Spectrum of the Product of Independent Random Gaussian Matrices

Details Spectrum of the Product of Independent Random Gaussian Matrices Spectrum of the Product of Independent Random Gaussian Matrices

2009-12-17

arxiv.org/abs/0912.3422v2

Phys. Rev. E 81, 041132 (2010)

Physics

Condensed Matter

Statistical Mechanics

16 pages, 6 figures, minor changes, some references added

Scientific paper

We show that the eigenvalue density of a product X=X_1 X_2 ... X_M of M independent NxN Gaussian random matrices in the large-N limit is rotationally symmetric in the complex plane and is given by a simple expression rho(z,\bar{z}) = 1/(M\pi\sigma^2} |z|^{-2+2/M} for |z|<\sigma, and is zero for |z|> \sigma. The parameter \sigma corresponds to the radius of the circular support and is related to the amplitude of the Gaussian fluctuations. This form of the eigenvalue density is highly universal. It is identical for products of Gaussian Hermitian, non-Hermitian, real or complex random matrices. It does not change even if the matrices in the product are taken from different Gaussian ensembles. We present a self-contained derivation of this result using a planar diagrammatic technique for Gaussian matrices. We also give a numerical evidence suggesting that this result applies also to matrices whose elements are independent, centered random variables with a finite variance.

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