arXiv subjects

Kilian Hermann

Publications and source records attributed to Kilian Hermann.

3 recordsLinked to original sources

arXiv2025

On the extremal eigenvalues of Jacobi ensembles at zero temperature

For the $\beta$-Hermite, Laguerre, and Jacobi ensembles of dimension $N$ there exist central limit theorems for the freezing case $\beta\to\infty$ such that the associated means and covariances can be expressed in terms of the associated Hermite, Laguerre, and Jacobi polynomials of order $N$ respectively as well as via the associated dual polynomials in the sense of de Boor and Saff. In this paper we derive limits for $N\to\infty$ for the covariances of the $r\in\mathbb N$ largest (and smallest) eigenvalues for these frozen Jacobi ensembles in terms of Bessel functions. These results correspond to the hard edge analysis in the frozen Laguerre cases by Andraus and Lerner-Brecher and to known results for finite $\beta$.

math.PR↗

arXiv2021

Limit theorems and soft edge of freezing random matrix models via dual orthogonal polynomials

$N$-dimensional Bessel and Jacobi processes describe interacting particle systems with $N$ particles and are related to $β$-Hermite, $β$-Laguerre, and $β$-Jacobi ensembles. For fixed $N$ there exist associated weak limit theorems (WLTs) in the freezing regime $β\to\infty$ in the $β$-Hermite and $β$-Laguerre case by Dumitriu and Edelman (2005) with explicit formulas for the covariance matrices $Σ_N$ in terms of the zeros of associated orthogonal polynomials. Recently, the authors derived these WLTs in a different way and computed $Σ_N^{-1}$ with formulas for the eigenvalues and eigenvectors of $Σ_N^{-1}$ and thus of $Σ_N$. In the present paper we use these data and the theory of finite dual orthogonal polynomials of de Boor and Saff to derive formulas for $Σ_N$ from $Σ_N^{-1}$ where, for $β$-Hermite and $β$-Laguerre ensembles, our formulas are simpler than those of Dumitriu and Edelman. We use these polynomials to derive asymptotic results for the soft edge in the freezing regime for $N\to\infty$ in terms of the Airy function. For $β$-Hermite ensembles, our limit expressions are different from those of Dumitriu and Edelman.

math.PR↗

arXiv2020

Limit theorems for Jacobi ensembles with large parameters

Consider Jacobi random matrix ensembles with the distributions $$c_{k_1,k_2,k_3}\prod_{1\leq i< j \leq N}\left(x_j-x_i\right)^{k_3}\prod_{i=1}^N \left(1-x_i\right)^{\frac{k_1+k_2}{2}-\frac{1}{2}}\left(1+x_i\right)^{\frac{k_2}{2}-\frac{1}{2}} dx$$ of the eigenvalues on the alcoves $$A:=\{x\in\mathbb R^N| \> -1\leq x_1\le ...\le x_N\leq 1\}.$$ For $(k_1,k_2,k_3)=κ\cdot (a,b,1)$ with $a,b>0$ fixed, we derive a central limit theorem for the distributions above for $κ\to\infty$. The drift and the inverse of the limit covariance matrix are expressed in terms of the zeros of classical Jacobi polynomials. We also rewrite the CLT in trigonometric form and determine the eigenvalues and eigenvectors of the limit covariance matrices. These results are related to corresponding limits for $β$-Hermite and $β$-Laguerre ensembles for $β\to\infty$ by Dumitriu and Edelman and by Voit.

math.PR↗