Orbital approach to microstate free entropy

Motivated by Voiculescu's liberation theory, we introduce the orbital free entropy $\chi_orb$ for non-commutative self-adjoint random variables (also for "hyperfinite random multi-variables"). Besides its basic properties the relation of $\chi_orb$ with the usual free entropy $\chi$ is shown. Moreover, the dimension counterpart $\delta_{0,orb}$ of $\chi_orb$ is discussed, and we obtain the relation of $\delta_{0,orb}$ with the original free entropy dimension $\delta_0$ with applications to $\delta_0$ itself.Comment: 38 pages; Section 5 was largely improved and Section 6 was adde

A multi-layer extension of the stochastic heat equation

Motivated by recent developments on solvable directed polymer models, we define a 'multi-layer' extension of the stochastic heat equation involving non-intersecting Brownian motions.Comment: v4: substantially extended and revised versio

On absolute moments of characteristic polynomials of a certain class of complex random matrices

Integer moments of the spectral determinant $|\det(zI-W)|^2$ of complex random matrices $W$ are obtained in terms of the characteristic polynomial of the Hermitian matrix $WW^*$ for the class of matrices $W=AU$ where $A$ is a given matrix and $U$ is random unitary. This work is motivated by studies of complex eigenvalues of random matrices and potential applications of the obtained results in this context are discussed.Comment: 41 page, typos correcte

Circular Law Theorem for Random Markov Matrices

Consider an nxn random matrix X with i.i.d. nonnegative entries with bounded density, mean m, and finite positive variance sigma^2. Let M be the nxn random Markov matrix with i.i.d. rows obtained from X by dividing each row of X by its sum. In particular, when X11 follows an exponential law, then M belongs to the Dirichlet Markov Ensemble of random stochastic matrices. Our main result states that with probability one, the counting probability measure of the complex spectrum of n^(1/2)M converges weakly as n tends to infinity to the uniform law on the centered disk of radius sigma/m. The bounded density assumption is purely technical and comes from the way we control the operator norm of the resolvent.Comment: technical update via http://HAL.archives-ouvertes.f

Poissonian exponential functionals, q-series, q-integrals, and the moment problem for log-normal distributions

Moments formulae for the exponential functionals associated with a Poisson process provide a simple probabilistic access to the so-called q-calculus, as well as to some recent works about the moment problem for the log-normal distributions