From an analogue of Ewens' measure on the unitary group to the circular Jacobi ensemble

19 May 2008
Prof. Ashkan Nikeghbali
In the first part of the talk, we fit the Hua-Pickrell measure (which is a two parameters deformation of the Haar measure) on the unitary group and the Ewens measure on the symmetric group in a same framework. We shall see that in the unitary case, the eigenvalues follow a determinantal point process with explicit hypergeometric kernels. We also study asymptotics of these kernels. The techniques used rely upon splitting of the Haar measure and sampling techniques. In the second part of the talk, we provide a matrix model for the circular Jacobi ensemble, which is the sampling used for the Hua-Pickrell measure but this time on Dyson's circular ensembles. In this case, we use the theory of orthogonal polynomials on the unit circle. In particular we prove that when the parameter of the sampling grows with n, both the spectral measure and the empirical spectral measure converge weakly in probability to a non-trivial measure supported only by one piece of the unit circle.
  • Stochastic Analysis Seminar