Extremal singular values of random matrix products and Brownian motion on GL(N, C)

• 成果类型: Article
• 署名作者: Ahn, Andrew
• 署名单位: Cornell University
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-023-01217-5
• 发表日期: 2023
• 页码: 949-997
• 关键词: multiplicative convolution; lyapunov exponents; unitary groups; UNIVERSALITY; fluctuations; REPRESENTATIONS; THEOREMS; spectrum; LIMITS

摘要

We establish universality for the largest singular values of products of random matrices with right unitarily invariant distributions, in a regime where the number of matrix factors and size of thematrices tend to infinity simultaneously. The behavior of the largest log singular values coincides with the large N limit of Dyson Brownian motion with a characteristic drift vector consisting of equally spaced coordinates, which matches the large N limit of the largest log singular values of Brownian motion on GL(N, C). Our method utilizes the formalism of multivariate Bessel generating functions, also known as spherical transforms, to obtain and analyze combinatorial expressions for observables of these processes.