The density of eigenvalues seen from the soft edge of random matrices in the Gaussian beta-ensembles

Abstract

We characterize the phenomenon of "crowding" near the largest eigenvalue $\lambda_{\max}$ of random $N \times N$ matrices belonging to the Gaussian $\beta$-ensemble of random matrix theory, including in particular the Gaussian orthogonal ($\beta=1$), unitary ($\beta=2$) and symplectic ($\beta = 4$) ensembles. We focus on two distinct quantities: (i) the density of states (DOS) near $\lambda_{\max}$, $\rho_{\rm DOS}(r,N)$, which is the average density of eigenvalues located at a distance $r$ from $\lambda_{\max}$ (or the density of eigenvalues seen from $\lambda_{\max}$) and (ii) the probability density function of the gap between the first two largest eigenvalues, $p_{\rm GAP}(r,N)$. Using heuristic arguments as well as well numerical simulations, we generalize our recent exact analytical study of the Hermitian case (corresponding to $\beta = 2$). We also discuss some applications of these two quantities to statistical physics models.