Large deviations of extreme eigenvalues of random matrices.
We calculate analytically the probability of large deviations from its mean of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary, and symplectic ensembles. In particular, we show that the probability that all the eigenvalues of an (N x N) random matrix are positive (negative) decreases for large N as approximately exp[-betatheta(0)N2] where the parameter beta characterizes the ensemble and the exponent theta(0)=(ln3)/4=0.274 653... is universal. We also calculate exactly the average density of states in matrices whose eigenvalues are restricted to be larger than a fixed number zeta, thus generalizing the celebrated Wigner semicircle law. The density of states generically exhibits an inverse square-root singularity at zeta.
Dean
David S
DS
Laboratoire de Physique Théorique (UMR 5152 du CNRS), Université Paul Sabatier, 118, Route de Narbonne, Toulouse Cedex 4, France.
Majumdar
Satya N
SN