The Classical Compact Groups and Gaussian Multiplicative Chaos

Abstract: We consider powers of the absolute value of the characteristic polynomial of Haar distributed random orthogonal or symplectic matrices, as well as powers of the exponential of its argument, as a random measure on the unit circle minus small neighborhoods around $\pm 1$. We show that for small enough powers and under suitable normalization, as the matrix size goes to infinity, these random measures converge in distribution to a Gaussian multiplicative chaos measure. Our result is analogous to one on unitary matrices previously established by Christian Webb in [31]. We thus complete the connection between the classical compact groups and Gaussian multiplicative chaos. To prove this we establish appropriate asymptotic formulae for Toeplitz and Toeplitz+Hankel determinants with merging singularities. Using a recent formula communicated to us by Claeys et al., we are able to extend our result to the whole of the unit circle.