### Article

## On minimal singular values of random matrices with correlated entries

To a $N \times N$ real symmetric matrix Kerov assigns a piecewise linear function whose local minima are the eigenvalues of this matrix and whose local maxima are the eigenvalues of its $(N-1) \times (N-1)$ submatrix. We study the scaling limit of Kerov's piecewise linear functions for Wigner and Wishart matrices. For Wigner matrices the scaling limit is given by the Verhik-Kerov-Logan-Shepp curve which is known from asymptotic representation theory. For Wishart matrices the scaling limit is also explicitly found, and we explain its relation to the Marchenko-Pastur limit spectral law.

We present a functional integration method for the averaging of continuous products*P**t* of*N×N* random matrices. As an application, we compute exactly the statistics of the Lyapunov spectrum of*P**t*. This problem is relevant to the study of the statistical properties of various disordered physical systems, and specifically to the computation of the multipoint correlators of a passive scalar advected by a random velocity field. Apart from these applications, our method provides a general setting for computing statistical properties of linear evolutionary systems subjected to a white-noise force field.

Random matrix theory (RMT) is applied to investigate the cross-correlation matrix of a financial time series in four different stock markets: Russian, American, German, and Chinese. The deviations of distribution of eigenvalues of market correlation matrix from RMT global regime are investigated. Specific properties of each market are observed and discussed.

We show that beta ensembles in Random Matrix Theory with generic real analytic potential have the asymptotic equipartition property. In addition, we prove a Central Limit Theorem for the density of the eigenvalues of these ensembles.

Let k be a field of characteristic zero, let G be a connected reductive algebraic group over k and let g be its Lie algebra. Let k(G), respectively, k(g), be the field of k- rational functions on G, respectively, g. The conjugation action of G on itself induces the adjoint action of G on g. We investigate the question whether or not the field extensions k(G)/k(G)^G and k(g)/k(g)^G are purely transcendental. We show that the answer is the same for k(G)/k(G)^G and k(g)/k(g)^G, and reduce the problem to the case where G is simple. For simple groups we show that the answer is positive if G is split of type A_n or C_n, and negative for groups of other types, except possibly G_2. A key ingredient in the proof of the negative result is a recent formula for the unramified Brauer group of a homogeneous space with connected stabilizers. As a byproduct of our investigation we give an affirmative answer to a question of Grothendieck about the existence of a rational section of the categorical quotient morphism for the conjugating action of G on itself.

Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny Ĝ → G is bijective; this answers Grothendieck's question cited in the epigraph. In particular, for char k = 0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char k = 0, that the algebra k[G]G of class functions on G is generated by rk G elements. We describe, for arbitrary G, a minimal generating set of k[G]G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G (for char k = 0, this has been proved earlier); this answers the other question cited in the epigraph. We also prove that the existence of a rational section is equivalent to the existence of a rational W-equivariant map T- - - >G/T where T is a maximal torus of G and W the Weyl group.

This proceedings publication is a compilation of selected contributions from the “Third International Conference on the Dynamics of Information Systems” which took place at the University of Florida, Gainesville, February 16–18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and academia in order to exchange new discoveries and results in a broad range of topics relevant to the theory and practice of dynamics of information systems. Dynamics of Information Systems: Mathematical Foundation presents state-of-the art research and is intended for graduate students and researchers interested in some of the most recent discoveries in information theory and dynamical systems. Scientists in other disciplines may also benefit from the applications of new developments to their own area of study.