PDEs satisfied by extreme eigenvalues distributions of GUE and LUE

Details PDEs satisfied by extreme eigenvalues distributions of GUE and LUE PDEs satisfied by extreme eigenvalues distributions of GUE and LUE

2011-02-02

arxiv.org/abs/1102.0402v1

Physics

Mathematical Physics

Scientific paper

In this paper we study, $\textsf{Prob}(n,a,b),$ the probability that all the eigenvalues of finite $n$ unitary ensembles lie in the interval $(a,b)$. This is identical to the probability that the largest eigenvalue is less than $b$ and the smallest eigenvalue is greater than $a$. It is shown that a quantity allied to $\textsf{Prob}(n,a,b)$, namely, $$ H_n(a,b):=\left[\frac{\partial}{\partial a}+\frac{\partial}{\partial b}\right]\ln\textsf{Prob}(n,a,b),$$ in the Gaussian Unitary Ensemble (GUE) and $$ H_n(a,b):=\left[a\frac{\partial}{\partial a}+b\frac{\partial}{\partial b}\right]\ln \textsf{Prob}(n,a,b),$$ in the Laguerre Unitary Ensemble (LUE) satisfy certain nonlinear partial differential equations for fixed $n$, interpreting $H_n(a,b)$ as a function of $a$ and $b$. These partial differential equations maybe considered as two variable generalizations of a Painlev\'{e} IV and a Painlev\'{e} V system, respectively. As an application of our result, we give an analytic proof that the extreme eigenvalues of the GUE and the LUE, when suitably centered and scaled, are asymptotically independent.

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