Spectrum of non-Hermitian heavy tailed random matrices

Details Spectrum of non-Hermitian heavy tailed random matrices Spectrum of non-Hermitian heavy tailed random matrices

2010-06-09

arxiv.org/abs/1006.1713v5

Communications in Mathematical Physics 307, 2 (2011) 513-560

Mathematics

Probability

Expanded version of a paper published in Communications in Mathematical Physics 307, 513-560 (2011)

Scientific paper

10.1007/s00220-011-1331-9

Let (X_{jk})_{j,k>=1} be i.i.d. complex random variables such that |X_{jk}| is in the domain of attraction of an alpha-stable law, with 0< alpha <2. Our main result is a heavy tailed counterpart of Girko's circular law. Namely, under some additional smoothness assumptions on the law of X_{jk}, we prove that there exists a deterministic sequence a_n ~ n^{1/alpha} and a probability measure mu_alpha on C depending only on alpha such that with probability one, the empirical distribution of the eigenvalues of the rescaled matrix a_n^{-1} (X_{jk})_{1<=j,k<=n} converges weakly to mu_alpha as n tends to infinity. Our approach combines Aldous & Steele's objective method with Girko's Hermitization using logarithmic potentials. The underlying limiting object is defined on a bipartized version of Aldous' Poisson Weighted Infinite Tree. Recursive relations on the tree provide some properties of mu_alpha. In contrast with the Hermitian case, we find that mu_alpha is not heavy tailed.

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