@phdthesis{9022, abstract = {In the first part of the thesis we consider Hermitian random matrices. Firstly, we consider sample covariance matrices XX∗ with X having independent identically distributed (i.i.d.) centred entries. We prove a Central Limit Theorem for differences of linear statistics of XX∗ and its minor after removing the first column of X. Secondly, we consider Wigner-type matrices and prove that the eigenvalue statistics near cusp singularities of the limiting density of states are universal and that they form a Pearcey process. Since the limiting eigenvalue distribution admits only square root (edge) and cubic root (cusp) singularities, this concludes the third and last remaining case of the Wigner-Dyson-Mehta universality conjecture. The main technical ingredients are an optimal local law at the cusp, and the proof of the fast relaxation to equilibrium of the Dyson Brownian motion in the cusp regime. In the second part we consider non-Hermitian matrices X with centred i.i.d. entries. We normalise the entries of X to have variance N −1. It is well known that the empirical eigenvalue density converges to the uniform distribution on the unit disk (circular law). In the first project, we prove universality of the local eigenvalue statistics close to the edge of the spectrum. This is the non-Hermitian analogue of the TracyWidom universality at the Hermitian edge. Technically we analyse the evolution of the spectral distribution of X along the Ornstein-Uhlenbeck flow for very long time (up to t = +∞). In the second project, we consider linear statistics of eigenvalues for macroscopic test functions f in the Sobolev space H2+ϵ and prove their convergence to the projection of the Gaussian Free Field on the unit disk. We prove this result for non-Hermitian matrices with real or complex entries. The main technical ingredients are: (i) local law for products of two resolvents at different spectral parameters, (ii) analysis of correlated Dyson Brownian motions. In the third and final part we discuss the mathematically rigorous application of supersymmetric techniques (SUSY ) to give a lower tail estimate of the lowest singular value of X − z, with z ∈ C. More precisely, we use superbosonisation formula to give an integral representation of the resolvent of (X − z)(X − z)∗ which reduces to two and three contour integrals in the complex and real case, respectively. The rigorous analysis of these integrals is quite challenging since simple saddle point analysis cannot be applied (the main contribution comes from a non-trivial manifold). Our result improves classical smoothing inequalities in the regime |z| ≈ 1; this result is essential to prove edge universality for i.i.d. non-Hermitian matrices.}, author = {Cipolloni, Giorgio}, issn = {2663-337X}, pages = {380}, publisher = {Institute of Science and Technology Austria}, title = {{Fluctuations in the spectrum of random matrices}}, doi = {10.15479/AT:ISTA:9022}, year = {2021}, } @article{14694, abstract = {We study the unique solution m of the Dyson equation \( -m(z)^{-1} = z\1 - a + S[m(z)] \) on a von Neumann algebra A with the constraint Imm≥0. Here, z lies in the complex upper half-plane, a is a self-adjoint element of A and S is a positivity-preserving linear operator on A. We show that m is the Stieltjes transform of a compactly supported A-valued measure on R. Under suitable assumptions, we establish that this measure has a uniformly 1/3-Hölder continuous density with respect to the Lebesgue measure, which is supported on finitely many intervals, called bands. In fact, the density is analytic inside the bands with a square-root growth at the edges and internal cubic root cusps whenever the gap between two bands vanishes. The shape of these singularities is universal and no other singularity may occur. We give a precise asymptotic description of m near the singular points. These asymptotics generalize the analysis at the regular edges given in the companion paper on the Tracy-Widom universality for the edge eigenvalue statistics for correlated random matrices [the first author et al., Ann. Probab. 48, No. 2, 963--1001 (2020; Zbl 1434.60017)] and they play a key role in the proof of the Pearcey universality at the cusp for Wigner-type matrices [G. Cipolloni et al., Pure Appl. Anal. 1, No. 4, 615--707 (2019; Zbl 07142203); the second author et al., Commun. Math. Phys. 378, No. 2, 1203--1278 (2020; Zbl 07236118)]. We also extend the finite dimensional band mass formula from [the first author et al., loc. cit.] to the von Neumann algebra setting by showing that the spectral mass of the bands is topologically rigid under deformations and we conclude that these masses are quantized in some important cases.}, author = {Alt, Johannes and Erdös, László and Krüger, Torben H}, issn = {1431-0643}, journal = {Documenta Mathematica}, keywords = {General Mathematics}, pages = {1421--1539}, publisher = {EMS Press}, title = {{The Dyson equation with linear self-energy: Spectral bands, edges and cusps}}, doi = {10.4171/dm/780}, volume = {25}, year = {2020}, } @article{15063, abstract = {We consider the least singular value of a large random matrix with real or complex i.i.d. Gaussian entries shifted by a constant z∈C. We prove an optimal lower tail estimate on this singular value in the critical regime where z is around the spectral edge, thus improving the classical bound of Sankar, Spielman and Teng (SIAM J. Matrix Anal. Appl. 28:2 (2006), 446–476) for the particular shift-perturbation in the edge regime. Lacking Brézin–Hikami formulas in the real case, we rely on the superbosonization formula (Comm. Math. Phys. 283:2 (2008), 343–395).}, author = {Cipolloni, Giorgio and Erdös, László and Schröder, Dominik J}, issn = {2690-0998}, journal = {Probability and Mathematical Physics}, keywords = {General Medicine}, number = {1}, pages = {101--146}, publisher = {Mathematical Sciences Publishers}, title = {{Optimal lower bound on the least singular value of the shifted Ginibre ensemble}}, doi = {10.2140/pmp.2020.1.101}, volume = {1}, year = {2020}, } @article{15079, abstract = {Large complex systems tend to develop universal patterns that often represent their essential characteristics. For example, the cumulative effects of independent or weakly dependent random variables often yield the Gaussian universality class via the central limit theorem. For non-commutative random variables, e.g. matrices, the Gaussian behavior is often replaced by another universality class, commonly called random matrix statistics. Nearby eigenvalues are strongly correlated, and, remarkably, their correlation structure is universal, depending only on the symmetry type of the matrix. Even more surprisingly, this feature is not restricted to matrices; in fact Eugene Wigner, the pioneer of the field, discovered in the 1950s that distributions of the gaps between energy levels of complicated quantum systems universally follow the same random matrix statistics. This claim has never been rigorously proved for any realistic physical system but experimental data and extensive numerics leave no doubt as to its correctness. Since then random matrices have proved to be extremely useful phenomenological models in a wide range of applications beyond quantum physics that include number theory, statistics, neuroscience, population dynamics, wireless communication and mathematical finance. The ubiquity of random matrices in natural sciences is still a mystery, but recent years have witnessed a breakthrough in the mathematical description of the statistical structure of their spectrum. Random matrices and closely related areas such as log-gases have become an extremely active research area in probability theory. This workshop brought together outstanding researchers from a variety of mathematical backgrounds whose areas of research are linked to random matrices. While there are strong links between their motivations, the techniques used by these researchers span a large swath of mathematics, ranging from purely algebraic techniques to stochastic analysis, classical probability theory, operator algebra, supersymmetry, orthogonal polynomials, etc.}, author = {Erdös, László and Götze, Friedrich and Guionnet, Alice}, issn = {1660-8933}, journal = {Oberwolfach Reports}, number = {4}, pages = {3459--3527}, publisher = {European Mathematical Society}, title = {{Random matrices}}, doi = {10.4171/owr/2019/56}, volume = {16}, year = {2020}, } @article{10862, abstract = {We consider the sum of two large Hermitian matrices A and B with a Haar unitary conjugation bringing them into a general relative position. We prove that the eigenvalue density on the scale slightly above the local eigenvalue spacing is asymptotically given by the free additive convolution of the laws of A and B as the dimension of the matrix increases. This implies optimal rigidity of the eigenvalues and optimal rate of convergence in Voiculescu's theorem. Our previous works [4], [5] established these results in the bulk spectrum, the current paper completely settles the problem at the spectral edges provided they have the typical square-root behavior. The key element of our proof is to compensate the deterioration of the stability of the subordination equations by sharp error estimates that properly account for the local density near the edge. Our results also hold if the Haar unitary matrix is replaced by the Haar orthogonal matrix.}, author = {Bao, Zhigang and Erdös, László and Schnelli, Kevin}, issn = {0022-1236}, journal = {Journal of Functional Analysis}, keywords = {Analysis}, number = {7}, publisher = {Elsevier}, title = {{Spectral rigidity for addition of random matrices at the regular edge}}, doi = {10.1016/j.jfa.2020.108639}, volume = {279}, year = {2020}, } @article{9104, abstract = {We consider the free additive convolution of two probability measures μ and ν on the real line and show that μ ⊞ v is supported on a single interval if μ and ν each has single interval support. Moreover, the density of μ ⊞ ν is proven to vanish as a square root near the edges of its support if both μ and ν have power law behavior with exponents between −1 and 1 near their edges. In particular, these results show the ubiquity of the conditions in our recent work on optimal local law at the spectral edges for addition of random matrices [5].}, author = {Bao, Zhigang and Erdös, László and Schnelli, Kevin}, issn = {1565-8538}, journal = {Journal d'Analyse Mathematique}, pages = {323--348}, publisher = {Springer Nature}, title = {{On the support of the free additive convolution}}, doi = {10.1007/s11854-020-0135-2}, volume = {142}, year = {2020}, } @article{6488, abstract = {We prove a central limit theorem for the difference of linear eigenvalue statistics of a sample covariance matrix W˜ and its minor W. We find that the fluctuation of this difference is much smaller than those of the individual linear statistics, as a consequence of the strong correlation between the eigenvalues of W˜ and W. Our result identifies the fluctuation of the spatial derivative of the approximate Gaussian field in the recent paper by Dumitru and Paquette. Unlike in a similar result for Wigner matrices, for sample covariance matrices, the fluctuation may entirely vanish.}, author = {Cipolloni, Giorgio and Erdös, László}, issn = {2010-3271}, journal = {Random Matrices: Theory and Application}, number = {3}, publisher = {World Scientific Publishing}, title = {{Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices}}, doi = {10.1142/S2010326320500069}, volume = {9}, year = {2020}, } @article{7389, abstract = {Recently Kloeckner described the structure of the isometry group of the quadratic Wasserstein space W_2(R^n). It turned out that the case of the real line is exceptional in the sense that there exists an exotic isometry flow. Following this line of investigation, we compute Isom(W_p(R)), the isometry group of the Wasserstein space W_p(R) for all p \in [1,\infty) \setminus {2}. We show that W_2(R) is also exceptional regarding the parameter p: W_p(R) is isometrically rigid if and only if p is not equal to 2. Regarding the underlying space, we prove that the exceptionality of p = 2 disappears if we replace R by the compact interval [0,1]. Surprisingly, in that case, W_p([0,1]) is isometrically rigid if and only if p is not equal to 1. Moreover, W_1([0,1]) admits isometries that split mass, and Isom(W_1([0,1])) cannot be embedded into Isom(W_1(R)).}, author = {Geher, Gyorgy Pal and Titkos, Tamas and Virosztek, Daniel}, issn = {1088-6850}, journal = {Transactions of the American Mathematical Society}, keywords = {Wasserstein space, isometric embeddings, isometric rigidity, exotic isometry flow}, number = {8}, pages = {5855--5883}, publisher = {American Mathematical Society}, title = {{Isometric study of Wasserstein spaces - the real line}}, doi = {10.1090/tran/8113}, volume = {373}, year = {2020}, } @article{7512, abstract = {We consider general self-adjoint polynomials in several independent random matrices whose entries are centered and have the same variance. We show that under certain conditions the local law holds up to the optimal scale, i.e., the eigenvalue density on scales just above the eigenvalue spacing follows the global density of states which is determined by free probability theory. We prove that these conditions hold for general homogeneous polynomials of degree two and for symmetrized products of independent matrices with i.i.d. entries, thus establishing the optimal bulk local law for these classes of ensembles. In particular, we generalize a similar result of Anderson for anticommutator. For more general polynomials our conditions are effectively checkable numerically.}, author = {Erdös, László and Krüger, Torben H and Nemish, Yuriy}, issn = {1096-0783}, journal = {Journal of Functional Analysis}, number = {12}, publisher = {Elsevier}, title = {{Local laws for polynomials of Wigner matrices}}, doi = {10.1016/j.jfa.2020.108507}, volume = {278}, year = {2020}, } @article{7618, abstract = {This short note aims to study quantum Hellinger distances investigated recently by Bhatia et al. (Lett Math Phys 109:1777–1804, 2019) with a particular emphasis on barycenters. We introduce the family of generalized quantum Hellinger divergences that are of the form ϕ(A,B)=Tr((1−c)A+cB−AσB), where σ is an arbitrary Kubo–Ando mean, and c∈(0,1) is the weight of σ. We note that these divergences belong to the family of maximal quantum f-divergences, and hence are jointly convex, and satisfy the data processing inequality. We derive a characterization of the barycenter of finitely many positive definite operators for these generalized quantum Hellinger divergences. We note that the characterization of the barycenter as the weighted multivariate 1/2-power mean, that was claimed in Bhatia et al. (2019), is true in the case of commuting operators, but it is not correct in the general case. }, author = {Pitrik, Jozsef and Virosztek, Daniel}, issn = {1573-0530}, journal = {Letters in Mathematical Physics}, number = {8}, pages = {2039--2052}, publisher = {Springer Nature}, title = {{Quantum Hellinger distances revisited}}, doi = {10.1007/s11005-020-01282-0}, volume = {110}, year = {2020}, } @article{6185, abstract = {For complex Wigner-type matrices, i.e. Hermitian random matrices with independent, not necessarily identically distributed entries above the diagonal, we show that at any cusp singularity of the limiting eigenvalue distribution the local eigenvalue statistics are universal and form a Pearcey process. Since the density of states typically exhibits only square root or cubic root cusp singularities, our work complements previous results on the bulk and edge universality and it thus completes the resolution of the Wigner–Dyson–Mehta universality conjecture for the last remaining universality type in the complex Hermitian class. Our analysis holds not only for exact cusps, but approximate cusps as well, where an extended Pearcey process emerges. As a main technical ingredient we prove an optimal local law at the cusp for both symmetry classes. This result is also the key input in the companion paper (Cipolloni et al. in Pure Appl Anal, 2018. arXiv:1811.04055) where the cusp universality for real symmetric Wigner-type matrices is proven. The novel cusp fluctuation mechanism is also essential for the recent results on the spectral radius of non-Hermitian random matrices (Alt et al. in Spectral radius of random matrices with independent entries, 2019. arXiv:1907.13631), and the non-Hermitian edge universality (Cipolloni et al. in Edge universality for non-Hermitian random matrices, 2019. arXiv:1908.00969).}, author = {Erdös, László and Krüger, Torben H and Schröder, Dominik J}, issn = {1432-0916}, journal = {Communications in Mathematical Physics}, pages = {1203--1278}, publisher = {Springer Nature}, title = {{Cusp universality for random matrices I: Local law and the complex Hermitian case}}, doi = {10.1007/s00220-019-03657-4}, volume = {378}, year = {2020}, } @article{6184, abstract = {We prove edge universality for a general class of correlated real symmetric or complex Hermitian Wigner matrices with arbitrary expectation. Our theorem also applies to internal edges of the self-consistent density of states. In particular, we establish a strong form of band rigidity which excludes mismatches between location and label of eigenvalues close to internal edges in these general models.}, author = {Alt, Johannes and Erdös, László and Krüger, Torben H and Schröder, Dominik J}, issn = {0091-1798}, journal = {Annals of Probability}, number = {2}, pages = {963--1001}, publisher = {Institute of Mathematical Statistics}, title = {{Correlated random matrices: Band rigidity and edge universality}}, doi = {10.1214/19-AOP1379}, volume = {48}, year = {2020}, } @article{10879, abstract = {We study effects of a bounded and compactly supported perturbation on multidimensional continuum random Schrödinger operators in the region of complete localisation. Our main emphasis is on Anderson orthogonality for random Schrödinger operators. Among others, we prove that Anderson orthogonality does occur for Fermi energies in the region of complete localisation with a non-zero probability. This partially confirms recent non-rigorous findings [V. Khemani et al., Nature Phys. 11 (2015), 560–565]. The spectral shift function plays an important role in our analysis of Anderson orthogonality. We identify it with the index of the corresponding pair of spectral projections and explore the consequences thereof. All our results rely on the main technical estimate of this paper which guarantees separate exponential decay of the disorder-averaged Schatten p-norm of χa(f(H)−f(Hτ))χb in a and b. Here, Hτ is a perturbation of the random Schrödinger operator H, χa is the multiplication operator corresponding to the indicator function of a unit cube centred about a∈Rd, and f is in a suitable class of functions of bounded variation with distributional derivative supported in the region of complete localisation for H.}, author = {Dietlein, Adrian M and Gebert, Martin and Müller, Peter}, issn = {1664-039X}, journal = {Journal of Spectral Theory}, keywords = {Random Schrödinger operators, spectral shift function, Anderson orthogonality}, number = {3}, pages = {921--965}, publisher = {European Mathematical Society}, title = {{Perturbations of continuum random Schrödinger operators with applications to Anderson orthogonality and the spectral shift function}}, doi = {10.4171/jst/267}, volume = {9}, year = {2019}, } @inproceedings{8175, abstract = {We study edge asymptotics of poissonized Plancherel-type measures on skew Young diagrams (integer partitions). These measures can be seen as generalizations of those studied by Baik--Deift--Johansson and Baik--Rains in resolving Ulam's problem on longest increasing subsequences of random permutations and the last passage percolation (corner growth) discrete versions thereof. Moreover they interpolate between said measures and the uniform measure on partitions. In the new KPZ-like 1/3 exponent edge scaling limit with logarithmic corrections, we find new probability distributions generalizing the classical Tracy--Widom GUE, GOE and GSE distributions from the theory of random matrices.}, author = {Betea, Dan and Bouttier, Jérémie and Nejjar, Peter and Vuletíc, Mirjana}, booktitle = {Proceedings on the 31st International Conference on Formal Power Series and Algebraic Combinatorics}, location = {Ljubljana, Slovenia}, publisher = {Formal Power Series and Algebraic Combinatorics}, title = {{New edge asymptotics of skew Young diagrams via free boundaries}}, year = {2019}, } @article{6086, abstract = {We show that linear analytic cocycles where all Lyapunov exponents are negative infinite are nilpotent. For such one-frequency cocycles we show that they can be analytically conjugated to an upper triangular cocycle or a Jordan normal form. As a consequence, an arbitrarily small analytic perturbation leads to distinct Lyapunov exponents. Moreover, in the one-frequency case where the th Lyapunov exponent is finite and the st negative infinite, we obtain a simple criterion for domination in which case there is a splitting into a nilpotent part and an invertible part.}, author = {Sadel, Christian and Xu, Disheng}, journal = {Ergodic Theory and Dynamical Systems}, number = {4}, pages = {1082--1098}, publisher = {Cambridge University Press}, title = {{Singular analytic linear cocycles with negative infinite Lyapunov exponents}}, doi = {10.1017/etds.2017.52}, volume = {39}, year = {2019}, } @article{6511, abstract = {Let U and V be two independent N by N random matrices that are distributed according to Haar measure on U(N). Let Σ be a nonnegative deterministic N by N matrix. The single ring theorem [Ann. of Math. (2) 174 (2011) 1189–1217] asserts that the empirical eigenvalue distribution of the matrix X:=UΣV∗ converges weakly, in the limit of large N, to a deterministic measure which is supported on a single ring centered at the origin in ℂ. Within the bulk regime, that is, in the interior of the single ring, we establish the convergence of the empirical eigenvalue distribution on the optimal local scale of order N−1/2+ε and establish the optimal convergence rate. The same results hold true when U and V are Haar distributed on O(N).}, author = {Bao, Zhigang and Erdös, László and Schnelli, Kevin}, issn = {0091-1798}, journal = {Annals of Probability}, number = {3}, pages = {1270--1334}, publisher = {Institute of Mathematical Statistics}, title = {{Local single ring theorem on optimal scale}}, doi = {10.1214/18-AOP1284}, volume = {47}, year = {2019}, } @article{6843, abstract = {The aim of this short paper is to offer a complete characterization of all (not necessarily surjective) isometric embeddings of the Wasserstein space Wp(X), where S is a countable discrete metric space and 0