Probability of all eigenvalues real for products of standard Gaussian matrices

With {Xi} independent N × N standard Gaussian random matrices, the probability that all eigenvalues are real for the matrix product Pm = XmXm − 1⋅⋅⋅X1 is expressed in terms of an N 2 × N 2 (N even) and (N + 1) 2 × (N + 1) 2 (N odd) determinant. The entries of the determinant are certain Meijer G-fun...

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Veröffentlicht in:Journal of physics. A, Mathematical and theoretical Mathematical and theoretical, 2014-02, Vol.47 (6), p.65202-12
1. Verfasser: Forrester, Peter J
Format: Artikel
Sprache:eng
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Zusammenfassung:With {Xi} independent N × N standard Gaussian random matrices, the probability that all eigenvalues are real for the matrix product Pm = XmXm − 1⋅⋅⋅X1 is expressed in terms of an N 2 × N 2 (N even) and (N + 1) 2 × (N + 1) 2 (N odd) determinant. The entries of the determinant are certain Meijer G-functions. In the case m = 2 high precision computation indicates that the entries are rational multiples of π2, with the denominator a power of 2, and that to leading order in N decays as . We are able to show that for general m and large N, with an explicit bm. An analytic demonstration that as m → ∞ is given.
ISSN:1751-8113
1751-8121
DOI:10.1088/1751-8113/47/6/065202