Two Bessel Bridges Conditioned Never to Collide, Double Dirichlet Series, and Jacobi Theta Function

It is known that the moments of the maximum value of a one-dimensional conditional Brownian motion, the three-dimensional Bessel bridge with duration 1 started from the origin, are expressed using the Riemann zeta function. We consider a system of two Bessel bridges, in which noncolliding condition is imposed. We show that the moments of the maximum value is then expressed using the double Dirichlet series, or using the integrals of products of the Jacobi theta functions and its derivatives. Since the present system will be provided as a diffusion scaling limit of a version of vicious walker model, the ensemble of 2-watermelons with a wall, the dominant terms in long-time asymptotics of moments of height of 2-watermelons are completely determined. For the height of 2-watermelons with a wall, the average value was recently studied by Fulmek by a method of enumerative combinatorics.Comment: v2: LaTeX, 19 pages, 2 figures, minor corrections made for publication in J. Stat. Phy

Beyond universality in random matrix theory

In order to have a better understanding of finite random matrices with non-Gaussian entries, we study the $1/N$ expansion of local eigenvalue statistics in both the bulk and at the hard edge of the spectrum of random matrices. This gives valuable information about the smallest singular value not seen in universality laws. In particular, we show the dependence on the fourth moment (or the kurtosis) of the entries. This work makes use of the so-called complex Gaussian divisible ensembles for both Wigner and sample covariance matrices.Comment: Published at http://dx.doi.org/10.1214/15-AAP1129 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Asymptotic expansions and fast computation of oscillatory Hilbert transforms

In this paper, we study the asymptotics and fast computation of the one-sided oscillatory Hilbert transforms of the form $$H^{+}(f(t)e^{i\omega t})(x)=-int_{0}^{\infty}e^{i\omega t}\frac{f(t)}{t-x}dt,\qquad \omega>0,\qquad x\geq 0,$$ where the bar indicates the Cauchy principal value and $f$ is a real-valued function with analytic continuation in the first quadrant, except possibly a branch point of algebraic type at the origin. When $x=0$, the integral is interpreted as a Hadamard finite-part integral, provided it is divergent. Asymptotic expansions in inverse powers of $\omega$ are derived for each fixed $x\geq 0$, which clarify the large $\omega$ behavior of this transform. We then present efficient and affordable approaches for numerical evaluation of such oscillatory transforms. Depending on the position of $x$, we classify our discussion into three regimes, namely, $x=\mathcal{O}(1)$ or $x\gg1$, $0<x\ll 1$ and $x=0$. Numerical experiments show that the convergence of the proposed methods greatly improve when the frequency $\omega$ increases. Some extensions to oscillatory Hilbert transforms with Bessel oscillators are briefly discussed as well.Comment: 32 pages, 6 figures, 4 table

Numerical calculation of Bessel, Hankel and Airy functions

The numerical evaluation of an individual Bessel or Hankel function of large order and large argument is a notoriously problematic issue in physics. Recurrence relations are inefficient when an individual function of high order and argument is to be evaluated. The coefficients in the well-known uniform asymptotic expansions have a complex mathematical structure which involves Airy functions. For Bessel and Hankel functions, we present an adapted algorithm which relies on a combination of three methods: (i) numerical evaluation of Debye polynomials, (ii) calculation of Airy functions with special emphasis on their Stokes lines, and (iii) resummation of the entire uniform asymptotic expansion of the Bessel and Hankel functions by nonlinear sequence transformations. In general, for an evaluation of a special function, we advocate the use of nonlinear sequence transformations in order to bridge the gap between the asymptotic expansion for large argument and the Taylor expansion for small argument ("principle of asymptotic overlap"). This general principle needs to be strongly adapted to the current case, taking into account the complex phase of the argument. Combining the indicated techniques, we observe that it possible to extend the range of applicability of existing algorithms. Numerical examples and reference values are given.Comment: 18 pages; 7 figures; RevTe