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Tracy–Widom method for Jánossy density and joint distribution of extremal eigenvalues of random matrices
Ist Teil von
Progress of theoretical and experimental physics, 2021-11, Vol.2021 (11)
Ort / Verlag
Oxford University Press
Erscheinungsjahr
2021
Quelle
EZB Electronic Journals Library
Beschreibungen/Notizen
Abstract
The Jánossy density for a determinantal point process is the probability density that an interval $I$ contains exactly $p$ points except for those at $k$ designated loci. The Jánossy density associated with an integrable kernel $\mathbf{K}\doteq (\varphi(x)\psi(y)-\psi(x)\varphi(y))/(x-y)$ is shown to be expressed as a Fredholm determinant $\mathrm{Det}(\mathbb{I}-\tilde{\mathbf{K}}|_I)$ of a transformed kernel $\tilde{\mathbf{K}}\doteq (\tilde{\varphi}(x)\tilde{\psi}(y)-\tilde{\psi}(x)\tilde{\varphi}(y))/(x-y)$. We observe that $\tilde{\mathbf{K}}$ satisfies Tracy and Widom’s criteria if $\mathbf{K}$ does, because of the structure that the map $(\varphi, \psi)\mapsto (\tilde{\varphi}, \tilde{\psi})$ is a meromorphic $\mathrm{SL}(2,\mathbb{R})$ gauge transformation between covariantly constant sections. This observation enables application of the Tracy–Widom method [7] to Jánossy densities, expressed in terms of a solution to a system of differential equations in the endpoints of the interval. Our approach does not explicitly refer to isomonodromic systems associated with Painlevé equations employed in the preceding works. As illustrative examples we compute Jánossy densities with $k=1, p=0$ for Airy and Bessel kernels, related to the joint distributions of the two largest eigenvalues of random Hermitian matrices and of the two smallest singular values of random complex matrices.