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Gap probabilities for edge intervals in finite Gaussian and Jacobi unitary matrix ensembles

N S Witte1, P J Forrester2 and Christopher M Cosgrove3

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Recommended by A Kupiainen

The probabilities for gaps in the eigenvalue spectrum of the finite-dimensional N × N random matrix Hermite and Jacobi unitary ensembles on some single and disconnected double intervals are found. These are cases where a reflection symmetry exists and the probability factors into two other related probabilities, defined on single intervals. Our investigation uses the system of partial differential equations arising from the Fredholm determinant expression for the gap probability and the differential-recurrence equations satisfied by Hermite and Jacobi orthogonal polynomials. In our study we find second- and third-order nonlinear ordinary differential equations defining the probabilities in the general N case. For N = 1 and 2 the probabilities and thus the solution of the equations are given explicitly. An asymptotic expansion for large gap size is obtained from the equation in the Hermite case, and also studied is the scaling at the edge of the Hermite spectrum as N → , and the Jacobi to Hermite limit; these last two studies make correspondence to other cases reported here or known previously. Moreover, the differential equation arising in the Hermite ensemble is solved in terms of an explicit rational function of a Painlevé-V transcendent and its derivative, and an analogous solution is provided in the two Jacobi cases but this time involving a Painlevé-VI transcendent.


PACS

02.50.Cw Probability theory

02.10.De Algebraic structures and number theory

02.60.Lj Ordinary and partial differential equations; boundary value problems

02.30.Hq Ordinary differential equations

02.10.Yn Matrix theory

02.30.Jr Partial differential equations

MSC

15A52 Random matrices

34A34 Nonlinear equations and systems, general

Subjects

Mathematical physics

Computational physics

Dates

Issue 5 (September 2000)

Received 2 November 1999



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