Spectral Theory for Products of Many Large Gaussian Matrices

CDSNS Colloquium
Friday, October 29, 2021 - 1:00pm for 1 hour (actually 50 minutes)
Boris Hanin – Princeton University – bhanin@princeton.eduhttps://hanin.princeton.edu/
Alex Blumenthal

Please Note: Zoom link: https://us06web.zoom.us/j/83392531099?pwd=UHh2MDFMcGErbzFtMHBZTmNZQXM0dz09

Let X_{N,n} be an iid product of N real Gaussian matrices of size n x n. In this talk, I will explain some recent joint work with G. Paouris 
(arXiv:2005.08899) about a non-asymptotic analysis of the singular values of X_{N,n} . I will begin by giving some intuition and motivation for studying such matrix products. Then, I will explain two new results. The first gives a rate of convergence for the global distribution of singular values of X_{N,n} to the so-called Triangle Law in the limit where N,n tend to infinity. The second is a kind of quantitative version of the multiplicative ergodic theorem, giving estimates at finite but large N on the distance between the joint distribution of all Lyapunov exponents of X_{N,n} and appropriately normalized independent Gaussians in the near-ergodic regime (N >> n).