The largest eigenvalue distribution of the Laguerre unitary ensemble

We study the probability that all eigenvalues of the Laguerre unitary ensemble of n by n matrices are between 0 and t, i.e., the largest eigenvalue distribution. Associated with this probability, in the ladder operator approach for orthogonal polynomials, there are recurrence coefficients, namely {\...

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Bibliographic Details
Published in:arXiv.org 2015-11
Main Authors: Lyu, Shulin, Chen, Yan
Format: Article
Language:English
Subjects:
Asymptotic methods
Differential equations
Eigenvalues
Mathematical analysis
Operators (mathematics)
Polynomials
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Summary:We study the probability that all eigenvalues of the Laguerre unitary ensemble of n by n matrices are between 0 and t, i.e., the largest eigenvalue distribution. Associated with this probability, in the ladder operator approach for orthogonal polynomials, there are recurrence coefficients, namely {\alpha}n(t) and \b{eta}n(t), as well as three auxiliary quantities, denoted by rn(t), Rn(t) and sigma n(t). We establish the second order differential equations for both beta n(t) and rn(t). By investigating the soft edge scaling limit when alpha = O(n) as n ! 1 or alpha is finite, we derive a PII , the sigma-form, and the asymptotic solution of the probability. In addition, we develop differential equations for orthogonal polynomials Pn(z) corresponding to the largest eigenvalue distribution of LUE and GUE with n finite or large. For large n, asymptotic formulas are given near the singular points of the ODE. Moreover, we are able to deduce a particular case of Chazy equation for rho(t) = d/dt(capsigma(t) with capsigma(t) satisfying the sigma-form of PIV or PV . 1 I
ISSN:2331-8422