservation laws. The development with time of the Coulomb gas represents the statistical behavior of the eigenvalues of a complex system as the strength of conservation‐destroying interactions is gradually increased. A virial theorem'' is proved for the Brownian‐motion gas, and various properties of the stationary Coulomb gas are deduced as corollaries.