Tracy-Widom at high temperature

Abstract

We investigate the marginal distribution of the bottom eigenvalues of the stochastic Airy operator when the inverse temperature $β$ tends to $0$. We prove that the minimal eigenvalue, whose fluctuations are governed by the Tracy-Widom $β$ law, converges weakly, when properly centered and scaled, to the Gumbel distribution. More generally we obtain the convergence in law of the marginal distribution of any eigenvalue with given index $k$. Those convergences are obtained after a careful analysis of the explosion times process of the Riccati diffusion associated to the stochastic Airy operator. We show that the empirical measure of the explosion times converges weakly to a Poisson point process using estimates proved in [L. Dumaz and B. Virág. Ann. Inst. H. Poincaré Probab. Statist. 49, 4, 915-933, (2013)]. We further compute the empirical eigenvalue density of the stochastic Airy ensemble on the macroscopic scale when $β\to 0$. As an application, we investigate the maximal eigenvalues statistics of $β_N$-ensembles when the repulsion parameter $β_N\to 0$ when $N\to +\infty$. We study the double scaling limit $N\to +\infty, β_N \to 0$ and argue with heuristic and numerical arguments that the statistics of the marginal distributions can be deduced following the ideas of [A. Edelman and B. D. Sutton. J. Stat. Phys. 127, 6, 1121-1165 (2007)] and [J. A. Ramírez, B. Rider and B. Virág. J. Amer. Math. Soc. 24, 919-944 (2011)] from our later study of the stochastic Airy operator.