Student Probability Seminar, Spring 2021

Wednesday 2-3 PM, 939 Evans

This is the UC Berkeley Student Probability Seminar, run by students in both the Mathematics and Statistics Departments at UC Berkeley. We meet on Wednesdays on Zoom from 2-3pm, right before the probability seminar.

This semester we will be studying random matrix theory. We plan to cover the following topics: Wigner matrices and the semicircle law, Gaussian ensembles, limiting distributions (Tracy-Widom, Airy process, Sine process), determinantal point processes, aspects of universality (the four moment theorem, level-spacing conjectures/results, etc.). References will be chosen separately for each subtopic given the wealth of material available!

Previous Seminars: Fall 2020, Spring 2020, Fall 2019, Spring 2019 , Fall 2018 , Fall 2017 , Summer 2017
 DATE SPEAKER TITLE (click for abstract below) January 20 Milind Hegde Introductory talk January 27 Drew Nguyen Wigner's semicircle law February 3 Izak Oltman Wigner's semicircle law (cont'd) February 10 Mehdi Ouaki Gaussian Ensembles (GOE and GUE) February 17 Meredith Shea Jacobi Matrices and the Beta Hermite Ensemble February 24 Ella Hiesmayr Determinantal point processes March 3 Alexander Tsigler Determinantal point processes (cont'd) March 10 Jake Soloff Bulk scaling limit and the sine process March 17 Adam Jaffe Bulk scaling limit and the sine process (cont'd) March 24 SPRING BREAK SPRING BREAK March 31 Drew Ngyuen Edge scaling limit and the Airy point process April 7 Milind Hegde Edge scaling limit and the Airy point process (cont'd) April 14 Adam Jaffe Edge Scaling limits for general Beta-Hermite Ensembles via the stochastic Airy operators April 21 Meredith Shea Tail behaviour of the Tracy-Widom($$\beta$$) distribution April 28 Ella Hiesmayr Dysons's Brownian motion May 5 N/A Talk cancelled May 12 Milind Hegde Universality in random matrix theory

Introductory talk

Milind Hegde

We will do an overview of the basic objects of interest in random matrix theory, and some of the main phenomena and results we will try to prove. These include Wigner matrices and the semicircle law, the Gaussian ensembles, the Airy and sine processes, and determinantal point processes.

Notes

Wigner's semicircle law

Drew Nguyen

We will begin the study of the semicircle law, for real Wigner matrices. For a normalized real Wigner matrix X, we will reduce the proof to the computation of expected traces of powers of X, and at the end remark briefly on ways to reduce assumptions.

Notes

Wigner's semicircle law (cont'd)

Izak Oltman

We will recall the statement of Wigner's semicircle law and what was proven last week. We will present two lemmas, how they give us Wigner's semicircle law, and prove the first lemma which involves interesting combinatorial arguments.

Notes

Gaussian Ensembles (GOE and GUE)

Mehdi Ouaki

In this talk, we will introduce the notion of Gaussian orthogonal/unitary ensembles. This class of random matrices enjoys many symmetry properties, which greatly simplifies the study of its law. The distribution of its spectral decomposition (eigenvalues and eigenvectors) will be discussed as well as the proof of its derivation.

Notes

Jacobi Matrices and the Beta Hermite Ensemble

Meredith Shea

In this talk we will take a look at the joint eigenvalue distribution of some Jacobi matrices. Of particular interest to us will be the beta Hermite ensemble and its connection to the previously discussed Gaussian ensemble.

Notes

Determinantal point processes

Ella Hiesmayr

Today we will start by introducing point processes and their description via joint intensities. We will then define determinantal point processes and show that the eigenvalues of the GUE fall into this category.

Notes

Determinantal point processes (cont'd)

Alexander Tsigler

We'll start with an example of a determinantal process motivated by quantum mechanics. Then we'll use this example together with spectral theory of self-adjoint operators to construct a determinantal process with an arbitrary kernel whose eigenvalues belong to [0,1]. Finally, we will see that only such kernels can correspond to determinantal processes. If time permits, we may also discuss some examples and connections to other areas of mathematics, statistics, and maybe even physics.

Notes

Bulk scaling limit and the sine process

Jake Soloff

The eigenvalues of the GUE follow a determinantal point process. We will see how the asymptotics of its kernel govern the fine-scale structure of the eigenvalues. In particular, I’ll show that the number of eigenvalues in an interval of width $$O(1/\sqrt{n})$$ also follows a DPP.

Bulk scaling limit and the sine process (cont'd)

We will introduce Laplace's method and the method of steepest descent as ways to analyze the rate of growth of certain exponential integrals. Then we will use these tools to determine asymptotics of the Hermite wavefunctions in various regimes, and we will use these results to prove that the rescaled GUE eigenvalues DPP kernels converge in the bulk to the sine kernel.

Edge scaling limit and the Airy point process

Drew Ngyuen

In addition to the sine kernel, the Hermite kernel has a second kernel "hiding inside it", called the Airy kernel. We will scale the Hermite kernel appropriately and show the convergence to the Airy kernel, following a heuristic argument of Tao's (similar to Jake's talk on Mar. 17). This hopefully gentle presentation will be accompanied by a segment on intuition for scaling limits in general, and a short primer on the Airy function.

Edge scaling limit and the Airy point process (cont'd)

Milind Hegde

We will discuss the rigorous calculation deriving the Airy kernel as an edge scaling limit of the Hermite kernel, using some complex analysis and seeing the method of steepest descent in action.

Edge Scaling limits for general Beta-Hermite Ensembles via the stochastic Airy operators

We previously studied the scaling limit of the eigenvalues of the GUE near the edge, and in this next talk we address the question of whether the random operators themselves have a scaling limit in a suitable sense. In fact, we study this question for all beta-Hermite ensembles simultaneously. The existence of these so-called "stochastic Airy operators" was a conjecture of Edelman-Sutton until it was established rigorously by Ramirez-Rider-Virag; in this talk we'll go over the heuristic argument that led to the original conjecture, and we'll give some ideas of the important points of rigorous proof.

Tail behaviour of the Tracy-Widom($$\beta$$) distribution

Meredith Shea

In this talk we will study the tail behavior of the distribution of Tracy-Widom($$\beta$$) distribution, which arises when considering the asymptotics of the larges eigenvalue of the stochastic Airy operator. In order to understand the tail behavior entirely, we will introduce an analogous stochastic differential equation perspective of the problem.

Dyson's Brownian motion

Ella Hiesmayr

When we replace the normal random variables in the Gaussian unitary ensemble by Brownian motions and look at its eigenvalues, we obtain Dyson Brownian motion. After defining this process, we will introduce its stochastic differential equations and provide a heuristic justification. Additionally we will provide another description of this process in terms of conditional Brownian motions. Finally we will see how the SDEs can be used to give an alternative proof of the density of the eigenvalues of the Gaussian unitary ensemble.

Universality in random matrix theory

Milind Hegde

We will do an overview of the results about universality in random matrix theory proved in the last 10-15 years. We will focus on the broad approach of Erdős-Yau et al, which makes use of the quick relaxation of Dyson Brownian motion to equilibirum on local scales. Along the way we will see tools and ideas like local semicircle laws and rigidity estimates for eigenvalues.