Continuum limits of random matrices and the Brownian carousel

Abstract

We show that at any location away from the spectral edge, the eigenvalues of the Gaussian unitary ensemble and its general beta siblings converge to Sine_beta, a translation invariant point process. This process has a geometric description in term of the Brownian carousel, a deterministic function of Brownian motion in the hyperbolic plane. The Brownian carousel, a description of the a continuum limit of random matrices, provides a convenient way to analyze the limiting point processes. We show that the gap probability of Sine_beta is continuous in the gap size and $\beta$, and compute its asymptotics for large gaps. Moreover, the stochastic differential equation version of the Brownian carousel exhibits a phase transition at beta=2.

53 pages, 3 figures, We corrected some typos and minor mistakes. Some parts have been revised/extended to make them clearer, e.g. Section 5.3

References in corpus (3)

• Beta ensembles, stochastic Airy spectrum, and a diffusion
• From Random Matrices to Stochastic Operators
• Eigenvalue Statistics for CMV Matrices: From Poisson to Clock via Circular Beta Ensembles

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