Singular Values of Products of Ginibre Random Matrices

TL;DR

This paper studies the singular values of products of Ginibre matrices, deriving new differential equations and asymptotics, extending known results from the case of a single matrix to products of two matrices.

Contribution

It reduces complex coupled differential equations for the product of two Ginibre matrices to a single nonlinear equation, extending Painlevé analysis to matrix products.

Findings

Derived a 4th order nonlinear differential equation for the $M=2$ case.

Identified potential simplifications to a 3rd order equation for special parameters.

Discussed asymptotic behaviors and connections to Painlevé-type equations.

Abstract

The squared singular values of the product of $M$ complex Ginibre matrices form a biorthogonal ensemble, and thus their distribution is fully determined by a correlation kernel. The kernel permits a hard edge scaling to a form specified in terms of certain Meijer G-functions, or equivalently hypergeometric functions ${}_0 F_M$, also referred to as hyper-Bessel functions. In the case $M=1$ it is well known that the corresponding gap probability for no squared singular values in $(0,s)$ can be evaluated in terms of a solution of a particular sigma form of the Painlev\'e III' system. One approach to this result is a formalism due to Tracy and Widom, involving the reduction of a certain integrable system. Strahov has generalised this formalism to general $M \ge 1$, but has not exhibited its reduction. After detailing the necessary working in the case $M=1$, we consider the problem of reducing the 12 coupled differential equations in the case $M=2$ to a single differential equation for the resolvent. An explicit 4-th order nonlinear is found for general hard edge parameters. For a particular choice of parameters, evidence is given that this simplifies to a much simpler third order nonlinear equation. The small and large $s$ asymptotics of the 4-th order equation are discussed, as is a possible relationship of the $M=2$ systems to so-called 4-dimensional Painlev\'e-type equations.