Rotationally invariant family of L\'evy like random matrix ensembles

Abstract

We introduce a family of rotationally invariant random matrix ensembles characterized by a parameter $\lambda$. While $\lambda=1$ corresponds to well-known critical ensembles, we show that $\lambda \ne 1$ describes "L\'evy like" ensembles, characterized by power law eigenvalue densities. For $\lambda > 1$ the density is bounded, as in Gaussian ensembles, but $\lambda <1$ describes ensembles characterized by densities with long tails. In particular, the model allows us to evaluate, in terms of a novel family of orthogonal polynomials, the eigenvalue correlations for L\'evy like ensembles. These correlations differ qualitatively from those in either the Gaussian or the critical ensembles.