Spectrum of large random reversible Markov chains: two examples

Details Spectrum of large random reversible Markov chains: two examples Spectrum of large random reversible Markov chains: two examples

2008-11-07

arxiv.org/abs/0811.1097v2

ALEA Latin American Journal of Probability and Mathematical Statistics 7, 41-64 (2010)

Mathematics

Probability

accepted in ALEA, March 2010

Scientific paper

We take on a Random Matrix theory viewpoint to study the spectrum of certain reversible Markov chains in random environment. As the number of states tends to infinity, we consider the global behavior of the spectrum, and the local behavior at the edge, including the so called spectral gap. Results are obtained for two simple models with distinct limiting features. The first model is built on the complete graph while the second is a birth-and-death dynamics. Both models give rise to random matrices with non independent entries.

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