Large deviations of the maximal eigenvalue of random matrices

Gaëtan Borot 1, Bertrand Eynard 1, Satya N. Majumdar 2, Céline Nadal 2

Journal of Statistical Mechanics: Theory and Experiment (2011) P11024

We present detailed computations of the ‘at least finite’ terms (three dominant orders) of the free energy in a one-cut matrix model with a hard edge a, in beta-ensembles, with any polynomial potential. beta is a positive number, so not restricted to the standard values beta = 1 (hermitian matrices), beta = 1/2 (symmetric matrices), beta = 2 (quaternionic self-dual matrices). This model allows to study the statistic of the maximum eigenvalue of random matrices. We compute the large deviation function to the left of the expected maximum. We specialize our results to the gaussian beta-ensembles and check them numerically. Our method is based on general results and procedures already developed in the literature to solve the Pastur equations (also called ‘loop equations’). It allows to compute the left tail of the analog of Tracy-Widom laws for any beta, including the constant term.

  • 1. Institut de Physique Théorique (ex SPhT) (IPHT),
    CNRS : URA2306 – CEA : DSM/IPHT
  • 2. Laboratoire de Physique Théorique et Modèles Statistiques (LPTMS),
    CNRS : UMR8626 – Université Paris XI – Paris Sud
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