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arxiv: 1906.01561 · v1 · pith:X5MPCOMPnew · submitted 2019-06-04 · 🧮 math.PR · math-ph· math.MP

How much can the eigenvalues of a random Hermitian matrix fluctuate?

classification 🧮 math.PR math-phmath.MP
keywords eigenvalueshermitianrandomapproachensembleestimatesjumplarge
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The goal of this article is to study how much the eigenvalues of large Hermitian random matrices deviate from certain deterministic locations -- or in other words, to investigate optimal rigidity estimates for the eigenvalues. We do this in the setting of one-cut regular unitary invariant ensembles of random Hermitian matrices -- the Gaussian Unitary Ensemble being the prime example of such an ensemble. Our approach to this question combines extreme value theory of log-correlated stochastic processes, and in particular the theory of multiplicative chaos, with asymptotic analysis of large Hankel determinants with Fisher-Hartwig symbols of various types, such as merging jump singularities, size-dependent impurities, and jump singularities approaching the edge of the spectrum. In addition to optimal rigidity estimates, our approach sheds light on the fractal geometry of the eigenvalue counting function.

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