Central Limit Theorems for the Brownian motion on large unitary groups

In this paper, we are concerned with the large N limit of linear combinations of the entries of a Brownian motion on the group of N by N unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one. Various scales of time and various initial distribution are concerned, giving rise to various limit processes, related to the geometric construction of the unitary Brownian motion. As an application, we propose a quite short proof of the asymptotic Gaussian feature of the linear combinations of the entries of Haar distributed random unitary matrices, a result already proved by Diaconis et al.Comment: 14 page

Semiclassical Approach to Parametric Spectral Correlation with Spin 1/2

The spectral correlation of a chaotic system with spin 1/2 is universally described by the GSE (Gaussian Symplectic Ensemble) of random matrices in the semiclassical limit. In semiclassical theory, the spectral form factor is expressed in terms of the periodic orbits and the spin state is simulated by the uniform distribution on a sphere. In this paper, instead of the uniform distribution, we introduce Brownian motion on a sphere to yield the parametric motion of the energy levels. As a result, the small time expansion of the form factor is obtained and found to be in agreement with the prediction of parametric random matrices in the transition within the GSE universality class. Moreover, by starting the Brownian motion from a point distribution on the sphere, we gradually increase the effect of the spin and calculate the form factor describing the transition from the GOE (Gaussian Orthogonal Ensemble) class to the GSE class.Comment: 25 pages, 2 figure

Fixed energy universality for generalized Wigner matrices

We prove the Wigner-Dyson-Mehta conjecture at fixed energy in the bulk of the spectrum for generalized symmetric and Hermitian Wigner matrices. Previous results concerning the universality of random matrices either require an averaging in the energy parameter or they hold only for Hermitian matrices if the energy parameter is fixed. We develop a homogenization theory of the Dyson Brownian motion and show that microscopic universality follows from mesoscopic statistics

Dynamical Correlations among Vicious Random Walkers

Nonintersecting motion of Brownian particles in one dimension is studied. The system is constructed as the diffusion scaling limit of Fisher's vicious random walk. N particles start from the origin at time t=0 and then undergo mutually avoiding Brownian motion until a finite time t=T. In the short time limit $t \ll T$, the particle distribution is asymptotically described by Gaussian Unitary Ensemble (GUE) of random matrices. At the end time t = T, it is identical to that of Gaussian Orthogonal Ensemble (GOE). The Brownian motion is generally described by the dynamical correlations among particles at many times $t_1,t_2,..., t_M$ between t=0 and t=T. We show that the most general dynamical correlations among arbitrary number of particles at arbitrary number of times are written in the forms of quaternion determinants. Asymptotic forms of the correlations in the limit $N \to \infty$ are evaluated and a discontinuous transition of the universality class from GUE to GOE is observed.Comment: REVTeX3.1, 4 pages, no figur

Non-intersecting Brownian walkers and Yang-Mills theory on the sphere

We study a system of N non-intersecting Brownian motions on a line segment [0,L] with periodic, absorbing and reflecting boundary conditions. We show that the normalized reunion probabilities of these Brownian motions in the three models can be mapped to the partition function of two-dimensional continuum Yang-Mills theory on a sphere respectively with gauge groups U(N), Sp(2N) and SO(2N). Consequently, we show that in each of these Brownian motion models, as one varies the system size L, a third order phase transition occurs at a critical value L=L_c(N)\sim \sqrt{N} in the large N limit. Close to the critical point, the reunion probability, properly centered and scaled, is identical to the Tracy-Widom distribution describing the probability distribution of the largest eigenvalue of a random matrix. For the periodic case we obtain the Tracy-Widom distribution corresponding to the GUE random matrices, while for the absorbing and reflecting cases we get the Tracy-Widom distribution corresponding to GOE random matrices. In the absorbing case, the reunion probability is also identified as the maximal height of N non-intersecting Brownian excursions ("watermelons" with a wall) whose distribution in the asymptotic scaling limit is then described by GOE Tracy-Widom law. In addition, large deviation formulas for the maximum height are also computed.Comment: 37 pages, 4 figures, revised and published version. A typo has been corrected in Eq. (10