Asymptotic expansion of beta matrix models in the multi-cut regime

We push further our study of the all-order asymptotic expansion in beta matrix models with a confining, offcritical potential, in the regime where the support of the equilibrium measure is a reunion of segments. We first address the case where the filling fractions of those segments are fixed, and show the existence of a 1/N expansion to all orders. Then, we study the asymptotic of the sum over filling fractions, in order to obtain the full asymptotic expansion for the initial problem in the multi-cut regime. We describe the application of our results to study the all-order small dispersion asymptotics of solutions of the Toda chain related to the one hermitian matrix model (beta = 2) as well as orthogonal polynomials outside the bulk.Comment: 59 pages. v4: proof of smooth dependence in filling fraction (Appendix A) corrected, comment on the analogue of the CLT added, typos corrected. v5: Section 7 completely rewritten, interpolation for expansion of partition function is now done by decoupling the cuts, details on comparison to Eynard-Chekhov coefficients added in the introductio

Long time behavior of the solutions to non-linear Kraichnan equations

We consider the solution of a nonlinear Kraichnan equation $$\partial_s H(s,t)=\int_t^s H(s,u)H(u,t) k(s,u) du,\quad s\ge t$$ with a covariance kernel $k$ and boundary condition $H(t,t)=1$. We study the long time behaviour of $H$ as the time parameters $t,s$ go to infinity, according to the asymptotic behaviour of $k$. This question appears in various subjects since it is related with the analysis of the asymptotic behaviour of the trace of non-commutative processes satisfying a linear differential equation, but also naturally shows up in the study of the so-called response function and aging properties of the dynamics of some disordered spin systems.Comment: 32 page

A diffusive matrix model for invariant β\beta-ensembles

We define a new diffusive matrix model converging towards the $\beta$-Dyson Brownian motion for all $\beta\in [0,2]$ that provides an explicit construction of $\beta$-ensembles of random matrices that is invariant under the orthogonal/unitary group. We also describe the eigenvector dynamics of the limiting matrix process; we show that when $\beta< 1$ and that two eigenvalues collide, the eigenvectors of these two colliding eigenvalues fluctuate very fast and take the uniform measure on the orthocomplement of the eigenvectors of the remaining eigenvalues

Asymptotics of unitary and othogonal matrix integrals

In this paper, we prove that in small parameter regions, arbitrary unitary matrix integrals converge in the large $N$ limit and match their formal expansion. Secondly we give a combinatorial model for our matrix integral asymptotics and investigate examples related to free probability and the HCIZ integral. Our convergence result also leads us to new results of smoothness of microstates. We finally generalize our approach to integrals over the othogonal group.Comment: 41 pages, important modifications, new section about orthogonal integral

On Classical Analogues of Free Entropy Dimension

We define a classical probability analogue of Voiculescu's free entropy dimension that we shall call the classical probability entropy dimension of a probability measure on $\mathbb{R}^n$. We show that the classical probability entropy dimension of a measure is related with diverse other notions of dimension. First, it can be viewed as a kind of fractal dimension. Second, if one extends Bochner's inequalities to a measure by requiring that microstates around this measure asymptotically satisfy the classical Bochner's inequalities, then we show that the classical probability entropy dimension controls the rate of increase of optimal constants in Bochner's inequality for a measure regularized by convolution with the Gaussian law as the regularization is removed. We introduce a free analogue of the Bochner inequality and study the related free entropy dimension quantity. We show that it is greater or equal to the non-microstates free entropy dimension