THE LARGEST REAL EIGENVALUE IN THE REAL GINIBRE ENSEMBLE AND ITS RELATION TO THE ZAKHAROV-SHABAT SYSTEM

• 成果类型: Article
• 署名作者: Baik, Jinho; Bothner, Thomas
• 署名单位: University of Michigan System; University of Michigan; University of London; King's College London
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/19-AAP1509
• 发表日期: 2020
• 页码: 460-501
• 关键词: fredholm determinants; RANDOM MATRICES; solvability

摘要

The real Ginibre ensemble consists of n x n real matrices X whose entries are i.i.d. standard normal random variables. In sharp contrast to the complex and quaternion Ginibre ensemble, real eigenvalues in the real Ginibre ensemble attain positive likelihood. In turn, the spectral radius R-n = max(1 <= j <= n) vertical bar z(j)(X)vertical bar of the eigenvalues z(j)(X) is an element of C of a real Ginibre matrix X follows a different limiting law (as n -> infinity) for z(j) (X) is an element of R than for z(j) (X) is an element of C\R. Building on previous work by Rider and Sinclair (Ann. Appl. Probab. 24 (2014) 1621-1651) and Poplavskyi, Tribe and Zaboronski (Ann. Appl. Probab. 27 (2017) 1395-1413), we show that the limiting distribution of max(j:zj is an element of R) z(j)(X) admits a closed-form expression in terms of a distinguished solution to an inverse scattering problem for the Zakharov-Shabat system. As byproducts of our analysis, we also obtain a new determinantal representation for the limiting distribution of max(j:zj is an element of R) z(j)(X) and extend recent tail estimates in (Ann. Appl. Probab. 27 (2017) 1395-1413) via nonlinear steepest descent techniques.