Edge homogenization of Dyson Brownian motion and applications

Abstract

We prove a homogenization result for the difference of two coupled Dyson Brownian motions started from generalized Wigner matrix initial data. We prove an optimal order, high probability estimate that is valid throughout the spectrum, including up to the spectral edges. Prior homogenization results concerned only the bulk of the spectrum. We apply our estimate to address the question of quantifying edge universality. Here, we have two results. We show that the Kolmogorov-Smirnov distance of the distribution of the gap between the largest two eigenvalues of a generalized Wigner matrix (with smooth entry distribution) and its GOE/GUE counterpart is $\mathcal{O}(N^{-1+\varepsilon})$. On the other hand, we show that, for the distribution of the largest eigenvalue, there are Wigner matrices so that the analogous Kolmogorov-Smirnov distance is bounded below by $N^{-1/3-\varepsilon}$.