Lyapunov exponent, universality and phase transition for products of random matrices

Abstract

Products of $M$ i.i.d. random matrices of size $N \times N$ are related to classical limit theorems in probability theory ($N=1$ and large $M$), to Lyapunov exponents in dynamical systems (finite $N$ and large $M$), and to universality in random matrix theory (finite $M$ and large $N$). Under the two different limits of $M \to \infty$ and $N \to \infty$, the local singular value statistics display Gaussian and random matrix theory universality, respectively. However, it is unclear what happens if both $M$ and $N$ go to infinity. This problem, proposed by Akemann, Burda, Kieburg \cite{Akemann-Burda-Kieburg14} and Deift \cite{Deift17}, lies at the heart of understanding both kinds of universal limits. In the case of complex Gaussian random matrices, we prove that there exists a crossover phenomenon as the relative ratio of $M$ and $N$ changes from $0$ to $\infty$: sine and Airy kernels from the Gaussian Unitary Ensemble (GUE) when $M/N \to 0$, Gaussian fluctuation when $M/N \to \infty$, and new critical phenomena when $M/N \to \gamma \in (0,\infty)$. Accordingly, we further prove that the largest singular value undergoes a phase transition between the Gaussian and GUE Tracy-Widom distributions.Comment: Therems 1.1 stated in a more intuitive way; proofs extensively revised; convergence in trace norm for the critical and subcritical cases added; 35 pages, 3 figure