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102
LevelSpacing Distributions and the Airy Kernel
 COMMUNICATIONS IN MATHEMATICAL PHYSICS
, 1994
"... Scaling levelspacing distribution functions in the "bulk of the spectrum" in random matrix models of N x N hermitian matrices and then going to the limit N — » oo leads to the Fredholm determinant of the sine kernel sinπ(x — y)/π(x — y). Similarly a scaling limit at the "edge o ..."
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Cited by 295 (24 self)
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Scaling levelspacing distribution functions in the "bulk of the spectrum" in random matrix models of N x N hermitian matrices and then going to the limit N — » oo leads to the Fredholm determinant of the sine kernel sinπ(x — y)/π(x — y). Similarly a scaling limit at the &quot;edge of the spectrum &quot; leads to the Airy kernel [Ai(x) Ai(y) — Ai (x) Ai(y)]/(x — y). In this paper we derive analogues for this Airy kernel of the following properties of the sine kernel: the completely integrable system of P.D.E.'s found by Jimbo, Miwa, Mori, and Sato; the expression, in the case of a single interval, of the Fredholm determinant in terms of a Painleve transcendent; the existence of a commuting differential operator; and the fact that this operator can be used in the derivation of asymptotics, for general n, of the probability that an interval contains precisely n eigenvalues.
On Orthogonal and Symplectic Matrix Ensembles
 MATHEMATICAL PHYSICS
, 1996
"... The focus of this paper is on the probability, Eβ(Q; J), that a set J consisting of a finite union of intervals contains no eigenvalues for the finite N Gaussian Orthogonal (β = 1) and Gaussian Symplectic (β = 4) Ensembles and their respective scaling limits both in the bulk and at the edge of the ..."
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Cited by 185 (10 self)
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The focus of this paper is on the probability, Eβ(Q; J), that a set J consisting of a finite union of intervals contains no eigenvalues for the finite N Gaussian Orthogonal (β = 1) and Gaussian Symplectic (β = 4) Ensembles and their respective scaling limits both in the bulk and at the edge of the spectrum. We show how these probabilities can be expressed in terms of quantities arising in the corresponding unitary (β = 2) ensembles. Our most explicit new results concern the distribution of the largest eigenvalue in each of these ensembles. In the edge scaling limit we show that these largest eigenvalue distributions are given in terms of a particular Painleve II function.
Fredholm Determinants, Differential Equations and Matrix Models
 COMMUNICATIONS IN MATHEMATICAL PHYSICS
, 1994
"... Orthogonal polynomial random matrix models of N x N hermitian matrices lead to Fredholm determinants of integral operators with kernel of the form (φ(x)φ(y) — ψ(x)φ(y))/x — y. This paper is concerned with the Fredholm determinants of integral operators having kernel of this form and where the und ..."
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Cited by 107 (19 self)
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Orthogonal polynomial random matrix models of N x N hermitian matrices lead to Fredholm determinants of integral operators with kernel of the form (φ(x)φ(y) — ψ(x)φ(y))/x — y. This paper is concerned with the Fredholm determinants of integral operators having kernel of this form and where the underlying set is the union of intervals J = [J ™ =1 (βiju Λ 2J) The emphasis is on the determinants thought of as functions of the endpoints a k. We show that these Fredholm determinants with kernels of the general form described above are expressible in terms of solutions of systems of PDE's as long as φ and φ satisfy a certain type of differentiation formula. The (φ, φ) pairs for the sine, Airy, and Bessel kernels satisfy such relations, as do the pairs which arise in the finite N Hermite, Laguerre and Jacobi ensembles and in matrix models of 2D quantum gravity. Therefore we shall be able to write down the systems of PDE's for these ensembles as special cases of the general system. An analysis of these equations will lead to explicit representations in terms of Painleve transcendents for the distribution functions of the largest and smallest eigenvalues in the finite N Hermite and Laguerre ensembles, and for the distribution functions of the largest and smallest singular values of rectangular matrices (of arbitrary dimensions) whose entries are independent identically distributed complex Gaussian variables. There is also an exponential variant of the kernel in which the denominator is replaced by e bx — e by, where b is an arbitrary complex number. We shall find an analogous system of differential equations in this setting. If b = i then we can interpret our operator as acting on (a subset of) the unit circle in the complex plane. As an application of this we shall write down a system of PDE's for Dyson's circular ensemble of N x N unitary matrices, and then an ODE if J is an arc of the circle.
A.: Differential equations for quantum correlation functions
 In: Proceedings of the Conference on YangBaxter Equations, Conformal Invariance and Integrability in Statistical Mechanics and Field Theory
, 1990
"... The quantum nonlinear Schrodinger equation (one dimensional Bose gas) is considered. Classification of representations of Yangians with highest rveight vector permits us to represent correlation function as a determinant of a Fredholm integrai operator. This integral operator can be treated as the ..."
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Cited by 65 (5 self)
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The quantum nonlinear Schrodinger equation (one dimensional Bose gas) is considered. Classification of representations of Yangians with highest rveight vector permits us to represent correlation function as a determinant of a Fredholm integrai operator. This integral operator can be treated as the GelfandLevitan operator for some new differentiai equation. These differential equations are written down in the paper. They generalize the fifth Painlive transcendent, which describe equal time, zero temperature correlation function of an impenetrable Bose gas. These differential equations drive the quantum correlation functions of the Bose gas. The Riemann problem, associated with these differential equations permits us to calculate asymptotics of quantum conelation functions. Quantum correlation function (Fredholm determinant) plays the role of z functions of these new differential equations. For the impenetrable Bose gas space and time dependent correlation function is equal to r function of the nonlinear Schrodinger equation itself. For a penetrable Bose gas (finite coupling constant c) the correlator is rfunction of an integrodifferentiation equation.
Application of the τfunction theory of Painlevé equations to random matrices
 PV, PIII, the LUE, JUE and CUE
, 2002
"... Okamoto has obtained a sequence of τfunctions 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 equation, we show that the determinant can be reexpressed as multidim ..."
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Cited by 45 (18 self)
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Okamoto has obtained a sequence of τfunctions 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 equation, we show that the determinant can be reexpressed as multidimensional integrals, and these in turn can be identified with averages over the eigenvalue probability density function for the Jacobi unitary ensemble (JUE), and the Cauchy unitary ensemble (CyUE) (the latter being equivalent to the circular Jacobi unitary ensemble (cJUE)). Hence these averages, which depend on four continuous parameters and the discrete parameter N, can be characterised as the solution of the second order second degree equation satisfied by the Hamiltonian in the PVI theory. We show that the Hamiltonian also satisfies an equation related to the discrete PV equation, thus providing an alternative characterisation in terms of a difference equation. In the case of the cJUE, the spectrum singularity scaled limit is considered, and the evaluation of a certain four parameter average is given in terms of the general PV transcendent in σ form. Applications are given to the evaluation of the spacing distribution for the circular unitary ensemble (CUE) and its scaled counterpart, giving formulas more succinct than those known previously; to expressions for the hard edge gap probability in the scaled Laguerre orthogonal ensemble (LOE) (parameter a a nonnegative
The Spectrum of Coupled Random Matrices
, 1999
"... this paper, we will use the following operators e ..."
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Cited by 40 (10 self)
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this paper, we will use the following operators e
Orthogonal polynomial ensembles in probability theory
 Prob. Surv
, 2005
"... Abstract: We survey a number of models from physics, statistical mechanics, probability theory and combinatorics, which are each described in terms of an orthogonal polynomial ensemble. The most prominent example is apparently the Hermite ensemble, the eigenvalue distribution of the Gaussian Unitary ..."
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Cited by 32 (1 self)
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Abstract: We survey a number of models from physics, statistical mechanics, probability theory and combinatorics, which are each described in terms of an orthogonal polynomial ensemble. The most prominent example is apparently the Hermite ensemble, the eigenvalue distribution of the Gaussian Unitary Ensemble (GUE), and other wellknown ensembles known in random matrix theory like the Laguerre ensemble for the spectrum of Wishart matrices. In recent years, a number of further interesting models were found to lead to orthogonal polynomial ensembles, among which the corner growth model, directed last passage percolation, the PNG droplet, noncolliding random processes, the length of the longest increasing subsequence of a random permutation, and others. Much attention has been paid to universal classes of asymptotic behaviors of these models in the limit of large particle numbers, in particular the spacings between the particles and the fluctuation behavior of the largest particle. Computer simulations suggest that the connections go even farther
Level Spacing Distributions and the Bessel Kernel
 MATHEMATICAL PHYSICS
, 1994
"... Scaling models of random N x N hermitian matrices and passing to the limit N » oo leads to integral operators whose Fredholm determinants describe the statistics of the spacing of the eigenvalues of hermitian matrices of large order. For the Gaussian Unitary Ensemble, and for many others ' a ..."
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Cited by 32 (1 self)
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Scaling models of random N x N hermitian matrices and passing to the limit N » oo leads to integral operators whose Fredholm determinants describe the statistics of the spacing of the eigenvalues of hermitian matrices of large order. For the Gaussian Unitary Ensemble, and for many others ' as well, the kernel one obtains by scaling in the &quot;bulk &quot; of the spectrum is the &quot;sine kernel&quot; — —. Rescaling the GUE at the &quot;edge &quot; of the spectrum leads to the kernel π(x y) M(x)M'(y) A.. f A. f., where Ai is the Airy function. In previous work we xy found several analogies between properties of this &quot;Airy kernel &quot; and known properties of the sine kernel: a system of partial differential equations associated with the logarithmic differential of the Fredholm determinant when the underlying domain is a union of intervals; a representation of the Fredholm determinant in terms of a Painleve transcendent in the case of a single interval; and, also in this case, asymptotic expansions for these determinants and related quantities, achieved with the help of a differential operator which commutes with the integral operator. In this paper we show that there are completely analogous properties for a class of kernels which arise when one rescales the Laguerre or Jacobi ensembles at the edge of the spectrum, namely 2(x y) where J α(z) is the Bessel function of order α. In the cases α = +? these become, after a variable change, the kernels which arise when taking scaling limits in the bulk of the spectrum for the Gaussian orthogonal and symplectic ensembles. In particular, an asymptotic expansion we derive will generalize ones found by Dyson for the Fredholm determinants of these kernels.
Random words, Toeplitz determinants and integrable systems
 I
, 2001
"... Abstract. It is proved that the limiting distribution of the length of the longest weakly increasing subsequence in an inhomogeneous random word is related to the distribution function for the eigenvalues of a certain direct sum of Gaussian unitary ensembles subject to an overall constraint that the ..."
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Cited by 28 (5 self)
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Abstract. It is proved that the limiting distribution of the length of the longest weakly increasing subsequence in an inhomogeneous random word is related to the distribution function for the eigenvalues of a certain direct sum of Gaussian unitary ensembles subject to an overall constraint that the eigenvalues lie in a hyperplane. 1.
PDEs for the joint distributions of the Dyson, Airy and Sine processes
 Ann. Probab
, 2005
"... In a celebrated paper, Dyson shows that the spectrum of a n × n random Hermitian matrix, diffusing according to an OrnsteinUhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge and bulk scalings for Hermitian random matrices, applied to the ..."
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Cited by 25 (5 self)
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In a celebrated paper, Dyson shows that the spectrum of a n × n random Hermitian matrix, diffusing according to an OrnsteinUhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge and bulk scalings for Hermitian random matrices, applied to the Dyson process, lead to the Airy and Sine processes. In particular, the Airy process is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian motion, when the number of particles gets large, with space and time appropriately rescaled. In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy Process at two different times. Similarly we find a PDE satisfied by the joint distribution of the Sine process. This hinges on finding a PDE for the joint distribution of the Dyson process, which itself is based on the joint probability