CLT for spectra of submatrices of Wigner random matrices II. Stochastic evolution

Abstract

We show that the global fluctuations of spectra of GOE and GUE matrices and their principal submatrices executing Dyson's Brownian motion are Gaussian in the limit of large matrix dimensions. For nested submatrices one obtains a limiting three-dimensional generalized Gaussian process; its restrictions to two-dimensional sections that are monotone in matrix sizes and time moments coincide with the two-dimensional Gaussian Free Field with zero boundary conditions. The proof is by moment convergence, and it extends to more general Wigner matrices and their stochastic evolution.