Unveiling the significance of eigenvectors in diffusing non-hermitian matrices by identifying the underlying Burgers dynamics (1503.06846v1)

Abstract: Following our recent letter, we study in detail an entry-wise diffusion of non-hermitian complex matrices. We obtain an exact partial differential equation (valid for any matrix size $N$ and arbitrary initial conditions) for evolution of the averaged extended characteristic polynomial. The logarithm of this polynomial has an interpretation of a potential which generates a Burgers dynamics in quaternionic space. The dynamics of the ensemble in the large $N$ is completely determined by the coevolution of the spectral density and a certain eigenvector correlation function. This coevolution is best visible in an electrostatic potential of a quaternionic argument built of two complex variables, the first of which governs standard spectral properties while the second unravels the hidden dynamics of eigenvector correlation function. We obtain general large $N$ formulas for both spectral density and 1-point eigenvector correlation function valid for any initial conditions. We exemplify our studies by solving three examples, and we verify the analytic form of our solutions with numerical simulations.