The largest real eigenvalue in the real Ginibre ensemble and its relation to the Zakharov-Shabat system

DOI10.1214/19-AAP1509zbMATH Open1434.60018arXiv1808.02419OpenAlexW3007374708MaRDI QIDQ2180390

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Publication date: 13 May 2020

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Abstract: The real Ginibre ensemble consists of $nimesn$ real matrices $$ whose entries are i.i.d. standard normal random variables. In sharp contrast to the complex and quaternion Ginibre ensemble, real eigenvalues in the real Ginibre ensemble attain positive likelihood. In turn, the spectral radius $$ of the eigenvalues $$ of a real Ginibre matrix $$ follows a different limiting law (as $nightarrowinfty$) for $$ than for $$. Building on previous work by Rider, Sinclair cite{RS} and Poplavskyi, Tribe, Zaboronski cite{PTZ}, we show that the limiting distribution of $$ admits a closed form expression in terms of a distinguished solution to an inverse scattering problem for the Zakharov-Shabat system. As byproducts of our analysis we also obtain a new determinantal representation for the limiting distribution of $$ and extend recent tail estimates in cite{PTZ} via nonlinear steepest descent techniques.

Full work available at URL: https://arxiv.org/abs/1808.02419

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