Illustration of the Dyson Ornstein-Uhlenbeck process

I define the Dyson Ornstein-Uhlenbeck process as \begin{equation}\label{eq:20151125a} dX_t = -\alpha X_t dt + H \sqrt{dt} \end{equation} with \( \alpha > 0 \) and \( H \) a random matrix from the Gaussian Unitary Ensemble of \( n \times n \) Hermitian matrices. The eigenvalues \( \lambda_i(t) \) of \( X_t \) then have the following dynamics \begin{equation}\label{eq:20151125b} d\lambda_i = -\alpha \lambda_i dt + \sum_{ j \neq i} \frac{1}{\lambda_i - \lambda_j} dt + dB_i \end{equation} where \( B_1, \ldots, B_n \) are independent Brownian processes. In this post I illustrate the process \eqref{eq:20151125b} numerically.

Illustration of Dyson Brownian Motion

The Dyson Brownian motion is defined as \begin{equation}\label{eq:20151124a} X_{t + dt} = X_t + H \sqrt{dt} \end{equation} with \( H \) a random matrix from the Gaussian Unitary Ensemble of \( n \times n \) Hermitian matrices. It is then well-known that the dynamics of the eigenvalues \( \lambda_i(t) \) of \( X_t \) is described by the process \begin{equation}\label{eq:20151124b} d\lambda_i = \sum_{ j \neq i} \frac{1}{\lambda_i - \lambda_j} dt + dB_i \end{equation} where \( B_1, \ldots, B_n \) are independent Brownian processes. In this post I illustrate the process \eqref{eq:20151124b} numerically.

Proof of a determinantal integration formula

While reading about random matrices I encountered the following formula in a blog post by Terence Tao.

If \( K ( x,y) \) is such that

1. \( \int\! dx \ K(x,x) = \alpha \) 
2. \( \int\! dy \ K(x,y) K(y,z) = K(x,z) \)

then \begin{equation}\label{eq:20151118a} \int dx_{n+1} \det_{i,j \le n+1} \left( K(x_i , x_j ) \right) = (\alpha - n) \det_{i,j \le n} \left( K(x_i , x_j ) \right) \end{equation} For simplicity I have written \( \int \) instead of \( \int_{\mathbb{R}} \). This formula is used when calculating n-point functions in the Gaussian Unitary Ensemble (GUE). Tao gives a short proof of \eqref{eq:20151118a} based on induction and the Laplace expansion of determinants. In this post, I give a proof using integration over Grassmann variables. The reason I am interested in this alternative proof is that I want to compress the calculation of n-point functions in the GUE as much as possible.

Spectral Density in the Gaussian Unitary Ensemble

In this post I perform numerical experiments on the spectral density in the Gaussian Unitary Ensemble (GUE).

Proof of the Christoffel–Darboux formula without induction

In this post I prove the Christoffel–Darboux formula without using induction. It seems that often the Christoffel–Darboux formula is proved with induction. However, I find that the proof with induction does not give insight why the Christoffel–Darboux formula is correct. I found the proof below in a paper by Barry Simon.