Large n limit for the product of two coupled random matrices

Abstract

For a pair of coupled rectangular random matrices we consider the squared singular values of their product, which form a determinantal point process. We show that the limiting mean distribution of these squared singular values is described by the second component of the solution to a vector equilibrium problem. This vector equilibrium problem is defined for three measures with an upper constraint on the first measure and an external field on the second measure. We carry out the steepest descent analysis for a 4 $\times$ 4 matrix-valued Riemann-Hilbert problem, which characterizes the correlation kernel and is related to mixed type multiple orthogonal polynomials associated with the modified Bessel functions. A careful study of the vector equilibrium problem, combined with this asymptotic analysis, ultimately leads to the aforementioned convergence result for the limiting mean distribution, an explicit form of the associated spectral curve, as well as local Sine, Meijer-G and Airy universality results for the squared singular values considered.

arXiv comment79 pages, 5 figures

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• The local universality of Muttalib-Borodin ensembles when the parameter $\theta$ is the reciprocal of an integer
• Riemann-Hilbert Characterisation of Rational Functions with a General Distribution of Poles on the Extended Real Line Orthogonal with Respect to Varying Exponential Weights: Multi-Point Padé Approximants and Asymptotics