Hermitian, symmetric and symplectic random ensembles: PDEs for the distribution of the spectrum


Given the Hermitian, symmetric and symplectic ensembles, it is shown that the probability that the spectrum belongs to one or several intervals satisfies a nonlinear PDE. This is done for the three classical ensembles: Gaussian, Laguerre and Jaocbi. For the Hermitian ensemble, the PDE (in the boundary points of the intervals) is related to the Toda lattice and the KP equation, whereas for the symmetric and symplectic ensembles the PDE is an inductive equation, related to the so-called Pfaff-KP equation and the Pfaff lattice. The method consists of interesting time-variables in the integral and showing that this integral satisfies integrable lattice equations and Virasoro constaints.

DOI: 10.2307/2661373


Mark Adler

Pierre van Moerbeke