Free Convolution and Generalized Dyson Brownian Motion
摘要
The eigenvalue spectrum of the sum of large random matrices that are mutually “free”, i.e., randomly rotated, can be obtained using the formalism of R-transforms, with many applications in different fields. We provide a direct interpretation of the otherwise abstract additivity property of R-transforms for the sum in terms of a dynamical evolution of “particles” (the eigenvalues), interacting through two-body and higher-body forces and subject to a Gaussian noise, generalizing the usual Dyson Brownian motion with Coulomb interaction. Interestingly, the appearance of an outlier outside of the bulk of the spectrum is signalled by a divergence of the “velocity” of the generalized Dyson motion. We also investigate the evolution of eigenvectors, extend our results to products of free matrices, and study the singular values of a non-Hermitian matrix perturbed by a bi-invariant random matrix.