Tracy-Widom method for Janossy density and joint distribution of extremal eigenvalues of random matrices

Abstract

The J\'{a}nossy density for a determinantal point process is the probability density that an interval $I$ contains exactly $p$ points except for those at $k$ designated loci. The J\'{a}nossy density associated with an integrable kernel $\mathbf{K}\doteq (\varphi(x)\psi(y)-\psi(x)\varphi(y))/(x-y)$ is shown to be expressed as a Fredholm determinant $\mathrm{Det}(\mathbb{I}-\tilde{\mathbf{K}}|_I)$ of a transformed kernel $\tilde{\mathbf{K}}\doteq (\tilde{\varphi}(x)\tilde{\psi}(y)-\tilde{\psi}(x)\tilde{\varphi}(y))/(x-y)$. We observe that $\tilde{\mathbf{K}}$ satisfies Tracy and Widom's criteria if $\mathbf{K}$ does, because of the structure that the map $(\varphi, \psi)\mapsto (\tilde{\varphi}, \tilde{\psi})$ is a meromorphic $\mathrm{SL}(2,\mathbb{R})$ gauge transformation between covariantly constant sections. This observation enables application of the Tracy--Widom method to J\'{a}nossy densities, expressed in terms of a solution to a system of differential equations in the endpoints of the interval. Our approach does not explicitly refer to isomonodromic systems associated with Painlev\'{e} equations employed in the preceding works. As illustrative examples we compute J\'{a}nossy densities with $k=1, p=0$ for Airy and Bessel kernels, related to the joint distributions of the two largest eigenvalues of random Hermitian matrices and of the two smallest singular values of random complex matrices.