@article{10405, abstract = {We consider large non-Hermitian random matrices X with complex, independent, identically distributed centred entries and show that the linear statistics of their eigenvalues are asymptotically Gaussian for test functions having 2+ϵ derivatives. Previously this result was known only for a few special cases; either the test functions were required to be analytic [72], or the distribution of the matrix elements needed to be Gaussian [73], or at least match the Gaussian up to the first four moments [82, 56]. We find the exact dependence of the limiting variance on the fourth cumulant that was not known before. The proof relies on two novel ingredients: (i) a local law for a product of two resolvents of the Hermitisation of X with different spectral parameters and (ii) a coupling of several weakly dependent Dyson Brownian motions. These methods are also the key inputs for our analogous results on the linear eigenvalue statistics of real matrices X that are presented in the companion paper [32]. }, author = {Cipolloni, Giorgio and Erdös, László and Schröder, Dominik J}, issn = {1097-0312}, journal = {Communications on Pure and Applied Mathematics}, number = {5}, pages = {946--1034}, publisher = {Wiley}, title = {{Central limit theorem for linear eigenvalue statistics of non-Hermitian random matrices}}, doi = {10.1002/cpa.22028}, volume = {76}, year = {2023}, } @article{8601, abstract = {We consider large non-Hermitian real or complex random matrices X with independent, identically distributed centred entries. We prove that their local eigenvalue statistics near the spectral edge, the unit circle, coincide with those of the Ginibre ensemble, i.e. when the matrix elements of X are Gaussian. This result is the non-Hermitian counterpart of the universality of the Tracy–Widom distribution at the spectral edges of the Wigner ensemble.}, author = {Cipolloni, Giorgio and Erdös, László and Schröder, Dominik J}, issn = {14322064}, journal = {Probability Theory and Related Fields}, publisher = {Springer Nature}, title = {{Edge universality for non-Hermitian random matrices}}, doi = {10.1007/s00440-020-01003-7}, year = {2021}, } @article{15013, abstract = {We consider random n×n matrices X with independent and centered entries and a general variance profile. We show that the spectral radius of X converges with very high probability to the square root of the spectral radius of the variance matrix of X when n tends to infinity. We also establish the optimal rate of convergence, that is a new result even for general i.i.d. matrices beyond the explicitly solvable Gaussian cases. The main ingredient is the proof of the local inhomogeneous circular law [arXiv:1612.07776] at the spectral edge.}, author = {Alt, Johannes and Erdös, László and Krüger, Torben H}, issn = {2690-1005}, journal = {Probability and Mathematical Physics}, number = {2}, pages = {221--280}, publisher = {Mathematical Sciences Publishers}, title = {{Spectral radius of random matrices with independent entries}}, doi = {10.2140/pmp.2021.2.221}, volume = {2}, year = {2021}, } @phdthesis{9022, abstract = {In the first part of the thesis we consider Hermitian random matrices. Firstly, we consider sample covariance matrices XX∗ with X having independent identically distributed (i.i.d.) centred entries. We prove a Central Limit Theorem for differences of linear statistics of XX∗ and its minor after removing the first column of X. Secondly, we consider Wigner-type matrices and prove that the eigenvalue statistics near cusp singularities of the limiting density of states are universal and that they form a Pearcey process. Since the limiting eigenvalue distribution admits only square root (edge) and cubic root (cusp) singularities, this concludes the third and last remaining case of the Wigner-Dyson-Mehta universality conjecture. The main technical ingredients are an optimal local law at the cusp, and the proof of the fast relaxation to equilibrium of the Dyson Brownian motion in the cusp regime. In the second part we consider non-Hermitian matrices X with centred i.i.d. entries. We normalise the entries of X to have variance N −1. It is well known that the empirical eigenvalue density converges to the uniform distribution on the unit disk (circular law). In the first project, we prove universality of the local eigenvalue statistics close to the edge of the spectrum. This is the non-Hermitian analogue of the TracyWidom universality at the Hermitian edge. Technically we analyse the evolution of the spectral distribution of X along the Ornstein-Uhlenbeck flow for very long time (up to t = +∞). In the second project, we consider linear statistics of eigenvalues for macroscopic test functions f in the Sobolev space H2+ϵ and prove their convergence to the projection of the Gaussian Free Field on the unit disk. We prove this result for non-Hermitian matrices with real or complex entries. The main technical ingredients are: (i) local law for products of two resolvents at different spectral parameters, (ii) analysis of correlated Dyson Brownian motions. In the third and final part we discuss the mathematically rigorous application of supersymmetric techniques (SUSY ) to give a lower tail estimate of the lowest singular value of X − z, with z ∈ C. More precisely, we use superbosonisation formula to give an integral representation of the resolvent of (X − z)(X − z)∗ which reduces to two and three contour integrals in the complex and real case, respectively. The rigorous analysis of these integrals is quite challenging since simple saddle point analysis cannot be applied (the main contribution comes from a non-trivial manifold). Our result improves classical smoothing inequalities in the regime |z| ≈ 1; this result is essential to prove edge universality for i.i.d. non-Hermitian matrices.}, author = {Cipolloni, Giorgio}, issn = {2663-337X}, pages = {380}, publisher = {Institute of Science and Technology Austria}, title = {{Fluctuations in the spectrum of random matrices}}, doi = {10.15479/AT:ISTA:9022}, year = {2021}, } @article{9550, abstract = {We prove that the energy of any eigenvector of a sum of several independent large Wigner matrices is equally distributed among these matrices with very high precision. This shows a particularly strong microcanonical form of the equipartition principle for quantum systems whose components are modelled by Wigner matrices. }, author = {Bao, Zhigang and Erdös, László and Schnelli, Kevin}, issn = {20505094}, journal = {Forum of Mathematics, Sigma}, publisher = {Cambridge University Press}, title = {{Equipartition principle for Wigner matrices}}, doi = {10.1017/fms.2021.38}, volume = {9}, year = {2021}, } @article{9912, abstract = {In the customary random matrix model for transport in quantum dots with M internal degrees of freedom coupled to a chaotic environment via 𝑁≪𝑀 channels, the density 𝜌 of transmission eigenvalues is computed from a specific invariant ensemble for which explicit formula for the joint probability density of all eigenvalues is available. We revisit this problem in the large N regime allowing for (i) arbitrary ratio 𝜙:=𝑁/𝑀≤1; and (ii) general distributions for the matrix elements of the Hamiltonian of the quantum dot. In the limit 𝜙→0, we recover the formula for the density 𝜌 that Beenakker (Rev Mod Phys 69:731–808, 1997) has derived for a special matrix ensemble. We also prove that the inverse square root singularity of the density at zero and full transmission in Beenakker’s formula persists for any 𝜙<1 but in the borderline case 𝜙=1 an anomalous 𝜆−2/3 singularity arises at zero. To access this level of generality, we develop the theory of global and local laws on the spectral density of a large class of noncommutative rational expressions in large random matrices with i.i.d. entries.}, author = {Erdös, László and Krüger, Torben H and Nemish, Yuriy}, issn = {1424-0661}, journal = {Annales Henri Poincaré }, pages = {4205–4269}, publisher = {Springer Nature}, title = {{Scattering in quantum dots via noncommutative rational functions}}, doi = {10.1007/s00023-021-01085-6}, volume = {22}, year = {2021}, } @article{10862, abstract = {We consider the sum of two large Hermitian matrices A and B with a Haar unitary conjugation bringing them into a general relative position. We prove that the eigenvalue density on the scale slightly above the local eigenvalue spacing is asymptotically given by the free additive convolution of the laws of A and B as the dimension of the matrix increases. This implies optimal rigidity of the eigenvalues and optimal rate of convergence in Voiculescu's theorem. Our previous works [4], [5] established these results in the bulk spectrum, the current paper completely settles the problem at the spectral edges provided they have the typical square-root behavior. The key element of our proof is to compensate the deterioration of the stability of the subordination equations by sharp error estimates that properly account for the local density near the edge. Our results also hold if the Haar unitary matrix is replaced by the Haar orthogonal matrix.}, author = {Bao, Zhigang and Erdös, László and Schnelli, Kevin}, issn = {0022-1236}, journal = {Journal of Functional Analysis}, keywords = {Analysis}, number = {7}, publisher = {Elsevier}, title = {{Spectral rigidity for addition of random matrices at the regular edge}}, doi = {10.1016/j.jfa.2020.108639}, volume = {279}, year = {2020}, } @article{7512, abstract = {We consider general self-adjoint polynomials in several independent random matrices whose entries are centered and have the same variance. We show that under certain conditions the local law holds up to the optimal scale, i.e., the eigenvalue density on scales just above the eigenvalue spacing follows the global density of states which is determined by free probability theory. We prove that these conditions hold for general homogeneous polynomials of degree two and for symmetrized products of independent matrices with i.i.d. entries, thus establishing the optimal bulk local law for these classes of ensembles. In particular, we generalize a similar result of Anderson for anticommutator. For more general polynomials our conditions are effectively checkable numerically.}, author = {Erdös, László and Krüger, Torben H and Nemish, Yuriy}, issn = {10960783}, journal = {Journal of Functional Analysis}, number = {12}, publisher = {Elsevier}, title = {{Local laws for polynomials of Wigner matrices}}, doi = {10.1016/j.jfa.2020.108507}, volume = {278}, year = {2020}, } @article{6184, abstract = {We prove edge universality for a general class of correlated real symmetric or complex Hermitian Wigner matrices with arbitrary expectation. Our theorem also applies to internal edges of the self-consistent density of states. In particular, we establish a strong form of band rigidity which excludes mismatches between location and label of eigenvalues close to internal edges in these general models.}, author = {Alt, Johannes and Erdös, László and Krüger, Torben H and Schröder, Dominik J}, issn = {0091-1798}, journal = {Annals of Probability}, number = {2}, pages = {963--1001}, publisher = {Institute of Mathematical Statistics}, title = {{Correlated random matrices: Band rigidity and edge universality}}, doi = {10.1214/19-AOP1379}, volume = {48}, year = {2020}, } @article{6185, abstract = {For complex Wigner-type matrices, i.e. Hermitian random matrices with independent, not necessarily identically distributed entries above the diagonal, we show that at any cusp singularity of the limiting eigenvalue distribution the local eigenvalue statistics are universal and form a Pearcey process. Since the density of states typically exhibits only square root or cubic root cusp singularities, our work complements previous results on the bulk and edge universality and it thus completes the resolution of the Wigner–Dyson–Mehta universality conjecture for the last remaining universality type in the complex Hermitian class. Our analysis holds not only for exact cusps, but approximate cusps as well, where an extended Pearcey process emerges. As a main technical ingredient we prove an optimal local law at the cusp for both symmetry classes. This result is also the key input in the companion paper (Cipolloni et al. in Pure Appl Anal, 2018. arXiv:1811.04055) where the cusp universality for real symmetric Wigner-type matrices is proven. The novel cusp fluctuation mechanism is also essential for the recent results on the spectral radius of non-Hermitian random matrices (Alt et al. in Spectral radius of random matrices with independent entries, 2019. arXiv:1907.13631), and the non-Hermitian edge universality (Cipolloni et al. in Edge universality for non-Hermitian random matrices, 2019. arXiv:1908.00969).}, author = {Erdös, László and Krüger, Torben H and Schröder, Dominik J}, issn = {1432-0916}, journal = {Communications in Mathematical Physics}, pages = {1203--1278}, publisher = {Springer Nature}, title = {{Cusp universality for random matrices I: Local law and the complex Hermitian case}}, doi = {10.1007/s00220-019-03657-4}, volume = {378}, year = {2020}, } @article{6488, abstract = {We prove a central limit theorem for the difference of linear eigenvalue statistics of a sample covariance matrix W˜ and its minor W. We find that the fluctuation of this difference is much smaller than those of the individual linear statistics, as a consequence of the strong correlation between the eigenvalues of W˜ and W. Our result identifies the fluctuation of the spatial derivative of the approximate Gaussian field in the recent paper by Dumitru and Paquette. Unlike in a similar result for Wigner matrices, for sample covariance matrices, the fluctuation may entirely vanish.}, author = {Cipolloni, Giorgio and Erdös, László}, issn = {20103271}, journal = {Random Matrices: Theory and Application}, number = {3}, publisher = {World Scientific Publishing}, title = {{Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices}}, doi = {10.1142/S2010326320500069}, volume = {9}, year = {2020}, } @article{15063, abstract = {We consider the least singular value of a large random matrix with real or complex i.i.d. Gaussian entries shifted by a constant z∈C. We prove an optimal lower tail estimate on this singular value in the critical regime where z is around the spectral edge, thus improving the classical bound of Sankar, Spielman and Teng (SIAM J. Matrix Anal. Appl. 28:2 (2006), 446–476) for the particular shift-perturbation in the edge regime. Lacking Brézin–Hikami formulas in the real case, we rely on the superbosonization formula (Comm. Math. Phys. 283:2 (2008), 343–395).}, author = {Cipolloni, Giorgio and Erdös, László and Schröder, Dominik J}, issn = {2690-1005}, journal = {Probability and Mathematical Physics}, keywords = {General Medicine}, number = {1}, pages = {101--146}, publisher = {Mathematical Sciences Publishers}, title = {{Optimal lower bound on the least singular value of the shifted Ginibre ensemble}}, doi = {10.2140/pmp.2020.1.101}, volume = {1}, year = {2020}, } @article{9104, abstract = {We consider the free additive convolution of two probability measures μ and ν on the real line and show that μ ⊞ v is supported on a single interval if μ and ν each has single interval support. Moreover, the density of μ ⊞ ν is proven to vanish as a square root near the edges of its support if both μ and ν have power law behavior with exponents between −1 and 1 near their edges. In particular, these results show the ubiquity of the conditions in our recent work on optimal local law at the spectral edges for addition of random matrices [5].}, author = {Bao, Zhigang and Erdös, László and Schnelli, Kevin}, issn = {15658538}, journal = {Journal d'Analyse Mathematique}, pages = {323--348}, publisher = {Springer Nature}, title = {{On the support of the free additive convolution}}, doi = {10.1007/s11854-020-0135-2}, volume = {142}, year = {2020}, } @inproceedings{8175, abstract = {We study edge asymptotics of poissonized Plancherel-type measures on skew Young diagrams (integer partitions). These measures can be seen as generalizations of those studied by Baik--Deift--Johansson and Baik--Rains in resolving Ulam's problem on longest increasing subsequences of random permutations and the last passage percolation (corner growth) discrete versions thereof. Moreover they interpolate between said measures and the uniform measure on partitions. In the new KPZ-like 1/3 exponent edge scaling limit with logarithmic corrections, we find new probability distributions generalizing the classical Tracy--Widom GUE, GOE and GSE distributions from the theory of random matrices.}, author = {Betea, Dan and Bouttier, Jérémie and Nejjar, Peter and Vuletíc, Mirjana}, booktitle = {Proceedings on the 31st International Conference on Formal Power Series and Algebraic Combinatorics}, location = {Ljubljana, Slovenia}, publisher = {Formal Power Series and Algebraic Combinatorics}, title = {{New edge asymptotics of skew Young diagrams via free boundaries}}, year = {2019}, } @article{72, abstract = {We consider the totally asymmetric simple exclusion process (TASEP) with non-random initial condition having density ρ on ℤ− and λ on ℤ+, and a second class particle initially at the origin. For ρ<λ, there is a shock and the second class particle moves with speed 1−λ−ρ. For large time t, we show that the position of the second class particle fluctuates on a t1/3 scale and determine its limiting law. We also obtain the limiting distribution of the number of steps made by the second class particle until time t.}, author = {Ferrari, Patrick and Ghosal, Promit and Nejjar, Peter}, issn = {0246-0203}, journal = {Annales de l'institut Henri Poincare (B) Probability and Statistics}, number = {3}, pages = {1203--1225}, publisher = {Institute of Mathematical Statistics}, title = {{Limit law of a second class particle in TASEP with non-random initial condition}}, doi = {10.1214/18-AIHP916}, volume = {55}, year = {2019}, } @phdthesis{6179, abstract = {In the first part of this thesis we consider large random matrices with arbitrary expectation and a general slowly decaying correlation among its entries. We prove universality of the local eigenvalue statistics and optimal local laws for the resolvent in the bulk and edge regime. The main novel tool is a systematic diagrammatic control of a multivariate cumulant expansion. In the second part we consider Wigner-type matrices and show that at any cusp singularity of the limiting eigenvalue distribution the local eigenvalue statistics are uni- versal and form a Pearcey process. Since the density of states typically exhibits only square root or cubic root cusp singularities, our work complements previous results on the bulk and edge universality and it thus completes the resolution of the Wigner- Dyson-Mehta universality conjecture for the last remaining universality type. Our analysis holds not only for exact cusps, but approximate cusps as well, where an ex- tended Pearcey process emerges. As a main technical ingredient we prove an optimal local law at the cusp, and extend the fast relaxation to equilibrium of the Dyson Brow- nian motion to the cusp regime. In the third and final part we explore the entrywise linear statistics of Wigner ma- trices and identify the fluctuations for a large class of test functions with little regularity. This enables us to study the rectangular Young diagram obtained from the interlacing eigenvalues of the random matrix and its minor, and we find that, despite having the same limit, the fluctuations differ from those of the algebraic Young tableaux equipped with the Plancharel measure.}, author = {Schröder, Dominik J}, issn = {2663-337X}, pages = {375}, publisher = {Institute of Science and Technology Austria}, title = {{From Dyson to Pearcey: Universal statistics in random matrix theory}}, doi = {10.15479/AT:ISTA:th6179}, year = {2019}, } @article{6182, abstract = {We consider large random matrices with a general slowly decaying correlation among its entries. We prove universality of the local eigenvalue statistics and optimal local laws for the resolvent away from the spectral edges, generalizing the recent result of Ajanki et al. [‘Stability of the matrix Dyson equation and random matrices with correlations’, Probab. Theory Related Fields 173(1–2) (2019), 293–373] to allow slow correlation decay and arbitrary expectation. The main novel tool is a systematic diagrammatic control of a multivariate cumulant expansion.}, author = {Erdös, László and Krüger, Torben H and Schröder, Dominik J}, issn = {20505094}, journal = {Forum of Mathematics, Sigma}, publisher = {Cambridge University Press}, title = {{Random matrices with slow correlation decay}}, doi = {10.1017/fms.2019.2}, volume = {7}, year = {2019}, } @article{6186, abstract = {We prove that the local eigenvalue statistics of real symmetric Wigner-type matrices near the cusp points of the eigenvalue density are universal. Together with the companion paper [arXiv:1809.03971], which proves the same result for the complex Hermitian symmetry class, this completes the last remaining case of the Wigner-Dyson-Mehta universality conjecture after bulk and edge universalities have been established in the last years. We extend the recent Dyson Brownian motion analysis at the edge [arXiv:1712.03881] to the cusp regime using the optimal local law from [arXiv:1809.03971] and the accurate local shape analysis of the density from [arXiv:1506.05095, arXiv:1804.07752]. We also present a PDE-based method to improve the estimate on eigenvalue rigidity via the maximum principle of the heat flow related to the Dyson Brownian motion.}, author = {Cipolloni, Giorgio and Erdös, László and Krüger, Torben H and Schröder, Dominik J}, issn = {2578-5885}, journal = {Pure and Applied Analysis }, number = {4}, pages = {615–707}, publisher = {MSP}, title = {{Cusp universality for random matrices, II: The real symmetric case}}, doi = {10.2140/paa.2019.1.615}, volume = {1}, year = {2019}, } @article{6240, abstract = {For a general class of large non-Hermitian random block matrices X we prove that there are no eigenvalues away from a deterministic set with very high probability. This set is obtained from the Dyson equation of the Hermitization of X as the self-consistent approximation of the pseudospectrum. We demonstrate that the analysis of the matrix Dyson equation from (Probab. Theory Related Fields (2018)) offers a unified treatment of many structured matrix ensembles.}, author = {Alt, Johannes and Erdös, László and Krüger, Torben H and Nemish, Yuriy}, issn = {0246-0203}, journal = {Annales de l'institut Henri Poincare}, number = {2}, pages = {661--696}, publisher = {Institut Henri Poincaré}, title = {{Location of the spectrum of Kronecker random matrices}}, doi = {10.1214/18-AIHP894}, volume = {55}, year = {2019}, } @article{6511, abstract = {Let U and V be two independent N by N random matrices that are distributed according to Haar measure on U(N). Let Σ be a nonnegative deterministic N by N matrix. The single ring theorem [Ann. of Math. (2) 174 (2011) 1189–1217] asserts that the empirical eigenvalue distribution of the matrix X:=UΣV∗ converges weakly, in the limit of large N, to a deterministic measure which is supported on a single ring centered at the origin in ℂ. Within the bulk regime, that is, in the interior of the single ring, we establish the convergence of the empirical eigenvalue distribution on the optimal local scale of order N−1/2+ε and establish the optimal convergence rate. The same results hold true when U and V are Haar distributed on O(N).}, author = {Bao, Zhigang and Erdös, László and Schnelli, Kevin}, issn = {00911798}, journal = {Annals of Probability}, number = {3}, pages = {1270--1334}, publisher = {Institute of Mathematical Statistics}, title = {{Local single ring theorem on optimal scale}}, doi = {10.1214/18-AOP1284}, volume = {47}, year = {2019}, }