Hitting probabilities of Gaussian random fields and collision of eigenvalues of random matrices

Abstract

Let $X= \{X(t), t \in \mathbb R^N\}$ be a centered Gaussian random field with values in $\mathbb R^d$ satisfying certain conditions and let $F \subset \mathbb R^d$ be a Borel set. In our main theorem, we provide a sufficient condition for $F$ to be polar for $X$, i.e. $\mathbb P \big( X(t) \in F \hbox{ for some } t \in \mathbb R^N \big) = 0$, which improves significantly the main result in Dalang et al [7], where the case of $F$ being a singleton was considered. We provide a variety of examples of Gaussian random field for which our result is applicable. Moreover, by using our main theorem, we solve a problem on the existence of collisions of the eigenvalues of random matrices with Gaussian random field entries that was left open in Jaramillo and Nualart [14] and Song et al [21].