Singularities of Solutions to Quadratic Vector Equations on the Complex Upper Half‐Plane

Abstract

Let S be a positivity‐preserving symmetric linear operator acting on bounded functions. The nonlinear equation with a parameter z in the complex upper half‐plane ℍ has a unique solution m with values in ℍ. We show that the z‐dependence of this solution can be represented as the Stieltjes transforms of a family of probability measures v on ℝ. Under suitable conditions on S, we show that v has a real analytic density apart from finitely many algebraic singularities of degree at most 3.Our motivation comes from large random matrices. The solution m determines the density of eigenvalues of two prominent matrix ensembles: (i) matrices with centered independent entries whose variances are given by S and (ii) matrices with correlated entries with a translation‐invariant correlation structure. Our analysis shows that the limiting eigenvalue density has only square root singularities or cubic root cusps; no other singularities occur.© 2016 Wiley Periodicals, Inc.