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# 1 Introduction

## 1  Introduction

In this article we consider correlation functions involving characteristic polynomials of $`N\times N`$ random matrices $`X`$ belonging to the Gaussian unitary (GUE), Gaussian orthogonal ensemble (GOE) or Gaussian symplectic ensemble (GSE), of the following type

$$F(\lambda _1,\mathrm{},\lambda _k;\mu _1\mathrm{}\mu _k)=\underset{\alpha =1}{\overset{k}{}}\frac{\mathrm{det}(\lambda _\alpha X)}{\mathrm{det}(\mu _\alpha X)}.$$
(1)
The reason for considering expectation values of such characteristic polynomials are the following. First they turn out to be simpler than the usual correlation functions of the type $`{\displaystyle \underset{\alpha =1}{\overset{k}{}}}\mathrm{Tr}{\displaystyle \frac{1}{z_\alpha X}}`$, but they may be used to recover the same information. For instance

$$\frac{}{\lambda }\frac{\mathrm{det}(\lambda X)}{\mathrm{det}(\mu X)}|_{\mu =\lambda }=\mathrm{Tr}\frac{1}{\lambda X}$$
(2)
and so on. Next we know  that correlations of products $`<_{\alpha =1}^k\mathrm{det}(\lambda _\alpha X)>`$ are universal in the Dyson limit, in which the distance between the $`\lambda `$’s is of order of the mean spacing . This universality is known to hold if the probability distribution is non-Gaussian, or if it includes an external matrix source linearly coupled to the random matrices. Presumably this extends to the ratios (1) considered here and some evidence in that direction will be presented below, when the Gaussian measure if modified by the presence of an external source.

The calculations will be shown to involve integrals over groups which go often beyond the case considered by Harish-Chandra, Itzykson and Zuber (HIZ) and the main point of this article is to analyze such cases. Such integrals appear at many places in random matrix theory. For instance they are essential in the problem of a random Hamiltonian $`H`$, an Hermitian $`N\times N`$ matrix, which is the sum of a non-random $`H_0`$ and of a Gaussian random $`V`$ :

$$H=H_0+V$$
(3)
with

$$P(V)=\frac{1}{Z}e^{\frac{N}{2}\mathrm{Tr}V^2}.$$
(4)
The probability law for the matrix elements of $`H`$ is thus

$$P(H)=\frac{1}{Z^{}}e^{\frac{N}{2}\mathrm{Tr}H^2+N\mathrm{Tr}HH_0}.$$
(5)
When $`H_0`$ is non-zero this measure is not invariant under a change of basis, i.e. under the orthogonal, unitary or symplectic groups appropriate to real symmetric, hermitian or quaternionic matrices. If one wants to write now the probability distribution for the eigenvalues of $`H`$, one writes $`H=U\mathrm{\Lambda }U^1`$ with $`\mathrm{\Lambda }`$ diagonal, and $`U`$ a group element appropriate to the ensemble there is a well-known Jacobian

$$dH=dU|\mathrm{\Delta }(\lambda _1,\mathrm{},\lambda _N)|^\beta \underset{1}{\overset{N}{}}d\lambda _a,$$
(6)
with $`\beta =1,2`$ or $`4`$. and the probability distribution for the eigenvalues is given by

$$P(\lambda _1,\mathrm{},\lambda _N)=\frac{1}{Z}|\mathrm{\Delta }(\lambda _1,\mathrm{},\lambda _N)|^\beta e^{\frac{N}{2}{\scriptscriptstyle \lambda _a^2}}𝑑Ue^{N\mathrm{Tr}(U\mathrm{\Lambda }U^1H_0)}.$$
(7)
Therefore a group integration has to be performed.

Similar integrals occur in many places of random matrix theory. For instance for chains of random matrices on a lattice with couplings of the form $`\mathrm{exp}\mathrm{Tr}H_nH_{n+1}`$, clearly the joint probability for eigenvalues involves a similar group integration over the relative $`U_n^1U_{n+1}`$.

In the present work the correlation functions (1) will be written as supersymmetric integrals and diagonalization through supergroup transformations will lead us to consider new types of HIZ group integrals.

The literature on supersymmetric integration is very rich. Efetov  has already obtained expressions of the correlations for those same ratios (1) by supersymmetric techniques. In the unitary case, in which $`X`$ is a complex hermitian matrix, the calculation of the n-point correlation is done explicitely with the help of the HIZ integral, which has been extended also to the supermatrix case . However for real symmetrix matrices, for general $`k`$, the supermatrix formulation becomes complicated since the relevant HIZ integrals are no longer explicit and simple. Recently, Guhr and Kohler  have studied those integrals by the recursion formula of the size N of the matrix, but it is a different approach which is proposed below. In a previous work, we have considered such integrals for the symplectic group , with the help of differential equations satisfied by the heat kernel for motions in the orthogonal group. This approach may be extended to include an external matrix source, a modification for which the standard orthogonal polynomial methods do not apply any more.

Since we have considered such HIZ integrals in the past, let us summarize what was known earlier, beyond the standard HIZ integral for the GUE. In the GOE case a mapping of the $`N\times N`$ integral for $`_1^kdet(\lambda _\alpha X)`$ to an integral over $`k\times k`$ matrices invariant over the symplectic group was first derived. Then one found, through the heat kernel differential equation, that the HIZ integral was exactly given in that case by a semi-classical approximation corrected by a finite number of terms. Those additional terms are important, since they are of order one in the Dyson limit ; once those terms are known one can determine this limit by a saddle-point method. Here we return to those heat kernel equations for the supergroups relevant to our present problem. It turns out that now the series of correction terms to the semi-classical limit does not terminate. However in the scaling limit this series may be determined explicitly, and the problem at hand is thus solved.

The set-up of this article is as follows : We first consider the average of a single ratio $`{\displaystyle \frac{\mathrm{det}(\lambda X)}{\mathrm{det}(\mu X)}}`$ for the GUE and reduce it directly to quadratures, or alternatively we make use of supersymmetric techniques with a simple version of the HIZ integral. Then the same is done for the GOE. For a single ratio the integration over the supergroup variables is done through a generalization of the HIZ formula, which is exactly given by the semi-classical approximation plus a finite number of corrections. We then apply those supersymmetric techniques to higher correlation functions. The required HIZ formula for supergroup integration leads to a differential equation whose solution shows than the semi-classical integration has now to be corrected by an infinite series. This infinite series originates from the part of the supergroup integration which comes from the orthogonal sub-group, and each term of this series is of order one in the Dyson limit. However in the limit of large matrices it turns out that one needs only to consider a special case of those HIZ integrals, when the source matrices have only two distinct eigenvalues. Then the whole series may be found in closed form and one obtains explicitely the large N limit of the correlations functions for ratios of characteristic polynomials. This is then generalized to k-point functions and, continuing in $`k`$, one can study the zero-replica limit $`k0`$, which is an alternative way of deriving the usual correlation functions from those determinental expectations. The Gaussian symplectic ensemble (GSE) is discussed within the same appraoch. Those techniques are then extended further to probability measures involving an external matrix source. This allows one to verify that the results in the Dyson limit are not modified by this source. Level spacing distributions are then derived within the same methods. The case of arbitrary $`\beta `$ is then examined. Finally edge singularities are discussed as well.

## 2 Single ratio of characteristic polynomials in the GUE ensemble

Let us first consider a single ratio of characteristic polynomials, defined as

$$F_N(\lambda ,\mu )=<\frac{\mathrm{det}(\lambda X)}{\mathrm{det}(\mu X)}>$$
(8)
The averages $`<\mathrm{}>`$ are computed with respect to the Gaussian distribution

$$P(X)=\frac{1}{Z}\mathrm{exp}(\frac{N}{2}\mathrm{Tr}X^2)$$
(9)
where the matrix $`X`$ is a $`N\times N`$ complex hermitian matrix.

The determinant $`\mathrm{det}(\lambda X)`$ may be expressed as an integral over Grassmann variables $`\overline{\theta }`$ and $`\theta `$ . The determinant $`\mathrm{det}(\mu X)`$ in the denominator, may be expressed as a Gaussian integral over commuting variables $`z`$ and $`z^{}`$. Then

$$F_N(\lambda ,\mu )=\underset{a=1}{\overset{N}{}}dz_a^{}dz_ad\overline{\theta }_ad\theta _a<\mathrm{exp}iN[\overline{\theta }_a(\lambda \delta _{ab}X_{ab})\theta _b+z_a^{}(\mu \delta _{ab}X_{ab})z_b]>$$
(10)
in which $`\mu `$ is complex, with a small positive imaginary part. The normalization for Grassmann integration which is used here is

$$𝑑\theta 𝑑\overline{\theta }\theta \overline{\theta }=\frac{1}{\pi }$$
(11)
We also adopt the convention

$$\overline{(\alpha \beta )}=\overline{\alpha }\overline{\beta }$$
(12)
which implies

$$\overline{\overline{\alpha }}=\alpha $$
(13)
in order to maintain $`\overline{\theta }\theta `$ invariant under the bar operation.

Then the Gaussian integration over $`X`$ is easily performed since

$$𝑑Xe^{\frac{N}{2}\mathrm{TrX}^2+\mathrm{iNTrXY}}=e^{\frac{N}{2}\mathrm{TrY}^2}.$$
(14)
with $`Y_{ji}=\overline{\theta }_i\theta _jz_i^{}z_j`$. This gives

$`\mathrm{TrY}^2`$ $`=`$ $`\mathrm{TrY}_{\mathrm{ij}}\mathrm{Y}_{\mathrm{ji}}`$ (15)
$`=`$ $`(\overline{\theta }_i\theta _i)^2+(z_i^{}z_i)^2+2(\overline{\theta }_iz_i)(\theta _jz_j^{})`$
One then introduces auxiliary commuting as well as Grassmann variables

$`\sqrt{{\displaystyle \frac{N}{2\pi }}}{\displaystyle e^{N\frac{b^{}}{2}^2Nb^{}\overline{\theta }_a\theta _a}𝑑b^{}}=e^{\frac{N}{2}(_a\overline{\theta }_a\theta _a)^2},`$
$`\sqrt{{\displaystyle \frac{N}{2\pi }}}{\displaystyle e^{N\frac{b}{2}^2iNbz_a^{}z_a}𝑑b}=e^{\frac{N}{2}(_az_a^{}z_a)^2}`$
$`{\displaystyle \frac{\pi }{N}}{\displaystyle e^{N\overline{\eta }\eta +N\eta (\overline{\theta }z)+N\overline{\eta }(z^{}\theta )}𝑑\eta 𝑑\overline{\eta }}=e^{N(\overline{\theta }z)(z^{}\theta )}`$ (16)
This allows to express $`F_N`$ as

$`F_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle 𝑑b𝑑b^{}𝑑\eta 𝑑\overline{\eta }e^{\frac{N}{2}(b^2+b^2+2\overline{\eta }\eta )}}`$ (17)
$`\times [{\displaystyle 𝑑z𝑑z^{}𝑑\theta 𝑑\overline{\theta }e^{N(i\lambda b^{})\overline{\theta }\theta +iN(\mu b)z^{}z}e^{N\overline{\eta }\theta z^{}+N\eta \overline{\theta }z}}]^N`$
Two strategies are possible at that stage : either keeping both the commuting and Grassmannian degrees of freedom, and use the supersymmetry of the integral, or integrate out explicitely the Grassmannian variables. They are equally simple for the single ratio of characteristic polynomials considered here, however for higher correlation functions the use of the invariance under supergroup transformations turn out to be more powerful.
(i) integration over the Grassmann variables
Let us first give the expressions that one finds if one first perform the integrations over $`\overline{\theta },\theta ,z^{},z`$. This yields

$`F_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle 𝑑b𝑑b^{}𝑑\eta 𝑑\overline{\eta }e^{\frac{N}{2}(b^2+b^2+2\overline{\eta }\eta )}\times [\frac{\lambda +ib^{}}{\mu b}+\frac{\overline{\eta }\eta }{(\mu b)^2}]^N}`$ (18)
$`=`$ $`({\displaystyle \frac{N}{2\pi }}){\displaystyle [\frac{(\lambda +ib^{})^N}{(\mu b)^N}\frac{(\lambda +ib^{})^{N1}}{(\mu b)^{N+1}}]e^{\frac{N}{2}(b^2+b^2)}𝑑b𝑑b^{}}`$
It is convenient to use the (appropriately normalized) Hermite polynomials

$`H_n(\lambda )`$ $`=`$ $`e^{\lambda ^2}({\displaystyle \frac{d}{d\lambda }})^ne^{\lambda ^2}`$ (19)
$`=`$ $`{\displaystyle \frac{2^n}{\sqrt{\pi }}}{\displaystyle _{\mathrm{}}^+\mathrm{}}(\lambda +it)^ne^{t^2}𝑑t`$
which satisfy the recursion formula

$$H_n(\lambda )2\lambda H_{n1}(\lambda )+2(n1)H_{n2}(\lambda )=0$$
(20)
Then one obtains from (18)

$$F_N(\lambda ,\mu )=\frac{1}{2^N\sqrt{\pi }}[H_N(\overline{\lambda })_{\mathrm{}}^+\mathrm{}𝑑b\frac{e^{b^2}}{(\overline{\mu }b)^N}H_{N1}(\overline{\lambda })_{\mathrm{}}^+\mathrm{}𝑑t\frac{e^{b^2}}{(\overline{\mu }b)^{N+1}}]$$
(21)
in which $`\mu `$ has a small positive imaginary part and we have used for convenience

$$\overline{\lambda }=\lambda \sqrt{\frac{N}{2}}\overline{\mu }=\mu \sqrt{\frac{N}{2}}.$$
(22)
After repeated integration by parts this gives

$$F_N(\lambda ,\mu )=\frac{1}{2^N\sqrt{\pi }(N1)!}_{\mathrm{}}^+\mathrm{}𝑑b\frac{e^{b^2}}{(\overline{\mu }b)}[H_N(\overline{\lambda })H_{N1}(b)H_{N1}(\overline{\lambda })H_N(b)]$$
(23)
from which follows for an infinitesimal positive imaginary part of $`\mu `$

$$\mathrm{Im}F_N(\lambda ,\mu )=\frac{\sqrt{\pi }}{2^N(N1)!}e^{\overline{\mu }^2}[H_N(\overline{\lambda })H_{N1}(\overline{\mu })H_{N1}(\overline{\lambda })H_N(\overline{\mu })]$$
(24)
which vanishes as expected for $`\lambda =\mu `$ since $`F_N(\mu ,\mu )=1`$.

The density of states $`\rho (\lambda )`$ is thus given by

$$\rho (\lambda )=\underset{\mu \lambda }{lim}\frac{1}{\pi N}\frac{}{\mu }\mathrm{Im}F_N(\lambda ,\mu )$$
(25)
and one recovers the well-known finite $`N`$ expressions .
(ii) use of supergroup symmetry
Let us return to (17) and use the supergroup structure. One first write

$$b^{}\overline{\theta }\theta ibz^{}z+\overline{\eta }\theta z^{}+\eta \overline{\theta }z=i(z^{},\overline{\theta })Q\left(\begin{array}{c}z\\ \theta \end{array}\right)$$
(26)
with

$$Q=\left(\begin{array}{cc}b& i\overline{\eta }\\ i\eta & ib^{}\end{array}\right)$$
(27)
Then

$$\frac{1}{2}\mathrm{Str}Q^2=b^2+b^2+2\overline{\eta }\eta $$
(28)
in which we have used the supertrace notation ”Str” defined as follows. If one decomposes the supermatrix $`Q`$ into four blocks

$$Q=\left(\begin{array}{cc}A& B\\ C& D\end{array}\right),$$
(29)
in which $`A`$ and $`D`$ have commuting matrix elements , whereas the matrix elements of $`C`$ and $`B`$ are anticommuting. Then by definition

$$\mathrm{Str}Q=\mathrm{tr}A\mathrm{tr}D.$$
(30)
Similarly one defines the superdeterminant

$$\mathrm{Sdet}[Q]=\frac{\mathrm{det}(ABD^1C)}{\mathrm{det}D}=\frac{\mathrm{det}A}{\mathrm{det}(DCA^1B)}$$
(31)
The notation is justified by the fact that

$$𝑑\overline{\theta }𝑑\theta 𝑑z^{}𝑑ze^{i\overline{\varphi }Q\varphi }=(\mathrm{Sdet}[Q])^1$$

if $`\varphi =\left(\begin{array}{c}z\\ \theta \end{array}\right)`$ and $`\overline{\varphi }=(z^{},\overline{\theta })`$). If one defines the diagonal supermatrix

$$\mathrm{\Lambda }=\left(\begin{array}{cc}\mu & 0\\ 0& \lambda \end{array}\right)$$
(32)
This leads to the compact expression for $`F_N(\lambda ,\mu )`$ as an integral over the supermatrix $`Q`$,

$`F_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle 𝑑Qe^{\frac{N}{2}StrQ^2}\frac{1}{(\mathrm{Sdet}(Q\mathrm{\Lambda }))^N}}`$ (33)
$`=`$ $`{\displaystyle \frac{1}{2}}e^{N(\mu ^2\lambda ^2)}{\displaystyle 𝑑Qe^{\frac{N}{2}StrQ^2NStrQ\mathrm{\Lambda }}\frac{1}{(\mathrm{Sdet}Q)^N}}.`$
One now performs a superunitary transformation to diagonalize $`Q`$

$$\left(\begin{array}{c}z\\ \theta \end{array}\right)=g\left(\begin{array}{c}z^{}\\ \theta ^{}\end{array}\right)$$
(34)
with

$$g=\left(\begin{array}{cc}a& \overline{\beta }\\ \gamma & d\end{array}\right)$$
(35)
in which $`\beta `$ and $`\gamma `$ are anticommuting. Then, with the sign convention used here $`(z^{},\overline{\theta })`$ transform by

$$g^{}=\left(\begin{array}{cc}a^{}& \overline{\gamma }\\ \beta & d^{}\end{array}\right).$$
(36)
Unitary transformations $`g^{}g=1`$ leave invariant the quadratic form $`z^{}z+\overline{\theta }\theta `$. One may diagonalize the matrix $`Q`$ by such a unitary transformation

$$Q=g\left(\begin{array}{cc}u& 0\\ 0& it\end{array}\right)g^{}.$$
(37)
Then the integration measure on the matrix $`Q`$ may be replaced by an integration over the eigenvalues $`u_1,t`$ and a group integration, up to a Jacobian which is proportional to $`1/(uit)^2`$. The representation (33) requires then to consider the supergroup equivalent of the HIZ integral defined by

$$I=𝑑ge^{N\mathrm{Str}gQg^1\mathrm{\Lambda }}$$
(38)
where $`\mathrm{\Lambda }`$ and $`Q`$ are diagonal matrices.

This integral yields

$$I=\frac{N}{2\pi ^2}(uit)(\mu \lambda )e^{N(u\mu it\lambda )}.$$
(39)
The derivation of this formula relies on a formalism of differential equations for $`I`$ which will be presented in detail in the coming sections. Note that the integral (38) vanishes when the matrices $`\mathrm{\Lambda }`$ or $`Q`$ are multiple of the identity ; this is a consequence of the Grassmannian degrees of freedom which imply that $`𝑑g\times 1=0`$.

Therefore we have obtained the representation

$$F_N(\lambda ,\mu )=N(\lambda \mu )\frac{e^{N(\mu ^2\lambda ^2)}}{2\pi ^2}_{\mathrm{}}^{\mathrm{}}_{\mathrm{}}^{\mathrm{}}𝑑t𝑑u(\frac{it}{u})^N\frac{1}{uit}e^{\frac{N}{2}(u^2+t^2)iNt\lambda +Nu\mu }$$
(40)
The density of states is then recovered through

$`\rho (\lambda )`$ $`=`$ $`\mathrm{Im}\underset{\mu \lambda }{lim}{\displaystyle \frac{}{\mu }}{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{dt}{2\pi }}{\displaystyle \frac{du}{2\pi }𝑑u(\frac{it}{u})^N\frac{1}{uit}e^{\frac{N}{2}(u^2+t^2)iNt\lambda +Nu\mu }}`$ (41)
$`=`$ $`{\displaystyle \frac{1}{N}}{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{dt}{2\pi }}{\displaystyle \frac{du}{2i\pi }(\frac{it}{u})^N\frac{1}{uit}e^{\frac{N}{2}(u^2+t^2)iNt\lambda +Nu\lambda }}`$
where the contour integral of $`u`$ circles around the origin. This exact representation, valid for any $`N`$, has been derived earlier by a completely different method , without supersymmetry. The semi-circle law is recovered from there easily, in the large-N limit, by a saddle-point integration (it is simpler for that to consider $`\rho /\lambda `$).

## 3 Single ratio of characteristic polynomials in the GOE ensemble

We now consider a single ratio of characteristic polynomials of GOE, defined as

$$F_N(\lambda ,\mu )=<\frac{\mathrm{det}(\lambda X)}{\mathrm{det}(\mu X)}>$$
(42)
The averages $`<\mathrm{}>`$ are computed with respect to the Gaussian distribution

$$P(X)=\frac{1}{Z}\mathrm{exp}(\frac{N}{2}\mathrm{Tr}X^2)$$
(43)
where the matrix $`X`$ is a $`N\times N`$ real symmetric matrix.

As for the GUE, the ratio in (42) is expressed by

$$F_N(\lambda ,\mu )=\underset{a=1}{\overset{N}{}}dz_a^{}dz_ad\overline{\theta }_ad\theta _a<\mathrm{exp}iN[\overline{\theta }_a(\lambda \delta _{ab}X_{ab})\theta _b+z_a^{}(\mu \delta _{ab}X_{ab})z_b]>$$
(44)
in which $`\mu `$ is complex, with a small positive imaginary part. We use the normalization for Grassmannian integration of the previous section.

Then the Gaussian integration over $`X`$ is easily performed since

$$𝑑Xe^{\frac{N}{2}\mathrm{TrX}^2+\mathrm{iNTrXY}}=e^{\frac{N}{4}\mathrm{Tr}(\mathrm{Y}^2+\mathrm{YY}^\mathrm{T})}.$$
(45)
with $`Y_{ji}=\overline{\theta }_i\theta _jz_i^{}z_j`$. This gives

$`\mathrm{TrY}^2`$ $`=`$ $`\mathrm{TrY}_{\mathrm{ij}}\mathrm{Y}_{\mathrm{ji}}`$ (46)
$`=`$ $`(\overline{\theta }_i\theta _i)^2+(z_i^{}z_i)^2+2(\overline{\theta }_iz_i)(\theta _jz_j^{})`$
$`\mathrm{TrYY}^\mathrm{T}=2(\overline{\theta }_\mathrm{i}\mathrm{z}_\mathrm{i}^{})(\mathrm{z}_\mathrm{j}\theta _\mathrm{j})+(\mathrm{z}_\mathrm{i}^{}\mathrm{z}_\mathrm{i}^{})(\mathrm{z}_\mathrm{j}\mathrm{z}_\mathrm{j})`$ (47)
One then introduces auxiliary commuting as well as Grassmann variables

$`\sqrt{{\displaystyle \frac{N}{\pi }}}{\displaystyle e^{Nb_{}^{}{}_{}{}^{2}Nb^{}\overline{\theta }_a\theta _a}𝑑b^{}}=e^{\frac{N}{4}(_a\overline{\theta }_a\theta _a)^2},\sqrt{{\displaystyle \frac{N}{\pi }}}{\displaystyle e^{Nb^2iNbz_a^{}z_a}𝑑b}=e^{\frac{N}{4}(_az_a^{}z_a)^2}`$
$`{\displaystyle \frac{N}{\pi }}{\displaystyle e^{Nu^{}u+\frac{iN}{2}uz_a^{}z_a^{}+\frac{iN}{2}u^{}z_az_a}𝑑u^{}𝑑u}=e^{\frac{N}{4}(z_a^{}z_a^{})(z_bz_b)}`$
$`{\displaystyle \frac{\pi }{2N}}{\displaystyle e^{2N\overline{\eta }\eta +N\eta (\overline{\theta }z)+N\overline{\eta }(z^{}\theta )}𝑑\overline{\eta }𝑑\eta }=e^{\frac{N}{2}(\overline{\theta }z)(z^{}\theta )}`$
$`{\displaystyle \frac{\pi }{2N}}{\displaystyle e^{2N\overline{\eta }^{}\eta ^{}+N\eta ^{}(\overline{\theta }z^{})+N\overline{\eta }^{}(z\theta )}𝑑\overline{\eta }^{}𝑑\eta ^{}}=e^{\frac{N}{2}(\overline{\theta }z^{})(z\theta )}`$ (48)
This allows to express $`F_N`$ as

$`F_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{1}{4}}{\displaystyle 𝑑b𝑑b^{}𝑑u𝑑u^{}𝑑\overline{\eta }𝑑\eta 𝑑\overline{\eta }^{}𝑑\eta ^{}e^{N(b^2+b^2+u^{}u+2\overline{\eta }\eta +2\overline{\eta }^{}\eta ^{})}}`$ (49)
$`\times [{\displaystyle }dzdz^{}d\overline{\theta }d\theta e^{N(i\lambda b^{})\overline{\theta }\theta +iN(\mu b)z^{}z}`$
$`e^{N\overline{\eta }\theta z^{}+N\eta \overline{\theta }z+\frac{i}{2}N(u^{}z^2+uz_{}^{}{}_{}{}^{2})+N\eta ^{}z^{}\overline{\theta }+N\overline{\eta }^{}\theta z}]^N`$
Two strategies are possible, as explained in the previous section. Let us first give the expressions that one finds if one first perform the integrations over $`\overline{\theta },\theta ,z^{},z`$. Noting that

$$e^{iN(\mu b)z^{}z+\frac{i}{2}N(u^{}z^2+uz_{}^{}{}_{}{}^{2})}𝑑z𝑑z^{}=\frac{i\pi }{N\sqrt{(\mu b)^2|u|^2}}$$
(50)
the integration over $`z,z^{},\overline{\theta },\theta `$, yields

$`F_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{1}{4}}{\displaystyle }dbdb^{}dudu^{}d\overline{\eta }d\eta d\overline{\eta }^{}d\eta ^{}e^{N(b^2+b^2+u^{}u+2\overline{\eta }\eta +2\overline{\eta }^{}\eta ^{})}\times [{\displaystyle \frac{\lambda +ib^{}}{((\mu b)^2|u|^2)^{1/2}}}`$ (51)
$`{\displaystyle \frac{1}{((\mu b)^2|u|^2)^{3/2}}}\{u\overline{\eta }^{}\eta +u^{}\overline{\eta }\eta ^{}(\mu b)(\overline{\eta }\eta +\overline{\eta }^{}\eta ^{})\}]^N`$
One can next integrate over the remaining Grassmann variables $`\overline{\eta },\eta ,\overline{\eta }^{},\eta ^{}`$ and denoting $`D=\sqrt{(\mu b)^2|u|^2}`$, one obtains at the end

$`F_N(\lambda ,\mu )`$ $`=`$ $`({\displaystyle \frac{N}{\pi }})^2{\displaystyle \frac{1}{D^N}[(\lambda +ib^{})^N\frac{1}{D^2}(\mu b)(\lambda +ib^{})^{N1}+\frac{N1}{4ND^2}(\lambda +ib^{})^{N2}]}`$ (52)
$`\times `$ $`e^{N(b^2+b^2+u^{}u)}dbdb^{}dudu^{}`$
It is convenient to use the (appropriately normalized) Hermite polynomials defined by (19). Then, using a few integrations by parts, one obtains from (52)

$`F_N(\lambda ,\mu )={\displaystyle \frac{(N1)}{2^{N1}\pi }}H_{N2}(\overline{\lambda }){\displaystyle _{\mathrm{}}^+\mathrm{}}{\displaystyle \frac{db}{\sqrt{\pi }}}{\displaystyle \frac{e^{b^2}}{(\overline{\mu }b)^N}}`$ (53)
$`+`$ $`{\displaystyle \frac{1}{2^{N1}\pi }}H_{N1}(\overline{\lambda }){\displaystyle _{\mathrm{}}^+\mathrm{}}{\displaystyle \frac{db}{\sqrt{\pi }}}e^{b^2}(\overline{\lambda }2b){\displaystyle _0^{\mathrm{}}}𝑑\rho e^\rho {\displaystyle \frac{1}{[(\overline{\mu }b)^2\rho ]^{N/2}}}`$
in which $`\mu `$ has a small positive imaginary part and we have used for convenience

$$\overline{\lambda }=\lambda \sqrt{N}\overline{\mu }=\mu \sqrt{N}.$$
(54)
The relation (53) for the average ratio allows one to find in particular the density of states, and the density of states $`\rho (\lambda )`$ is thus

$$\rho (\lambda )=\underset{\mu \lambda }{lim}\frac{1}{\pi N}\frac{}{\mu }\mathrm{Im}F_N(\lambda ,\mu )$$
(55)
when $`\mathrm{Im}\lambda 0`$.

The explicit formula (53) allows one to recover standard results derived by the method of skew orthogonal polynomials . In order to write explicitely the imaginary part of $`F_N`$ one has to distinguish between even and odd N . Let us for instance work with $`N=2M`$ and check (53) for N=2 and N=4. Using

$$\mathrm{Im}_{\mathrm{}}^+\mathrm{}𝑑b\frac{e^{b^2}}{(\overline{\mu }b)^N}=\frac{\pi }{(N1)!}H_{N1}(\overline{\mu })e^{\overline{\mu }^2}$$
(56)
and

$$\mathrm{Im}_0^+\mathrm{}𝑑\rho \frac{e^\rho }{(\overline{\mu }b)^2\rho }=\pi \mathrm{sgn}(\overline{\mu }\mathrm{b})e^{(\overline{\mu }b)^2}$$
(57)
where $`\mathrm{sgn}(\mathrm{x})=+1`$ for $`x>0`$ and $`1`$ for $`x<0`$. One thus finds, for $`N=2`$

$$\sqrt{\pi }\mathrm{Im}F_2(\lambda ,\mu )=(\overline{\mu }\overline{\lambda })e^{\overline{\mu }^2}\overline{\lambda }(\overline{\mu }\overline{\lambda })B(\overline{\mu })$$
(58)
in which

$$B(x)=e^{x^2/2}_0^x𝑑ye^{y^2/2}.$$
(59)
For $`N=4`$ we use ,

$$_0^{\mathrm{}}\frac{1}{((\mu b)^2\rho )^2}e^\rho 𝑑\rho =\frac{1}{(\mu b)^2}+_0^{\mathrm{}}\frac{1}{(\mu b)^2\rho }e^\rho 𝑑\rho $$
(60)
and obtain

$$\sqrt{\pi }\mathrm{Im}F_4(\lambda ,\mu )=\frac{1}{16}e^{\overline{\mu }^2}[H_2(\overline{\lambda })H_3(\overline{\mu })H_3(\overline{\lambda })H_2(\overline{\mu })]+\frac{1}{8}(\overline{\mu }\overline{\lambda })H_3(\overline{\lambda })(2\overline{\mu }e^{\overline{\mu }^2}+B(\overline{\mu }))$$
(61)
We see that, as it should, $`\mathrm{Im}F_N(\mu ,\mu )`$ vanishes (since $`F_N(\mu ,\mu )=1`$). The above expressions agree with those derived from orthogonal polynomials;

$`S_2(\lambda ,\mu )`$ $`=`$ $`\varphi _0(\lambda )\varphi _0(\mu )\varphi _{0}^{}{}_{}{}^{}(\lambda ){\displaystyle _0^\mu }\varphi _0(t)𝑑t`$ (62)
$`=`$ $`\varphi _0(\lambda )\varphi _0(\mu )+\varphi _1(\lambda )\varphi _1(\mu )+\varphi _1(\lambda ){\displaystyle _0^\mu }\varphi _2(t)𝑑t.`$
where $`\varphi _n(\lambda )=(2^nn!\sqrt{\pi })^{1/2}e^{\lambda ^2/2}H_n(\lambda )`$. We find $`\mathrm{Im}F_2=(\mu \lambda )S_2(\lambda ,\mu )e^{\mu ^2/2+\lambda ^2/2}`$. The $`S_2(\lambda ,\mu )`$ is the diagonal part of a kernel, which is a $`2\times 2`$ quaternion matrix .

For general N, $`S_N(\lambda ,\mu )`$ is given by

$`S_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \underset{i=0}{\overset{N1}{}}}\varphi _i(\lambda )\varphi _i(\mu )+({\displaystyle \frac{N}{2}})^{1/2}\varphi _{N1}(\lambda ){\displaystyle _0^\mu }\varphi _N(t)𝑑t`$ (63)
$`=`$ $`{\displaystyle \underset{i=0}{\overset{\frac{N}{2}1}{}}}\varphi _{2i}(\lambda )\varphi _{2i}(\mu ){\displaystyle \underset{i=0}{\overset{\frac{N}{2}1}{}}}\varphi _{}^{}{}_{2i}{}^{}(\lambda ){\displaystyle _0^\mu }\varphi _{2i}(t)𝑑t`$
In the large N limit, the second term in (63) in the first line is negligible compared to the first one. Indeed since $`\varphi _N(t)`$ is a rapidly oscillating function, its integral in the second term is asymptotically small. Then one recovers the semi-circle law in the limit $`\lambda \mu `$. Therefore the first term of $`S_N(\lambda ,\mu )`$ is dominating ; it coincides with the well-known universal kernel for the GUE ensemble

Let us further check for N=4 case. In this case, we obtain

$`F_4(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{1}{16}}[H_4(\lambda )2\mu H_3(\lambda )+6H_2(\lambda )]B`$ (64)
$`+`$ $`[{\displaystyle \frac{1}{8}}\mu H_4(\lambda )+{\displaystyle \frac{1}{8}}(4\mu ^21)H_3(\lambda ){\displaystyle \frac{1}{2}}\mu ^3H_2(\lambda )]e^{\lambda ^2}`$
Then we have

$$\underset{\lambda \mu }{lim}\frac{\sqrt{\pi }}{\lambda \mu }\mathrm{Im}F_4(\lambda ,\mu )=(\overline{\mu }^3\frac{3}{2}\overline{\mu })B(\overline{\mu })(3\overline{\mu }^2+\frac{3}{2})e^{\mu ^2}$$
(65)
The right hand of this equation agrees precisely with $`S_4(\mu ,\mu )`$ in (63) . This allows one to check also the density of states since

$$\mathrm{Im}\underset{\lambda \mu }{lim}\frac{}{\mu }F_N(\lambda ,\mu )=S(\mu ,\mu )$$
(66)
We have verified the known result of the density of state in the GOE, $`\rho (\lambda )=\frac{1}{\pi N}S(\lambda ,\lambda )`$.

We are interested in the large N limit and the choice of variables $`b,b^{}`$ and $`\rho `$ hereabove, is not the best one. Let us define instead $`u_1`$, $`u_2`$ and $`t`$, (analogous to the variables $`u`$ and $`t`$ which have been used for the unitary case ; a comparison with the unitary case is very useful) as follows

$$b=\frac{u_1+u_2}{2},\rho =\frac{(u_1u_2)^2}{4}$$
(67)
and $`b^{}=t`$. The geometric meaning of those variables will become clear later when the formalism of graded supermatrices is introduced. Then we have from (52)

$`F_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{N^2}{2\pi ^2}}{\displaystyle _{\mathrm{}}^{\mathrm{}}𝑑t𝑑u_1𝑑u_2e^{N(t+i\lambda )^2\frac{N}{2}(u_1+\mu )^2\frac{N}{2}(u_2+\mu )^2}\frac{(it)^N}{(u_1u_2)^{N/2}}|u_1u_2|}`$ (68)
$`\times `$ $`[1+{\displaystyle \frac{1}{2}}{\displaystyle \frac{u_1+u_2}{it(u_1u_2)}}+{\displaystyle \frac{(N1)}{4N}}{\displaystyle \frac{1}{(it)^2u_1u_2}}]`$
This representation is well adapted to the large-N limit. The saddle points are

$`t^c`$ $`=`$ $`{\displaystyle \frac{i\lambda \pm \sqrt{2\lambda ^2}}{2}}=t_+,t_{}`$
$`u_{1}^{}{}_{}{}^{c}`$ $`=`$ $`{\displaystyle \frac{\mu \pm i\sqrt{2\mu ^2}}{2}}=u_+,u_{}`$
$`u_{2}^{}{}_{}{}^{c}`$ $`=`$ $`{\displaystyle \frac{\mu \pm i\sqrt{2\mu ^2}}{2}}.`$ (69)
We have analyzed before a similar large N behavior for the kernel of the unitary case . The factor $`(it/\sqrt{u_1u_2})^N`$ , is oscillatory in the large N limit unless we take the pair of saddle points with $`(t,u_1,u_2)=(t_+,u_+,u_+)`$ and $`(t_{},u_{},u_{})`$. The other six possibilities are sub-leading. The fluctuations around the saddle-point give

$$\frac{1}{(f^{^{\prime \prime }}(t_c))^{1/2}}=\frac{1}{\sqrt{1\frac{1}{2t^2}}}$$
(70)
and for $`u_1`$ and $`u_2`$ we have similar Gaussian fluctuations to take into account, together with the factor $`|u_1u_2|`$. Then the Gaussian integration for the u-fluctuations yields

$$\frac{1}{(f^{^{\prime \prime }}(u_c))^{3/2}}=\frac{1}{(1\frac{1}{2u^2})^{3/2}}$$
(71)
The second term in the integrand of (68) becomes at the saddle point

$$1+\frac{1}{2}\frac{u_1+u_2}{it(u_1u_2)}+\frac{1}{4}\frac{1}{(it)^2u_1u_2}=1+\frac{1}{it_cu_c}+\frac{1}{4(it_c)^2u_c^2}$$
(72)
which is $`(1+\frac{1}{2it_cu_c})^2`$. Noting that $`u_c=it_c`$, we find that this factor cancels the results (70) and (71) of the Gaussian fluctuations. In the large N limit, then we have

$$\mathrm{Im}F_N(\lambda ,\mu )=\mathrm{sin}(N(\lambda \mu )\sqrt{2\lambda ^2})$$
(73)
$`\rho (\lambda )`$ $`=`$ $`{\displaystyle \frac{1}{\pi N}}\underset{\mu \lambda }{lim}{\displaystyle \frac{}{\lambda }}\mathrm{sin}[N(\lambda \mu )\sqrt{2\lambda ^2}]`$ (74)
$`=`$ $`{\displaystyle \frac{1}{\pi }}\sqrt{2\lambda ^2}`$
as expected.

## 4 Supermatrix diagonalization

We have obtained an integral representation of the averaged ratio of characteristic polynomials (51) by a Gaussian integration over $`\theta `$’s and $`z`$’s. If, instead of integrating out the anticommuting variables, we keep bosonic and fermionic (supersymmetric) degrees of freedom, the formulation becomes more transparent. Furthermore it turns out that the diagonalization of the supermatrices by a supergroup element provides an extremely useful representation in terms of the eigenvalues.

Let us define the super-matrix $`Q`$ by

$$Q=\left(\begin{array}{cccc}b& u& i\overline{\eta }& i\eta ^{}\\ u^{}& b& i\overline{\eta }^{}& i\eta \\ i\eta & i\eta ^{}& ib^{}& 0\\ i\overline{\eta }^{}& i\overline{\eta }& 0& ib^{}\end{array}\right)$$
(75)
which is such that one can write the various quantities which appear in the integral representation (49) as follows :

$`ibz^{}z+{\displaystyle \frac{i}{2}}(u^{}z^2+uz_{}^{}{}_{}{}^{2})+\overline{\eta }\theta z^{}+\eta \overline{\theta }z+\eta ^{}z^{}\overline{\theta }+\overline{\eta }^{}\theta zb^{}\overline{\theta }\theta `$
$`={\displaystyle \frac{i}{2}}(z^{},z,\overline{\theta },\theta )Q\left(\begin{array}{c}z\\ z^{}\\ \theta \\ \overline{\theta }\end{array}\right)`$ (76)
and

$$\frac{1}{2}\mathrm{Str}Q^2=b^2+b^2+u^{}u+2\overline{\eta }\eta +2\overline{\eta }^{}\eta ^{}.$$
(77)
From the definition (31) of Sdet\[Q\] , one has

$$\mathrm{Sdet}[Q]=\frac{b^2u^{}u}{[b^{}+\frac{i}{b^2u^{}u}\left(b(\overline{\eta }\eta +\overline{\eta }^{}\eta ^{})+u\overline{\eta }^{}\eta +u^{}\overline{\eta }\eta ^{}\right)]^2}$$
(78)
Similarly we define the diagonal supermatrix $`\mathrm{\Lambda }`$ , with elements $`(\mu ,\mu ,\lambda ,\lambda )`$ on the diagonal. This leads to a compact expression for $`F_N(\lambda ,\mu )`$ as an integral over the supermatrix $`Q`$,

$$F_N(\lambda ,\mu )=\frac{1}{4}e^{N(\mu ^2\lambda ^2)}𝑑Qe^{\frac{N}{2}StrQ^2iNStrQ\mathrm{\Lambda }}\frac{1}{(\mathrm{Sdet}Q)^{N/2}},$$
(79)
which is identical to (33).

Superunitary transformations on the variables are defined by

$$\left(\begin{array}{c}z\\ z^{}\\ \theta \\ \overline{\theta }\end{array}\right)=g\left(\begin{array}{c}z^{}\\ z^{}\\ \theta ^{}\\ \overline{\theta ^{}}\end{array}\right)$$
(80)
with

$$g=\left(\begin{array}{cc}a& b\\ c& d\end{array}\right)$$
(81)
in which $`b`$ and $`c`$ are $`2\times 2`$ matrices with anticommuting elements. Then

$$g^{}=\left(\begin{array}{cc}a^{}& \overline{c}\\ \overline{b}& d^{}\end{array}\right).$$
(82)
Unitary transformations $`g^{}g=1`$ leave invariant the quadratic form $`z^{}z+\overline{\theta }\theta `$. One may diagonalize the matrix $`Q`$ by such a unitary transformation

$$Q=g\left(\begin{array}{cccc}u_1& & & \\ & u_2& & \\ & & it& \\ & & & it\end{array}\right)g^{}$$
(83)
since one can see, through an identity similar to (78), that it has one doubly degenerate eigenvalue. Then the integration measure on the matrix $`Q`$ may be replaced by an integration over the eigenvalues $`u_1,u_2,t`$ and a group integration, up to a Jacobian which may be found as follows. One considers a group element near the identity

$$g=1+iϵ$$
(84)
with

$$ϵ=\left(\begin{array}{cc}ia& b\\ \overline{b}& 0\end{array}\right)$$
(85)
with

$$a=\left(\begin{array}{cc}0& v\\ v^{}& 0\end{array}\right).$$
(86)
Starting from a diagonal matrix $`Q`$ it is transformed under this operation into $`Q+\delta Q`$, with

$$\delta Q=i[ϵ,Q]=i\left(\begin{array}{cccc}0& v(u_2u_1)& (itu_1)b_{11}& (itu_1)b_{12}\\ v^{}(u_1u_2)& 0& (itu_2)b_{21}& (itu_2)b_{22}\\ (itu_1)\overline{b}_{11}& (itu_2)\overline{b}_{21}& 0& 0\\ (itu_1)\overline{b}_{12}& (itu_2)\overline{b}_{22}& 0& 0\end{array}\right).$$
(87)
The Jacobian J is then simply

$$J=\frac{|u_1u_2|}{(itu_1)^2(itu_2)^2}$$
(88)
The representation (79) leads to consider the supergroup equivalent of the HIZ integral defined by

$$I=𝑑ge^{N\mathrm{Str}gQg^1\mathrm{\Lambda }}$$
(89)
where $`\mathrm{\Lambda }`$ and $`Q`$ are diagonal matrices, $`\mathrm{\Lambda }=\mathrm{diag}(\mu ,\mu ,\lambda ,\lambda )`$ and $`Q=\mathrm{diag}(u_1,u_2,it,it)`$. (We are still dealing here with a single ratio (42) of characteristic polynomials and we shall return to this point for higher correlation functions). The HIZ integral $`I`$ may be obtained as the solution of a heat kernel differential equation. Indeed it satisfies the equation

$$\mathrm{\Delta }_QI(Q)=ϵI(Q)$$
(90)
in which $`\mathrm{\Delta }`$ is the Laplacian with respect to the matrix elements of Q, sum of second derivatives with respect to the five commuting variables, and to the four Grassmannian ones, and

$$ϵ=2N^2(\mu ^2\lambda ^2).$$
(91)
Since the integral $`I`$ is invariant under supergroup transformations of $`Q`$, it is a function of the three distinct eigenvalues of Q $`u_1,u_2,it`$ and one may express the Laplacian as a second order differential operator with respect to those eigenvalues :

$$\frac{1}{2J}\frac{}{t}J\frac{}{t}I(Q)+\frac{1}{J}\underset{\alpha =1}{\overset{2}{}}\frac{}{u_\alpha }J\frac{}{u_\alpha }I(Q)=ϵI(Q)$$
(92)
(The factor 1/2 comes from the degeneracy of the eigenvalue $`it`$). Let $`h`$ denote the square root of the Jacobian

$$h=J^{1/2}$$
(93)
and substitute in the differential equation $`I(Q)=\chi /h`$. Then, with the help of the identity

$`{\displaystyle \frac{1}{2h}}{\displaystyle \frac{}{t}}(h^2{\displaystyle \frac{}{t}}{\displaystyle \frac{\chi }{h}})+{\displaystyle \frac{1}{h}}{\displaystyle \underset{\alpha =1}{\overset{2}{}}}{\displaystyle \frac{}{u_\alpha }}(h^2{\displaystyle \frac{}{u_\alpha }}{\displaystyle \frac{\chi }{h}})`$ (94)
$`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \frac{^2\chi }{t^2}}+{\displaystyle \underset{\alpha =1}{\overset{2}{}}}{\displaystyle \frac{^2\chi }{u_{\alpha }^{}{}_{}{}^{2}}}{\displaystyle \frac{\chi }{2h}}{\displaystyle \frac{^2h}{t^2}}{\displaystyle \frac{\chi }{h}}{\displaystyle \underset{\alpha =1}{\overset{2}{}}}{\displaystyle \frac{^2h}{u_{\alpha }^{}{}_{}{}^{2}}},`$
the first derivative terms of $`\chi `$ cancel in the differential equation and one obtains, up to contact terms which have a vanishing contribution to the final result,

$$\frac{1}{2}\frac{^2\chi }{t^2}+\underset{\alpha =1}{\overset{2}{}}\frac{^2\chi }{u_{\alpha }^{}{}_{}{}^{2}}+[\underset{\alpha =1}{\overset{2}{}}\frac{1}{(itu_\alpha )^2}+\frac{1}{2}\frac{1}{(u_1u_2)^2}]\chi =ϵ\chi $$
(95)
If one substitutes

$$\chi =e^{2iNt\lambda +Nu_1\mu +Nu_2\mu }\sqrt{|u_1u_2|}g$$
(96)
(the square root factor comes from the degeneracies in the matrix $`\mathrm{\Lambda }`$), the pole $`1/(u_1u_2)`$ in (95) is cancelled. Then the HIZ integral $`I`$ becomes

$$I=e^{2iN\lambda t+N(u_1+u_2)\mu }(itu_1)(itu_2)(\lambda \mu )^2g$$
(97)
in which $`g`$ satisfies the Laplacian (heat kernel) equation,

$`2iN\lambda {\displaystyle \frac{g}{t}}+2N\mu {\displaystyle \frac{g}{u_1}}+2N\mu {\displaystyle \frac{g}{u_2}}+{\displaystyle \frac{1}{2}}{\displaystyle \frac{^2g}{t^2}}+{\displaystyle \frac{^2g}{u_{1}^{}{}_{}{}^{2}}}+{\displaystyle \frac{^2g}{u_{2}^{}{}_{}{}^{2}}}+{\displaystyle \frac{1}{u_1u_2}}({\displaystyle \frac{g}{u_1}}{\displaystyle \frac{g}{u_2}})`$ (98)
$`+`$ $`[{\displaystyle \frac{1}{(itu_1)^2}}{\displaystyle \frac{1}{(itu_2)^2}}]g=0,`$
Remarkably enough, the solution of this equation is simply,

$$g=1\frac{1}{2N(itu_1)(\lambda \mu )}\frac{1}{2N(itu_2)(\lambda \mu )}.$$
(99)
Collecting all factors from (97), together with the Jacobian ( 88) $`F_N(\lambda ,\mu )`$ may then be written as

$`F_N(\lambda ,\mu )`$ $`=`$ $`{\displaystyle \frac{(it)^N}{(u_1u_2)^{\frac{N}{2}}}\frac{|u_1u_2|}{(itu_1)(itu_2)}(\lambda \mu )^2[1\frac{1}{2N(\lambda \mu )}(\frac{1}{itu_1}+\frac{1}{itu_2})]}`$ (100)
$`\times `$ $`e^{2iNt\lambda +N(u_1+u_2)\mu Nt^2\frac{N}{2}(u_1^2+u_2^2)}dtdu_1du_2`$
From there one derives the density of states

$`\rho (\lambda )`$ $`=`$ $`{\displaystyle \frac{1}{\pi N}}\mathrm{Im}\underset{\mu \lambda }{lim}{\displaystyle \frac{}{\lambda }}F_N(\lambda ,\mu )`$ (101)
$`=`$ $`{\displaystyle \frac{1}{8\pi ^2N}}\mathrm{Im}\underset{\mu \lambda }{lim}{\displaystyle 𝑑t𝑑u\frac{(it)^N}{(u_1u_2)^{\frac{N}{2}}}\frac{|u_1u_2|}{(itu_1)(itu_2)}[\frac{1}{itu_1}+\frac{1}{itu_2}]}`$
$`\times `$ $`e^{2iNt\lambda +N(u_1+u_2)\mu Nt^2\frac{N}{2}(u_1^2+u_2^2)}`$
This result has been also obtained recently by Guhr and Kohler. Since this expression is quite different from (68), derived in the section two, it is worth showing that it does gives the same result for the density of states. For simplicity let us consider the N=2 case.

We return to the variables defined in (67) ; then $`\rho (\lambda )`$ reads

$$\rho (\lambda )=\frac{1}{8\pi N}\mathrm{Im}\frac{(it)^2}{b^2\rho }\frac{(itb)}{((it)^22itb+b^2\rho )^2}e^{N(t+i\lambda )^2N(b\lambda )^2N\rho }𝑑t𝑑b𝑑\rho $$
(102)
The imaginary part is evaluated as in (56),

$`\rho `$ $`=`$ $`{\displaystyle \frac{1}{8\pi N}}{\displaystyle \mathrm{sgn}(\mathrm{b})\delta (\rho b^2)\frac{(it)^2(itb)}{((it)^22itb+b^2\rho )^2}e^{N(t+i\lambda )^2N(b\lambda )^2N\rho }𝑑t𝑑b𝑑\rho }`$ (103)
$`=`$ $`{\displaystyle \frac{1}{8\pi N}}{\displaystyle \mathrm{sgn}(\mathrm{b})\frac{itb}{(it2b)^2}e^{N(t+i\lambda )^2Nb^2N(b\lambda )^2}𝑑b𝑑t}`$
The factor $`itb`$ in the integrand, is equivalent to taking a derivative with respect to $`\lambda `$ of the exponent. We also introduce an auxiliary integral over a variable $`s`$ to express the denominator,

$`\rho `$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \frac{}{\lambda }}[{\displaystyle _{\mathrm{}}^{\mathrm{}}}dt{\displaystyle _0^{\mathrm{}}}db{\displaystyle _0^{\mathrm{}}}dsse^{s(2bit)Nb^2N(b\lambda )^2N(t+i\lambda )^2}`$ (104)
$``$ $`{\displaystyle _{\mathrm{}}^{\mathrm{}}}dt{\displaystyle _{\mathrm{}}^0}db{\displaystyle _0^{\mathrm{}}}dsse^{s(2bit)Nb^2N(b\lambda )^2N(t+i\lambda )^2}]`$
This difference of integrals is an even function of $`\lambda `$, since it may be expressed as,

$$\rho =\frac{1}{2}\frac{}{\lambda }[f(\lambda )f(\lambda )]$$
(105)
with $`f`$, after integration over $`t`$, is

$`f(\lambda )`$ $`=`$ $`{\displaystyle _0^{\mathrm{}}}{\displaystyle _0^{\mathrm{}}}𝑑s𝑑bse^{2N(b\frac{\lambda }{2}+\frac{s}{2N})^2+\frac{s^2}{4N}\frac{N}{2}\lambda ^2}`$ (106)
$`=`$ $`{\displaystyle _0^{\mathrm{}}}𝑑sse^{\frac{s^2}{4N}\frac{N}{2}\lambda ^2}{\displaystyle _{\frac{\lambda }{2}+\frac{s}{2N}}^{\mathrm{}}}𝑑be^{2b^2}`$
Therefore, one obtains

$`{\displaystyle \frac{}{\lambda }}f`$ $`=`$ $`{\displaystyle _0^{\mathrm{}}}se^{\frac{1}{4N}(s2N\lambda )^2}𝑑s`$ (107)
$`=`$ $`2Ne^{N\lambda ^2}+N\lambda \sqrt{4N\pi }+2N\lambda {\displaystyle _{2N\lambda }^0}e^{\frac{z^2}{4N}}𝑑z`$
Dropping the odd terms in $`\lambda `$, we recover the expression (58) for the $`N=2`$ density of states. For general N, the same method applies. Taking the imaginary part of $`\frac{1}{(b^2\rho )^{(N/2)}}`$, gives derivatives of the delta-function, and using integration by parts, we obtain the expression for the density of states

## 5 Large N limit : the semi-circle law

We now consider the large N limit of the density of states, based on the representation (101). In the large N limit, one may use the saddle point method for the integration over $`t`$ and $`u_1,u_2`$. Since the denominators in (101) have double poles, we again change variables to $`b=\frac{u_1+u_2}{2},r=\frac{(u_1u_2)^2}{4}`$. Then the integral becomes

$`\rho (\lambda )`$ $`=`$ $`\underset{\mu \lambda }{lim}\mathrm{Im}{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑t{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑b{\displaystyle _0^{\mathrm{}}}𝑑r{\displaystyle \frac{(it)^N}{(b^2r)^{N/2}}}{\displaystyle \frac{2it2b}{[(it)^22b(it)+b^2r]^2}}`$ (108)
$`\times `$ $`e^{N(t+i\lambda )^2Nb^2+2Nb\mu Nr}`$
Integrating by parts over $`r`$, one is led to

$`\rho (\lambda )={\displaystyle \frac{1}{8\pi ^2}}\underset{\mu \lambda }{lim}\mathrm{Im}{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑t{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑b({\displaystyle \frac{it}{b}})^N{\displaystyle \frac{1}{itb}}e^{N(t+i\lambda )^2N(b\mu )^2}`$
$`+`$ $`{\displaystyle \frac{N}{4\pi ^2}}\underset{\mu \lambda }{lim}\mathrm{Im}{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑t𝑑u_1𝑑u_2{\displaystyle \frac{(it)^N}{(u_1u_2)^{N/2}}}{\displaystyle \frac{|u_1u_2|}{itu_1}}(1{\displaystyle \frac{1}{2u_1u_2}})`$
$`\times `$ $`e^{N(t+i\lambda )^2\frac{N}{2}(u_1\mu )^2\frac{N}{2}(u_2\mu )^2}`$
In the second term, we have used again the variables $`u_1`$ and $`u_2`$ instead of $`b`$ and $`\rho `$. The saddle points are

$$t_\pm =\frac{i\lambda \pm \sqrt{2\lambda ^2}}{2}$$
(110)
$$b_\pm =u_\pm =\frac{\mu \pm \sqrt{\mu ^22}}{2}$$
(111)
The two leading saddle-points are, $`(t_+,b_+)`$ and $`(t_{},b_{})`$ . Other choices, such as $`(t_+,b_{})`$ give an oscillatory behavior, which can be neglected in the large N limit.The first term in (5) is same as GUE. For the second term, one needs to evaluate the Gaussian fluctuation around the saddle point since there is a factor $`|u_1u_2|`$. One retains also the pair of saddle points $`(t_+,u_{1+},u_{2+})`$ and $`(t_{},u_1,u_2)`$. The fluctuation around the saddle points, give a factor $`1/\sqrt{f^{\prime \prime }(t_c)}=1/\sqrt{1+\frac{1}{2t_{}^{2}{}_{c}{}^{}}}=\frac{\sqrt{t_c}}{(2\lambda ^2)^{1/4}}`$ for the integration over $`t`$. Noting that

$$it_+b_+=it_+u_+=(\lambda \mu )(\frac{t_+}{\sqrt{2\lambda ^2}})$$
(112)
we find that the factors $`1/\sqrt{f^{\prime \prime }(t_c)}`$ cancel, and the second term becomes same form as the first term. We obtain by adding by the two saddle points, in the limit $`\lambda \mu `$,

$$\rho (\lambda )=\frac{1}{\pi N}\underset{\mu \lambda }{lim}\frac{\mathrm{sin}[N(\lambda \mu )\sqrt{2\lambda ^2}]}{\lambda \mu }=\frac{1}{\pi }\sqrt{2\lambda ^2}$$
(113)
which is indeed the semi-circle law in the large N limit for the density of states.

## 6 Ratio of two characteristic polynomials and two point correlation function: preliminaries

We now consider the ratio of two characteristic polynomials,

$$F_N(\lambda _1,\lambda _2,\mu _1,\mu _2)=<\frac{\mathrm{det}(\lambda _1X)\mathrm{det}(\lambda _2X)}{\mathrm{det}(\mu _1X)\mathrm{det}(\mu _2X)}>$$
(114)
for the GOE ensemble. We introduce again Grassmann variables $`\theta _1,\theta _2`$ and complex numbers $`z_1,z_2`$ to represent these determinants.

$`F_N(\lambda _1,\lambda _2,\mu _1,\mu _2)`$ (115)
$`=`$ $`{\displaystyle \underset{a=1}{\overset{N}{}}\underset{\alpha =1}{\overset{2}{}}dz_{}^{}{}_{\alpha a}{}^{}dz_{\alpha a}d\overline{\theta }_{\alpha a}d\theta _{\alpha a}}`$
$`\times `$ $`<e^{iN[\overline{\theta }_{1a}(\lambda _1\delta _{ab}X_{ab})\theta _{1b}+\overline{\theta }_{2a}(\lambda _2\delta _{ab}X_{ab})\theta _{2b}+z_{1a}^{}(\mu _1\delta _{ab}X_{ab})z_{1b}+z_{2a}^{}(\mu _2\delta _{ab}X_{ab})z_{2b}]}>`$
We integrate out the random matrix $`X`$ by (45). Noting that $`\mathrm{tr}Y^2`$ and $`\mathrm{tr}YY^T`$ are now

$$\mathrm{tr}Y^2=(\overline{\theta }_\alpha \theta _\beta )(\overline{\theta }_\beta \theta _\alpha )+(z_\alpha ^{}z_\beta )(z_\beta ^{}z_\alpha )+2(\overline{\theta }_\alpha z_\beta )(z_\beta ^{}\theta _\alpha )$$
(116)
$$\mathrm{tr}YY^T=(\overline{\theta }_\alpha \overline{\theta }_\beta )(\theta _\beta \theta _\alpha )+(z_\alpha ^{}z_\beta ^{})(z_\beta z_\alpha )+2(\overline{\theta }_\alpha z_\beta ^{})(z_\beta \theta _\alpha ),$$
(117)
where $`\alpha ,\beta =1,2`$, and $`(\overline{\theta }_\alpha \theta _\beta )=_{a=1}^N\overline{\theta }_{\alpha a}\theta _{\beta a}`$. As for the one-point correlation function, one introduces auxiliary fields, $`b_1,b_2,b_1^{},b_2^{},\mathrm{}`$, and use the Gaussian integral representation of (3). Then, one integrates out $`\overline{\theta },\theta ,z^{},z`$. The result is then cast into the form,

$$F_N(\lambda _1,\lambda _2,\mu _1,\mu _2)=[\mathrm{Sdet}Q]^{\frac{N}{2}}e^{\frac{1}{2}\mathrm{Str}Q^2+\mathrm{Str}Q\mathrm{\Lambda }}$$
(118)
where $`Q`$ is an $`8\times 8`$ super-matrix.

$$Q=\left(\begin{array}{cccccccc}b_1& v_1& v_3& v_4& i\overline{\eta }_1& i\eta _2& i\overline{\eta }_3& i\eta _4\\ v_1^{}& b_1& v_4^{}& v_3^{}& i\overline{\eta }_2& i\eta _1& i\overline{\eta }_4& i\eta _3\\ v_3^{}& v_4& b_2& v_2& i\overline{\eta }_5& i\eta _6& i\overline{\eta }_7& i\eta _8\\ v_4^{}& v_3& v_2^{}& b_2& i\overline{\eta }_6& i\eta _5& i\overline{\eta }_8& i\eta _7\\ i\eta _1& i\eta _2& i\eta _5& i\eta _6& ib_1^{}& 0& w_1& w_2\\ i\overline{\eta }_2& i\overline{\eta }_1& i\overline{\eta }_6& i\overline{\eta }_5& 0& ib_1^{}& w_2^{}& w_1^{}\\ i\eta _3& i\eta _4& i\eta _7& i\eta _8& w_1^{}& w_2& ib_2^{}& 0\\ i\overline{\eta }_4& i\overline{\eta }_3& i\overline{\eta }_8& i\overline{\eta }_7& w_2^{}& w_1& 0& ib_2^{}\end{array}\right)$$
(119)
Again one needs to diagonalize $`Q`$ by a super-group transformation, and find the Jacobian for the representation in terms of eigenvalues. This yields a factor $`(t_1t_2)^4`$ for the $`(b^{},w)`$ block matrices of $`Q`$, as discussed in a previous article. The Jacobian for the Grassmannian part is again obtained by linearizing the group transformation near identity as in (87). Then, in terms of the eigenvalues of $`Q`$, we have

$`F_N(\lambda _1,\lambda _2,\mu _1,\mu _2)`$ $`=`$ $`{\displaystyle \frac{[(it_1)(it_2)]^N}{(u_1u_2u_3u_4)^{N/2}}\frac{_{i<j}^4|u_iu_j|(t_1t_2)^4}{_{i=1}^4(it_1u_i)^2_{i=1}^4(it_2u_i)^2}e^{N{\scriptscriptstyle t_i^2}N_ju_j^2}}`$ (120)
$`\times `$ $`Idt_1dt_2du_1du_2du_3du_4`$
where $`I`$ is the HIZ integral

$$I=𝑑ge^{N\mathrm{Str}gQg^1\mathrm{\Lambda }}$$
(121)
It is sufficient to take diagonal matrices $`Q=\mathrm{diag}(u_1,u_2,u_3,u_4,it_1,it_1,it_2,it_2)`$, and $`\mathrm{\Lambda }`$ : $`\mathrm{\Lambda }=(\mu _1,\mu _1,\mu _2,\mu _2,\lambda _1,\lambda _1,\lambda _2,\lambda _2)`$. Note that the eigenvalues of $`\mathrm{\Lambda }`$ are doubly degenerate. This HIZ integral is again computed by a taking the Laplacian with respect to matrix elements, a generalization of what appeared in our previous work .

The Jacobian $`J`$ in this case is the generalization of (88), which is derived by (87),

$$J=\frac{_{i<j}^4|u_iu_j|(t_1t_2)^4}{_{i=1}^2_{\alpha =1}^4(it_iu_\alpha )^2}.$$
(122)
The Laplacian equation is

$$\frac{1}{2J}\underset{i=1}{\overset{2}{}}\frac{}{t_i}J\frac{}{t_i}I(Q)+\frac{1}{J}\underset{\alpha =1}{\overset{4}{}}\frac{}{u_\alpha }J\frac{}{u_\alpha }I(Q)=ϵI(Q)$$
(123)
The factor 1/2 comes from the degeneracy of $`t`$. We set again $`h=J^{1/2}`$ and substitute $`\psi =\chi /h`$. Then, the same identity (94) eliminates the first derivatives of $`\chi `$. Since the eigenvalues of $`\mathrm{\Lambda }`$ are degenerate, we factor out $`\sqrt{(u_1u_2)(u_3u_4)}`$, and we have the following HIZ integral,

$`I`$ $`=`$ $`{\displaystyle \frac{_{i=1,2;\alpha =1,..,4}(it_iu_\alpha )(\lambda _1\mu _1)^2(\lambda _1\mu _2)^2(\lambda _2\mu _1)^2(\lambda _2\mu _2)^2}{(t_1t_2)^2_{i<j}\sqrt{u_iu_j}(\lambda _1\lambda _2)^2(\mu _1\mu _2)^2}}`$ (124)
$`\times `$ $`\sqrt{(u_1u_2)(u_3u_4)}ge^{2iNt_1\lambda _12iNt_2\lambda _2+N(u_1+u_2)\mu _1+N(u_3+u_4)\mu _2}+(\mathrm{perm}.)`$
where (perm.) means sum over permutations of the $`\lambda _i`$’s and $`\mu _i`$’s. The differential equation becomes

$`2iN\lambda _1{\displaystyle \frac{g}{t_1}}2iN\lambda _2{\displaystyle \frac{g}{t_2}}+2N\mu _1{\displaystyle \frac{g}{u_1}}+2N\mu _1{\displaystyle \frac{g}{u_2}}+2N\mu _2{\displaystyle \frac{g}{u_3}}+2N\mu _2{\displaystyle \frac{g}{u_4}}`$ (125)
$`+`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \underset{i=1}{\overset{2}{}}}{\displaystyle \frac{^2g}{t_{i}^{}{}_{}{}^{2}}}+{\displaystyle \underset{\alpha =1}{\overset{4}{}}}{\displaystyle \frac{^2g}{u_{\alpha }^{}{}_{}{}^{2}}}+{\displaystyle \frac{1}{u_1u_2}}({\displaystyle \frac{g}{u_1}}{\displaystyle \frac{g}{u_2}})+{\displaystyle \frac{1}{u_3u_4}}({\displaystyle \frac{g}{u_3}}{\displaystyle \frac{g}{u_4}})`$
$`+`$ $`g[{\displaystyle \frac{2}{(t_1t_2)^2}}{\displaystyle \underset{i,\alpha }{}}{\displaystyle \frac{1}{(it_iu_\alpha )^2}}+{\displaystyle \frac{1}{2(u_1u_3)^2}}+{\displaystyle \frac{1}{2(u_1u_4)^2}}+{\displaystyle \frac{1}{2(u_2u_3)^2}}`$
$`+`$ $`{\displaystyle \frac{1}{2(u_2u_4)^2}}]=0.`$
The solution to this equation may be obtained by expanding in 1/N ; it contains several factors

$`g`$ $`=`$ $`[1{\displaystyle \frac{i}{Nt_{12}}}][1+{\displaystyle \frac{1}{4N}}({\displaystyle \frac{1}{u_{13}}}+{\displaystyle \frac{1}{u_{14}}}+{\displaystyle \frac{1}{u_{23}}}+{\displaystyle \frac{1}{u_{24}}})+\mathrm{}]`$ (126)
$`\times `$ $`[1{\displaystyle \frac{1}{2N}}({\displaystyle \underset{i=1}{\overset{2}{}}}{\displaystyle \underset{\alpha =1}{\overset{4}{}}}{\displaystyle \frac{1}{\tau _{i\alpha }}})`$
$`+`$ $`{\displaystyle \frac{1}{4N^2}}(({\displaystyle \frac{1}{\tau _{11}}}+{\displaystyle \frac{1}{\tau _{12}}})({\displaystyle \frac{1}{\tau _{13}}}+{\displaystyle \frac{1}{\tau _{14}}})+({\displaystyle \frac{1}{\tau _{21}}}+{\displaystyle \frac{1}{\tau _{22}}})({\displaystyle \frac{1}{\tau _{23}}}+{\displaystyle \frac{1}{\tau _{24}}})`$
$`+`$ $`({\displaystyle \frac{1}{\tau _{11}}}+{\displaystyle \frac{1}{\tau _{12}}}+{\displaystyle \frac{1}{\tau _{13}}}+{\displaystyle \frac{1}{\tau _{14}}})({\displaystyle \frac{1}{\tau _{21}}}+{\displaystyle \frac{1}{\tau _{22}}}+{\displaystyle \frac{1}{\tau _{23}}}+{\displaystyle \frac{1}{\tau _{24}}}))`$
$``$ $`{\displaystyle \frac{1}{8N^3}}(({\displaystyle \frac{1}{\tau _{11}}}+{\displaystyle \frac{1}{\tau _{12}}})({\displaystyle \frac{1}{\tau _{13}}}+{\displaystyle \frac{1}{\tau _{14}}})({\displaystyle \frac{1}{\tau _{21}}}+{\displaystyle \frac{1}{\tau _{22}}}+{\displaystyle \frac{1}{\tau _{23}}}+{\displaystyle \frac{1}{\tau _{24}}})`$
$`+`$ $`({\displaystyle \frac{1}{\tau _{21}}}+{\displaystyle \frac{1}{\tau _{22}}})({\displaystyle \frac{1}{\tau _{23}}}+{\displaystyle \frac{1}{\tau _{24}}})({\displaystyle \frac{1}{\tau _{11}}}+{\displaystyle \frac{1}{\tau _{12}}}+{\displaystyle \frac{1}{\tau _{13}}}+{\displaystyle \frac{1}{\tau _{14}}}))`$
$`+`$ $`{\displaystyle \frac{1}{16N^4}}({\displaystyle \frac{1}{\tau _{11}}}+{\displaystyle \frac{1}{\tau _{12}}})({\displaystyle \frac{1}{\tau _{13}}}+{\displaystyle \frac{1}{\tau _{14}}})({\displaystyle \frac{1}{\tau _{21}}}+{\displaystyle \frac{1}{\tau _{22}}})({\displaystyle \frac{1}{\tau _{23}}}+{\displaystyle \frac{1}{\tau _{24}}})]`$
where we define

$`t_{12}`$ $`=`$ $`(t_1t_2)(\lambda _1\lambda _2)`$
$`u_{13}`$ $`=`$ $`(u_1u_3)(\mu _1\mu _2),u_{14}=(u_1u_4)(\mu _1\mu _2)`$
$`u_{23}`$ $`=`$ $`(u_2u_3)(\mu _1\mu _2),u_{24}=(u_2u_4)(\mu _1\mu _2)`$
$`\tau _{11}`$ $`=`$ $`(it_1u_1)(\lambda _1\mu _1),\tau _{13}=(it_1u_3)(\lambda _1\mu _2)`$
$`\tau _{12}`$ $`=`$ $`(it_1u_2)(\lambda _1\mu _1),etc.`$ (127)
Note that all these variables $`Nt,N\tau ,Nu`$ are of order one in Dyson’s scaling limit. The series in $`1/\tau `$ terminate at order $`1/N^4`$. However the second factor in (126) is an infinite series in powers of $`1/N`$, and the scaling limit requires a determination of the full series. Remarkably enough a closed solution may be found in the scaling limit. This series turns out to be simply the HIZ integral for the GOE ensemble, and it will be discussed in the next section before returning to the two-point function.

## 7 Heat kernel equation for non-unitary Itzykson-Zuber integrals

Let us consider the integral,

$$I=𝑑ge^{N\mathrm{Tr}(gAg^1B)}$$
(128)
in which $`g`$ runs over the orthogonal group $`O(2k)`$, with the usual Haar measure of integration. We do consider group integration in this section, not supergroups . We shall also later generalize it to other values of $`\beta `$ with, as usual, $`\beta =1,2,4`$ for the GOE,GUE and GSE ensembles respectively. The eigenvalues of $`A`$ are denoted $`(u_1,\mathrm{},u_{2k})`$, and the eigenvalues of $`B`$ as $`(\mu _1,\mathrm{},\mu _{2k})`$. Considered as a function of the matrix $`A`$ the integral $`I`$ satisfies a Laplacian equation,

$$\mathrm{\Delta }_AI=ϵI$$
(129)
where $`\mathrm{\Delta }_A`$ is the Laplacian with respect to the matrix elements of $`A`$, and

$$ϵ=N^2\mathrm{Tr}B^2=N^2\underset{1}{\overset{2k}{}}\mu _a^2.$$
(130)
Since $`I`$ is a function of the eigenvalues $`u_i`$ of $`A`$ one may replaced the Laplacian on the matrix elements by a differential operator on the eigenvalues

$$\mathrm{\Delta }=\frac{1}{J}\underset{i=1}{\overset{2k}{}}\frac{}{u_i}J\frac{}{u_i}$$
(131)
where the measure $`J`$ is given by the absolute value of the Vandermonde determinant,

$$J=\underset{i>j}{\overset{2k}{}}|u_iu_j|$$
(132)
Let us investigate the simplest case of a $`2\times 2`$ matrix ($`k=1`$), for which one obtains

$$[\frac{^2}{u_{1}^{}{}_{}{}^{2}}+\frac{^2}{u_{2}^{}{}_{}{}^{2}}+\frac{1}{u_1u_2}\frac{}{u_1}\frac{1}{u_1u_2}\frac{}{u_2}]I=ϵI$$
(133)
To eliminate the first order derivatives, one substitutes

$$I=\frac{1}{\sqrt{u_1u_2}}\chi $$
(134)
Then (129) becomes

$$\frac{^2\chi }{u_{1}^{}{}_{}{}^{2}}+\frac{^2\chi }{u_{2}^{}{}_{}{}^{2}}+\frac{1}{2}\frac{1}{(u_1u_2)^2}\chi =ϵ\chi $$
(135)
One then substitutes further

$$\chi =e^{Nu_1\mu _1+Nu_2\mu _2}f$$
(136)
Noting that $`ϵ=N^2(\mu _{1}^{}{}_{}{}^{2}+\mu _{2}^{}{}_{}{}^{2})`$, we obtain

$$2N\mu _1\frac{f}{u_1}+2N\mu _2\frac{f}{u_2}+\frac{^2f}{u_{1}^{}{}_{}{}^{2}}+\frac{^2f}{u_{2}^{}{}_{}{}^{2}}+\frac{1}{2(u_1u_2)^2}f=0.$$
(137)
From this differential equation one generates the expansion of the function $`f`$ in powers of $`1/N`$

$$f=1+\frac{1}{4N(u_1u_2)(\mu _1\mu _2)}+\frac{9}{32N^2(u_1u_2)^2(\mu _1\mu _2)^2}+O(\frac{1}{N^3})$$
(138)
This series is in fact the expansion of a modified Bessel function, as may be recognized on the differential equation. Indeed if we look for a solution $`f`$, which is a function of the single scaling variable

$$x=N(u_1u_2)(\mu _1\mu _2)$$
(139)
one sees that $`f(x)`$ should be the solution of the differential equation

$$f^{\prime \prime }(x)+f^{}(x)+\frac{1}{4x^2}f=0.$$
(140)
Therefore the $`k=1`$ solution is

$$I=e^{\frac{N}{2}(u_1+u_2)(\mu _1+\mu _2)}I_0(\frac{N}{2}(u_1u_2)(\mu _1\mu _2))$$
(141)
where $`I_0(z)`$ is a modified Bessel function, whose asymptotic expansion is

$$I_0(x)=\frac{e^x}{\sqrt{2\pi x}}[1+\frac{1}{8x}+\frac{9}{2(8x)^2}+\frac{225}{6(8x)^3}+\mathrm{}]$$
(142)
in agreement with (138) .

In the expansion (138), we have implicitely assumed that $`(u_1u_2)`$ is of order one in the Dyson limit, where $`N(\mu _1\mu _2)`$ is of order one. However if $`(u_1u_2)O(1/N)`$, the previous expansion is not valid and one has to perform a different expansion of the solution of the differential equation (137). Instead of (138) one expands

$$f=C\sqrt{|u_1u_2|}[1\frac{N}{2}(\mu _1\mu _2)(u_1u_2)+\mathrm{}]$$
(143)
in order to be able to deal with the regime in which the difference of the two arguments $`u_1`$ and $`u_2`$ becomes order of $`O(1/N)`$. It corresponds of course to the small $`x`$-expansion of the modified Bessel function (142).

Let us now proceed to the k=2 case, which is relevant to our problem. We have $`J=_{1i<j4}|u_iu_j|`$, and consider the region $`u_1>u_2>u_3>u_4`$. The differential equation for $`I`$ reads

$$\underset{i=1}{\overset{4}{}}\frac{^2}{u_{i}^{}{}_{}{}^{2}}I+\underset{i=1}{\overset{4}{}}\underset{ji}{}\frac{1}{u_iu_j}\frac{}{u_i}I=ϵI$$
(144)
Substituting $`I=\frac{1}{\sqrt{|\mathrm{\Delta }(u)|}}\chi `$, where $`\mathrm{\Delta }(u)`$ is the Vandermonde determinant of the $`u_i`$ (i=1,…4), one has

$$\underset{i=1}{\overset{4}{}}\frac{^2}{u_{i}^{}{}_{}{}^{2}}\chi +\frac{1}{2}\chi \underset{i<j}{}\frac{1}{(u_iu_j)^2}=ϵ\chi $$
(145)
Again one substitutes $`\chi =e^{Nu_1\mu _1+Nu_2\mu _2+Nu_3\mu _3+Nu_4\mu _4}f`$, and finds

$$2N\underset{i=1}{\overset{4}{}}\mu _i\frac{f}{u_i}+\underset{i=1}{\overset{4}{}}\frac{^2f}{u_{i}^{}{}_{}{}^{2}}+\frac{1}{2}\underset{i<j}{}\frac{1}{(u_iu_j)^2}f=0.$$
(146)
This equation has beautiful properties in the scaling limit of interest. Before discussing this property,let us write the generalization of this equation for arbitrary $`\beta `$ ($`\beta =1,2,4`$ are the standard values for GOE, GUE and GSE respectively), and for k-variables instead of four :

$$2N\underset{i=1}{\overset{k}{}}\mu _i\frac{f}{u_i}+\underset{i=1}{\overset{k}{}}\frac{^2f}{u_{i}^{}{}_{}{}^{2}}y\underset{i<j}{}\frac{1}{(u_iu_j)^2}f=0,$$
(147)
in which $`y`$ stands for

$$y=\beta (\frac{\beta }{2}1).$$
(148)
It is a remarkable property that this equation has a solution which is a function of the scaling variables

$$\tau _{ij}=N(\mu _i\mu _j)(u_iu_j)$$
(149)
alone, and not separately of the $`u`$’s and the $`\mu `$’s. Given the origin of this equation, namely the HIZ integrals, it is clear that the solution involves only dimensionless products of the type $`\mu _iu_j`$, and that it is unchanged by a simultaneous permutation of $`u_i`$ and $`u_j`$ accompanied by the same permutation on $`\mu _i\mu _j`$. However a direct proof or verification on the equation itself, turns out to lead to very elaborate combinatorial identities if one tries, for instance, to expand the solution for large $`\tau `$’s. The lowest orders are simple , but the calculations become very tedious, and non trivial, at higher orders. Let us reproduce here simply the first terms :

$$f=1\underset{i<j}{}\frac{y}{2\tau _{ij}}\underset{i<j}{}\frac{y}{2}\frac{1}{\tau _{ij}^2}+\frac{y^2}{8}(\underset{i<j}{}\frac{1}{\tau _{ij}})^2+\mathrm{}$$
(150)
This expansion shows our point : the coefficients are pure numbers, completely independent of the parameters $`\mu `$’s, once the function is expressed in terms of the $`\tau _{ij}`$’s.

This is a generalization of the expansion of the modified Bessel function(138) ; one recovers the simple Bessel limit if one lets all the $`u`$’s, except the first two,go to infinity.

As discussed hereabove, all we need in the large N limit, is a solution for the degenerate case, $`\mu _1=\mu _2=\mu `$, and $`\mu _3=\mu _4=\mu ^{}`$. To deal with this degenerate case, one writes $`f`$ as

$$f=\sqrt{|(u_1u_2)(u_3u_4)|}g$$
(151)
From (146), we have

$`2N\mu {\displaystyle \frac{g}{u_1}}+2N\mu {\displaystyle \frac{g}{u_2}}+2N\mu ^{}{\displaystyle \frac{g}{u_3}}+2N\mu ^{}{\displaystyle \frac{g}{u_4}}+{\displaystyle \underset{\alpha =1}{\overset{4}{}}}{\displaystyle \frac{^2g}{u_{\alpha }^{}{}_{}{}^{2}}}`$ (152)
$`+`$ $`{\displaystyle \frac{1}{u_1u_2}}({\displaystyle \frac{g}{u_1}}{\displaystyle \frac{g}{u_2}})+{\displaystyle \frac{1}{u_3u_4}}({\displaystyle \frac{g}{u_3}}{\displaystyle \frac{g}{u_4}})`$
$`+`$ $`[{\displaystyle \frac{1}{2}}{\displaystyle \frac{1}{(u_1u_3)^2}}+{\displaystyle \frac{1}{2}}{\displaystyle \frac{1}{(u_1u_4)^2}}+{\displaystyle \frac{1}{2}}{\displaystyle \frac{1}{(u_2u_3)^2}}+{\displaystyle \frac{1}{2}}{\displaystyle \frac{1}{(u_2u_4)^2}}]g=0`$
This function $`g`$ may then be obtained as an expansion in powers of $`\frac{1}{N}`$. Terms involving poles in $`\frac{1}{u_1u_2}`$ and $`\frac{1}{u_3u_4}`$ do not appear in the expression for $`g`$. We have

$`g`$ $`=`$ $`1+{\displaystyle \frac{1}{4N(u_1u_3)(\mu \mu ^{})}}+{\displaystyle \frac{1}{4N(u_1u_4)(\mu \mu ^{})}}+{\displaystyle \frac{1}{4N(u_2u_3)(\mu \mu ^{})}}`$ (153)
$`+`$ $`{\displaystyle \frac{1}{4N(u_2u_4)(\mu \mu ^{})}}`$
$`+`$ $`{\displaystyle \frac{9}{32N^2(\mu \mu ^{})^2}}[{\displaystyle \frac{1}{(u_1u_3)^2}}+{\displaystyle \frac{1}{(u_1u_4)^2}}+{\displaystyle \frac{1}{(u_2u_3)^2}}+{\displaystyle \frac{1}{(u_2u_4)^2}}]`$
$`+`$ $`{\displaystyle \frac{1}{16N^2(\mu \mu ^{})^2}}[{\displaystyle \frac{1}{(u_1u_3)(u_2u_4)}}+{\displaystyle \frac{1}{(u_1u_4)(u_2u_3)}}]`$
$`+`$ $`{\displaystyle \frac{3}{16N^2(\mu \mu ^{})^2}}[{\displaystyle \frac{1}{(u_1u_3)(u_1u_4)}}+{\displaystyle \frac{1}{(u_1u_3)(u_2u_3)}}+{\displaystyle \frac{1}{(u_1u_4)(u_2u_4)}}`$
$`+`$ $`{\displaystyle \frac{1}{(u_2u_3)(u_2u_4)}}]+O({\displaystyle \frac{1}{N^3}})`$
This expression has a complicated structure ; one may write the various terms as diagrams, but the coefficients depend upon the topological character of those diagrams. For instance, the coefficients at order $`1/N^2`$ the three types of diagrams have weights 9/32, 1/16 and 3/16. However, we find that in the large N limit, the expressions simplify.

In the large N limit, if we concentrate on the saddle points $`u_1=u_2=u_+`$ and $`u_3=u_4=u_{}`$, one obtains

$$g=1+\frac{1}{N(u_+u_{})(\mu \mu ^{})}+\frac{2}{N^2(u_+u_{})^2(\mu \mu ^{})^2}+O(\frac{1}{N^3}).$$
(154)
If we introduce the scaling variable

$$x=N(u_+u_{})(\mu \mu ^{}),$$
(155)
one finds that $`g(x)`$ satisfies the differential equation,

$$\frac{^2g}{x^2}+(1\frac{1}{x})\frac{g}{x}+\frac{g}{x^2}=0$$
(156)
The expansion of $`g`$ in powers of $`1/x`$ is

$$g=\underset{n=0}{\overset{\mathrm{}}{}}\frac{n!}{x^n}$$
(157)
It is interesting to generalize this formula to general $`k`$, $`(k>4)`$. Denoting $`v_j=u_{k+j}`$,(j=1,…k), one deals with the differential equation,

$`2N\mu {\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{g}{u_\alpha }}+2N\mu ^{}{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{g}{v_\alpha }}+{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{^2g}{u_{\alpha }^{}{}_{}{}^{2}}}+{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{^2g}{v_{\alpha }^{}{}_{}{}^{2}}}`$ (158)
$`+`$ $`{\displaystyle \underset{\alpha <\beta }{}}{\displaystyle \frac{1}{u_\alpha u_\beta }}({\displaystyle \frac{g}{u_\alpha }}{\displaystyle \frac{g}{u_\beta }})+{\displaystyle \underset{\alpha <\beta }{}}{\displaystyle \frac{1}{v_\alpha v_\beta }}({\displaystyle \frac{g}{v_\alpha }}{\displaystyle \frac{g}{v_\beta }})`$
$`+`$ $`g{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \underset{\beta =1}{\overset{k}{}}}[{\displaystyle \frac{1}{2}}{\displaystyle \frac{1}{(u_\alpha v_\beta )^2}}]=0`$
For general $`k`$, the situation is similar. In the scaling limit, in which the leading saddle points involve only two distinct values of the form $`u_a=u_+`$ and $`v_a=u_{}`$, one introduces the same scaling variable $`x`$ (155), and obtain the differential equation,

$$\frac{^2g}{x^2}+(1\frac{k1}{x})\frac{g}{x}+\frac{k^2}{4x^2}g=0.$$
(159)
An expansion in powers of $`1/x`$ of the solution follows easily :

$$g=1+\underset{p=1}{\overset{\mathrm{}}{}}\frac{[k(k+2)(k+4)\mathrm{}(k+2(p1))]^2}{2^{2p}p!x^p}$$
(160)
One recovers the previous results for $`k=1`$ and $`k=2`$ from this expression.

We have considered hereabove the GOE measure $`J={\displaystyle \underset{i>j}{}}|u_iu_j|`$ . Let us now go to arbitrary $`\beta `$, i.e. work with $`J={\displaystyle \underset{i>j}{}}|u_iu_j|^\beta `$ ; the GUE integral corresponds to $`\beta =2`$ and the GSE to $`\beta =4`$. When the eigenvalues $`\mu _i`$, which are set at the saddle-points in the scaling limit, degenerate again into two groups, one equal to $`\mu `$ and the other one to $`\mu ^{}`$, one finds through identical steps

$`2N\mu {\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{g}{u_\alpha }}+2N\mu ^{}{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{g}{v_\alpha }}++{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{^2g}{u_{\alpha }^{}{}_{}{}^{2}}}+{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \frac{^2g}{v_{\alpha }^{}{}_{}{}^{2}}}`$ (161)
$`+`$ $`\beta {\displaystyle \underset{\alpha <\beta }{}}{\displaystyle \frac{1}{u_\alpha u_\beta }}({\displaystyle \frac{g}{u_\alpha }}{\displaystyle \frac{g}{u_\beta }})+\beta {\displaystyle \underset{\alpha <\beta }{}}{\displaystyle \frac{1}{v_\alpha v_\beta }}({\displaystyle \frac{g}{v_\alpha }}{\displaystyle \frac{g}{v_\beta }})`$
$`+`$ $`{\displaystyle \frac{\beta (2\beta )}{2}}[{\displaystyle \underset{\alpha =1}{\overset{k}{}}}{\displaystyle \underset{\beta =1}{\overset{k}{}}}{\displaystyle \frac{1}{(u_\alpha v_\beta )^2}}]g=0.`$
In the scaling limit, in which the $`u`$’s and the $`v`$’s approach repectively $`u_+`$ and $`u_{}`$, one introduces again the scaling variable (155) and one obtains the differential equation

$$\frac{^2g}{x^2}+(1\frac{k1}{x})\frac{g}{x}+\frac{k^2\beta (2\beta )}{4x^2}g=0$$
(162)
which generalizes the previous GOE expression for $`\beta =1`$. The expansion of the general $`\beta `$, arbitrary $`k`$ solution, in powers of $`1/x`$ follows

$$g=1+\underset{p=1}{\overset{\mathrm{}}{}}\frac{(\beta k)((2\beta )k)(\beta k+2)(2+k(2\beta ))\mathrm{}(2(p1)+k(2\beta ))}{2^{2p}p!x^p}$$
(163)
In the unitary case, $`\beta =2`$, the solution reduces to the first term $`g=1`$ : this is of course the well-known Itzykson-Zuber result which is semi-classically exact.

For $`\beta =4`$, and $`k=1`$, we also see that the asymptotic expansion (163) stops at first order, since the terms with $`p>1`$ vanish in the series (163), a fact that we had already found and used in (126) for integrating over the $`t_i`$’s. For $`\beta =4`$, and $`k=2`$, it stops at third order. The fact that the Itzykson-Zuber integral for this scaling limit of the GSE, is semi-classical with only a finite number of corrections had already been discussed and used in .

Therefore one sees that, in the scaling limit of interest, in which we deal with an Itzykson-Zuber integral for a degenerate case, there is a remarkably simple expression for arbitrary $`\beta `$ and arbitrary dimension $`k`$ of the group integration. The expression is either semi-classically exact for the GUE, corrected by a finite number of terms for the GSE, or an infinite, but explicit, series for the GOE. The fact that $`k`$ , the dimension of the integral, appears as a parameter will allow us later to continue in $`k`$ and use the replica method in the $`k`$ goes to zero limit.

Returning to the GOE, let us note that if we had included an $`i`$ in the exponent of the Itzykson-Zuber integral in (128), and multiplied by the factor $`e^{ix}/x`$, we would have obtained for $`k=2`$

$`\mathrm{Re}[{\displaystyle \frac{e^{ix}}{x}}g(ix)]`$ $`=`$ $`{\displaystyle \frac{\mathrm{cos}x}{x}}+{\displaystyle \frac{\mathrm{sin}x}{x^2}}{\displaystyle \frac{2\mathrm{cos}x}{x^3}}{\displaystyle \frac{6\mathrm{sin}x}{x^4}}+\mathrm{}`$ (164)
$`=`$ $`{\displaystyle \underset{k=1}{\overset{\mathrm{}}{}}}{\displaystyle \frac{(k1)!\mathrm{sin}(x+\frac{\pi }{2}k)(1)^{(k1)}}{x^k}}`$
which is the large $`x`$ asymptotic expansion of the integral

$$I=_x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z.$$
(165)
This integral appears in the scaling limit of the resolvent-resolvent correlation function fo the GOE ensemble.

## 8 Two point correlation function

We are now in position to return to the two point correlation function of the GOE, which will be deduced from the ratio of products ot two characteristic polynomials. Indeed one may obtain the resolvent-resolvent correlation function

$$\rho (\lambda _1,\lambda _2)=\frac{1}{\pi ^2N^2}\frac{}{\lambda _2}\frac{}{\lambda _1}<\frac{\mathrm{det}(\lambda _1X)\mathrm{det}(\lambda _2X)}{\mathrm{det}(\mu _1X)\mathrm{det}(\mu _2X)}>|_{\mu _1=\lambda _1,\mu _2=\lambda _2}$$
(166)
whose double discontinuity gives the two-level correlation function. For this correlation function, the relevant terms in the series $`g`$ discussed in the previous section, are those which involve a factor $`(\frac{1}{\tau _{11}}+\frac{1}{\tau _{12}})(\frac{1}{\tau _{23}}+\frac{1}{\tau _{24}})`$ since this factor yields pole terms of the form $`\frac{1}{(\lambda _1\mu _1)(\lambda _2\mu _2)}`$. Therefore the relevant part of $`g`$, after taking derivatives and focusing on terms with poles at $`\mu _i=\lambda _i`$, is

$`g_L`$ $`=`$ $`{\displaystyle \frac{1}{4N^2}}g_tg_u`$
$`\times `$ $`({\displaystyle \frac{1}{it_1u_1}}+{\displaystyle \frac{1}{it_1u_2}})({\displaystyle \frac{1}{it_2u_3}}+{\displaystyle \frac{1}{it_2u_4}}){\displaystyle \frac{1}{(\lambda _1\mu _1)(\lambda _2\mu _2)}}`$
$`\times `$ $`(1{\displaystyle \frac{1}{2N}}({\displaystyle \frac{1}{it_1u_3}}+{\displaystyle \frac{1}{it_1u_4}}){\displaystyle \frac{1}{\lambda _1\mu _2}})(1{\displaystyle \frac{1}{2N}}({\displaystyle \frac{1}{it_2u_1}}+{\displaystyle \frac{1}{it_2u_2}}){\displaystyle \frac{1}{\lambda _2\mu _1}})`$
with

$$g_t=1\frac{i}{Nt_{12}}$$
(168)
In the large N limit, we have three types of saddle points. i) $`(t_1^+,t_2^+,u_1^+,u_2^+,u_3^+,u_4^+)`$ or $`(t_1^{},t_2^{},u_1^{},u_2^{},u_3^{},u_4^{})`$ ii) $`(t_1^+,t_2^{},u_1^+,u_2^+,u_3^{},u_4^{})`$, $`(t_1^+,t_2^{},u_1^{},u_2^{},u_3^+,u_4^+)`$,
$`(t_1^{},t_2^+,u_1^+,u_2^+,u_3^{},u_4^{})`$, or $`(t_1^{},t_2^+,u_1^{},u_2^{},u_3^+,u_4^+)`$. iii) $`(t_1^+,t_2^{},u_1^+,u_2^{},u_3^+,u_4^{})`$, and similar combinations.

In those expressions the saddle points are given

$$t^\pm =\frac{i\lambda \pm \sqrt{2\lambda ^2}}{2}$$
(169)
$$u^\pm =\frac{\mu \pm i\sqrt{2\mu ^2}}{2}$$
(170)
with $`\lambda _1,\lambda _2,\mu _1,\mu _2`$.

For the saddle-points of type i), $`g_u`$ is simply

$$g_u=\sqrt{|(u_1u_3)(u_1u_4)(u_2u_3)(u_2u_4)|}(\mu _1\mu _2)^2$$
(171)
Thus we have, as partial contribution of this saddle-point to the correlation function, $`\rho ^{(i)}(\lambda _1,\lambda _2)`$ from (124) and (8),

$`\rho ^{(i)}(\lambda _1,\lambda _2)=\mathrm{Im}\underset{\mu _1\lambda _1,\mu _2\lambda _2}{lim}{\displaystyle \frac{^2}{\lambda _2\lambda _1}}{\displaystyle 𝑑t𝑑u\frac{(it_1)^N(it_2)^N}{(u_1u_2u_3u_4)^{\frac{N}{2}}}\frac{(t_1t_2)^2|u_iu_j|}{_{j=1}^2_{\alpha =1}^4(it_ju_\alpha )}}`$ (172)
$`(\lambda _1\mu _1)(\lambda _1\mu _2)^2(\lambda _2\mu _1)^2(\lambda _2\mu _2)({\displaystyle \frac{1}{it_1u_1}}+{\displaystyle \frac{1}{it_1u_2}})({\displaystyle \frac{1}{it_2u_3}}+{\displaystyle \frac{1}{it_2u_4}})`$
$`[1{\displaystyle \frac{i}{N(t_1t_2)(\lambda _1\lambda _2)}}][1{\displaystyle \frac{1}{2N}}({\displaystyle \frac{1}{it_1u_3}}+{\displaystyle \frac{1}{it_1u_4}}){\displaystyle \frac{1}{\lambda _1\mu _2}}]`$
$`[1{\displaystyle \frac{1}{2N}}({\displaystyle \frac{1}{it_2u_1}}+{\displaystyle \frac{1}{it_2u_2}}){\displaystyle \frac{1}{\lambda _2\mu _1}}]{\displaystyle \frac{1}{(\lambda _1\lambda _2)^2}}`$
$`e^{N(t_1^2+t_2^2)\frac{N}{2}(u_1^2+u_2^2+u_3^2+u_4^2)+N(u_1+u_2)\mu _1+N(u_3+u_4)\mu _22iNt_1\lambda _12iNt_2\lambda _2}`$
$`+`$ $`\mathrm{perm}.(\lambda _1\lambda _2,\mu _1\mu _2)`$
from which follows

$`\rho ^{(i)}(\lambda _1,\lambda _2)=\mathrm{Im}\underset{\mu _1\lambda _1,\mu _2\lambda _2}{lim}{\displaystyle \frac{^2}{\lambda _2\lambda _1}}{\displaystyle 𝑑t𝑑u\frac{(it_1)^N(it_2)^N}{(u_1u_2u_3u_4)^{\frac{N}{2}}}\frac{(t_1t_2)^2|u_iu_j|}{_{j=1}^2_{\alpha =1}^4(it_ju_\alpha )}}`$
$`(\lambda _1\mu _1)(\lambda _1\mu _2)(\lambda _2\mu _1)(\lambda _2\mu _2)({\displaystyle \frac{1}{it_1u_1}}+{\displaystyle \frac{1}{it_1u_2}})({\displaystyle \frac{1}{it_2u_3}}+{\displaystyle \frac{1}{it_2u_4}})`$
$`{\displaystyle \frac{1}{4N^2}}({\displaystyle \frac{1}{it_1u_3}}+{\displaystyle \frac{1}{it_1u_4}})({\displaystyle \frac{1}{it_2u_1}}+{\displaystyle \frac{1}{it_2u_2}}){\displaystyle \frac{1}{(\lambda _1\lambda _2)^2}}`$
$`e^{N(t_1^2+t_2^2)\frac{N}{2}(u_1^2+u_2^2+u_3^2+u_4^2)+N(u_1+u_2)\mu _1+N(u_3+u_4)\mu _22iNt_1\lambda _12iNt_2\lambda _2}`$ (173)
For those saddle points of type i), the difference $`t_1t_2`$ is of order $`1/N`$. Then, cancelling terms between the numerator and the denominator, one obtains

$`\rho ^{(i)}(\lambda _1,\lambda _2)`$ $``$ $`\mathrm{Im}{\displaystyle 𝑑t𝑑u\frac{(it_1)^N(it_2)^N}{(u_1u_2u_3u_4)^{\frac{N}{2}}}\frac{|u_1u_2||u_3u_4|}{(it_1u_1)(it_1u_2)}(\frac{1}{it_1u_1}+\frac{1}{it_1u_2})}`$ (174)
$`{\displaystyle \frac{1}{(it_2u_3)(it_2u_4)}}({\displaystyle \frac{1}{it_2u_3}}+{\displaystyle \frac{1}{it_2u_4}}){\displaystyle \frac{1}{N^2}}`$
$`e^{N(t_1^2+t_2^2)2iNt_1\lambda _12iNt_2\lambda _2\frac{N}{2}(u_1^2+u_2^2+u_3^2+u_4^2)+N(u_1+u_2)\lambda _1+N(u_3+u_4)\lambda _2}`$
which is just a product of density of states as given in the equation (101). Therefore, by considering the saddle point of type i) $`(t_1^+,t_2^+,u_1^+,u_2^+,u_3^+,u_4^+)`$ and $`(t_1^{},t_2^{},u_1^{},u_2^{},u_3^{},u_4^{})`$, we obtain

$$\rho ^{(i)}(\lambda _1,\lambda _2)=\rho (\lambda _1)\rho (\lambda _2)$$
(175)
We now return to the integral (8), and consider a saddle point of type ii) ; one thereby obtains the sin-kernel squared, since now terms like $`(it_1u_1)`$ are replaced by the density of states $`\rho (\lambda )`$. The exchange of pairs between $`(u_1,u_2)`$ and $`(u_3,u_4)`$ in the denominator gives

$$\rho ^{(ii)}(\lambda _1,\lambda _2)=\frac{\mathrm{sin}^2(\pi N\rho (\lambda )(\lambda _1\lambda _2))}{N^2\pi ^2(\lambda _1\lambda _2)^2}$$
(176)
This term adds to (175), and by adding both terms, one obtains the expected vanishing contribution in the limit $`\lambda _1\lambda _2`$.

Now, we take into account the remaining terms, $`g_t`$ and $`g_u`$. In the case ii) $`u_1u_3`$ is now proportional to the density of states $`\rho `$, which is of order one. Then all terms in $`g_u`$ are of the same order in the Dyson limit, and we have to return to the discussion of the previous section. For the saddle point of type iii), such as $`(t_1^+,t_2^{},u_1^+,u_2^+,u_3^{},u_4^{})`$, one has

$`\rho (\lambda _1,\lambda _2)`$ $`=`$ $`\mathrm{Im}{\displaystyle 𝑑t𝑑u\frac{(it_1)^N(it_2)^N}{(u_1u_2u_3u_4)^{\frac{N}{2}}}\frac{2it_1u_3u_4}{(it_1u_3)^2(it_1u_4)^2}\frac{2it_2u_3u_4}{(it_2u_1)^2(it_2u_2)^2}}`$ (177)
$`[1{\displaystyle \frac{i}{N\pi \rho (\lambda _1\lambda _2)}}][1+{\displaystyle \frac{i}{4N\pi \rho (\lambda _1\lambda _2)}}+\mathrm{}]`$
$`\times `$ $`e^{N(t_1^2+t_2^2)2iNt_1\lambda _12iNt_2\lambda _2\frac{N}{2}(u_1^2+u_2^2+u_3^2+u_4^2)+N(u_1+u_2)\lambda _1+N(u_3+u_4)\lambda _2}`$
in which we have replaced various terms by $`\rho (\lambda )`$ and $`(\lambda _1\lambda _2)`$ by using their saddle point values. We note that $`t_1^+t_2^{}=\sqrt{2\lambda ^2}=\pi \rho (\lambda )`$. One introduces the same integration variables $`b`$ and $`\rho `$ already used in (67), and integrate over $`\rho _1`$ and $`\rho _2`$ as in (5). Then, there is a part of the integrand which has a double pole in $`\frac{1}{(\lambda _1\lambda _2)^2}`$ in the large N limit. The imaginary parts are then taken for $`\lambda _1`$ and $`\lambda _2`$ independently. Thus one obtains for $`g_t`$ , after multiplication by a factor $`{\displaystyle \frac{1}{N\rho (\lambda )(\lambda _1\lambda _2)}}`$,

$`\mathrm{Im}{\displaystyle \frac{1}{N\pi \rho (\lambda _1\lambda _2)}}[i+{\displaystyle \frac{1}{N\pi \rho (\lambda _1\lambda _2)}}]e^{iN\pi \rho (\lambda _1\lambda _2)}`$ (178)
$`=`$ $`{\displaystyle \frac{\mathrm{cos}(\pi N\rho (\lambda _1\lambda _2))}{N\rho (\lambda _1\lambda _2)}}{\displaystyle \frac{\mathrm{sin}(\pi N\rho (\lambda _1\lambda _2))}{N^2\pi ^2\rho ^2(\lambda _1\lambda _2)^2}}`$
$`=`$ $`{\displaystyle \frac{d}{dx}}\left({\displaystyle \frac{\mathrm{sin}x}{x}}\right)`$
where $`x`$ stands for $`x=N\pi \rho (\lambda _1\lambda _2)`$. Next we return to the Itzykson-Zuber factor $`g_u`$ of (153). After multiplication of $`g_u`$ by $`{\displaystyle \frac{1}{N\rho (\lambda )(\lambda _1\lambda _2)}}`$ , one obtains

$`\mathrm{Im}[{\displaystyle \frac{ig_u}{N\rho (\lambda )(\lambda _1\lambda _2)}}e^{N(u_1^{}+u_2^{})\lambda _1+N(u_3^++u_4^+)\lambda _2}]`$ (179)
$`=`$ $`{\displaystyle \frac{\mathrm{cos}x}{x}}+{\displaystyle \frac{\mathrm{sin}x}{x^2}}2{\displaystyle \frac{\mathrm{cos}x}{x^3}}6{\displaystyle \frac{\mathrm{sin}x}{x^4}}+\mathrm{}`$
$`=`$ $`{\displaystyle _x^{\mathrm{}}}{\displaystyle \frac{\mathrm{sin}z}{z}}𝑑z`$
Therefore, we have by multiplying these two factors,

$$\rho (\lambda _1,\lambda _2)=\frac{d}{dx}(\frac{\mathrm{sin}x}{x})\times _x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z$$
(180)
The third type of saddle points iii), for instance $`(t_1^+,t_2^{},u_1^+,u_2^{},u_3^+,u_4^{})`$, does not yield any imaginary part, and may thus be dropped in this GOE calculation. However for GSE, they do contribute as well.

Adding the type i) (175) and ii) (176) results, one obtains the two-point correlation function for the GOE in the large N limit,

$$\rho (\lambda _1,\lambda _2)=\rho ^2(\lambda )[1(\frac{\mathrm{sin}x}{x})^2\frac{d}{dx}(\frac{\mathrm{sin}x}{x})\times _x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z]$$
(181)
where $`x=\pi N\rho (\lambda )(\lambda _1\lambda _2)`$. Comment : This result is of course well-known  ; it has been obtained long ago through the technique of skew orthogonal polynomials. The point of the long derivation presented here, through generalized Itzykson-Zuber integrals, is that it can be repeated in other cases, such as non-invariant measures involving an external source, for which the standard method does not apply.

## 9 Zero replica limit

Up to now we have computed averages of ratios of characteristic polynomials defined in (1). The usual two-point correlation function of the resolvent operator is obtained from this ratio by differentiation, as shown in (166). Instead of such ratios one may use an alternative ”replica” method, as follows.

Consider the correlation function

$$F_{2k}(\lambda _1,\lambda _2)=<[\mathrm{det}(\lambda _1X)]^k[\mathrm{det}(\lambda _2X)]^k>.$$
(182)
Since $`[\mathrm{det}(\lambda X)]^k=\mathrm{exp}[k\mathrm{tr}\mathrm{log}(\lambda \mathrm{X})]`$, one may recover the correlation functions of the resolvent, by letting the replica number $`k`$ go to zero : $`k0`$ since :

$$\underset{k0}{lim}\frac{1}{k^2}\frac{^2}{\lambda _1\lambda _2}F_{2k}(\lambda _1,\lambda _2)=<\mathrm{Tr}\frac{1}{\lambda _1\mathrm{X}}\mathrm{Tr}\frac{1}{\lambda _2\mathrm{X}}>$$
(183)
Let us first discuss the zero-replica limit (182) for the GUE, and show that the well-known exact expression for the two-point correlation function of the resolvent, is correctly recovered. There were discussions of the validity of the replica limit in .

In an earlier work ,the universality of $`F_{2k}`$ , in the Dyson short distance limit was proven and its expression was found to be (for a probability measure proportional to $`\mathrm{exp}NTrV(X)`$) ,

$`F_{2k}(\lambda _1,\lambda _2)`$ $`=`$ $`e^{\frac{Nk}{2}(V(\lambda _1)+V(\lambda _2))}e^{Nk}{\displaystyle \frac{1}{k!}}(2\pi \rho (\lambda ))^{k^2}`$ (184)
$`{\displaystyle \underset{1}{\overset{k}{}}\frac{du_\alpha }{2\pi }exp}i({\displaystyle \underset{\alpha =1}{\overset{k}{}}}u_\alpha ){\displaystyle \frac{\mathrm{\Delta }^2(u_1,\mathrm{},u_k)}{_{\alpha =1}^k(u_\alpha x)^k(u_\alpha +x)^k}}`$
a special case of the general formula derived in  for different $`\lambda _\alpha `$’s :

$`F_{2k}(\lambda _1,\mathrm{},\lambda _{2k})=<{\displaystyle \underset{\alpha =1}{\overset{2k}{}}}\mathrm{det}(\lambda _\alpha X)>`$
$`=`$ $`e^{\frac{N}{2}_{i=1}^{2k}V(\lambda _i)}e^{Nk}{\displaystyle \frac{1}{k!}}(2\pi \rho (\lambda ))^{k^2}{\displaystyle \underset{1}{\overset{k}{}}\frac{du_\alpha }{2\pi }exp}i({\displaystyle \underset{\alpha =1}{\overset{k}{}}}u_\alpha ){\displaystyle \frac{\mathrm{\Delta }^2(u_1,\mathrm{},u_k)}{_{\alpha =1}^k_{l=1}^{2k}(u_\alpha x_l)}}`$
in which one has used the scaling variable $`x=N\pi \rho (\lambda )(\lambda _1\lambda _2)`$, $`x_l=2\pi N\rho (\lambda )(\lambda _l\lambda )`$ and $`\lambda =(\lambda _1+\lambda _2)/2`$. This contour integral is a compact representation of the sum over the $`(2k)!/(k!)^2`$ saddle points which govern the Dyson limit, and it is particularly useful for degenerate cases in which some of the $`\lambda _i`$’s are equal. Indeed in those cases, subtle corrections are present in the sum over saddle points, which are not easy to handle if one lets the $`\lambda `$’s approach each other too soon. The poles due the degeneracy of the $`\lambda _i`$’s have to be cancelled by the sum over permutations over all possible saddle points. The formulae (184) and (9) do give a correct answer for the degenerate cases of equal $`x_l`$’s.

The calculation is done as follows. One first shifts $`u_\alpha u_\alpha =v_\alpha +x`$ and drop all factors in $`F_{2k}`$, which approach one in the zero-replica limit. Then we have to deal with the integral

$$I=\underset{1}{\overset{k}{}}\frac{dv_\alpha }{2\pi }\mathrm{exp}(ikxiv_l)\frac{\mathrm{\Delta }^2(v_1,\mathrm{},v_k)}{_{1lk}v_l^{2k}(1+2x/v_l)^k}$$
(186)
which vanishes if one sets $`k=0`$ in the integrand. The zero-$`k`$ limit is slightly tricky since the number of integrations is also equal to $`k`$, and one has to find explicit answers for the integrals before approaching the required limit. We are interested here in terms of order $`k^2`$ for small $`k`$. Thus one expands the denominator in powers of $`x`$,

$$\frac{1}{(1+2x/v)^k}=1k\underset{1}{\overset{\mathrm{}}{}}\frac{(2x)^p}{pv^p}+O(k^2)$$
(187)
Since the one gives a vanishing contour integral, up to order $`k^2`$ it is sufficient to expand one of the factors $`(1+2x/v)^k`$ to order k, since there are $`k`$ ways of singling out a particular $`v_\alpha `$ . If one expanded both $`(1+x/v_\alpha )^{2k}`$ and $`(1+x/v_\beta )^{2k}`$, the number of choices $`k(k1)/2`$, together with the two powers of $`k`$, would give a term proportional to $`k^3`$.

Then , in the zero replica limit, it is sufficient to examine the integral

$$I^{(1)}(x)=ke^{ikx}\frac{dv_\alpha }{2\pi }e^{i{\scriptscriptstyle v_\alpha }}\frac{\mathrm{\Delta }^2(v)}{(1+2x/v_1)^k_1^kv_l^{2k}}$$
(188)
This integral makes it clear that there are oscillatory terms of the form $`e^{2ix}`$, the contribution of the pole $`v_1=2x`$, and a non-oscillating term which comes from the pole $`v_1=0`$. We will show indeed there are such terms and they are $`({\displaystyle \frac{\mathrm{sin}x}{x}})^2`$. One then expands $`e^{ikx}(v_1+2x)^k`$ in $`I^{(1)}(x)`$ in powers of $`x`$. This generates the following integrals,

$`\gamma _k^{(p)}`$ $`=`$ $`{\displaystyle \frac{dv}{2\pi }\frac{\mathrm{\Delta }^2(v)e^{i{\scriptscriptstyle v_\alpha }}}{v_1^{2k+p}v_2^{2k}\mathrm{}v_k^{2k}}}`$ (189)
$`=`$ $`(i)^p{\displaystyle \underset{l=0}{\overset{k1}{}}}{\displaystyle \frac{l!}{(k+l)!}}{\displaystyle \frac{(2+p)(4+p)\mathrm{}((2k2)+p)(p3)(p5)\mathrm{}(p(2k1))}{(2k1+p)!}}`$
$`=`$ $`(i)^p{\displaystyle \underset{l=0}{\overset{k1}{}}}{\displaystyle \frac{l!}{(k+l)!}}{\displaystyle \frac{2\mathrm{\Gamma }(2\frac{p}{2})\mathrm{\Gamma }(k+\frac{p}{2})\mathrm{\Gamma }(2kp)}{\mathrm{\Gamma }(2k+p)\mathrm{\Gamma }(1+\frac{p}{2})\mathrm{\Gamma }(k\frac{p}{2})\mathrm{\Gamma }(3p)}}`$
Note that when $`p`$ is an odd integer, $`\gamma _k^{(p)}`$ does not contribute to $`I^{(1)}(x)`$, since one has to take a real part. When $`p=0`$, $`\gamma _k^{(0)}`$ coincides with a well-known universal number, related to the moments of the Riemann zeta-function. In the zero replica limit of $`k0`$, we have found in an earlier work that  that

$$\underset{k0}{lim}\underset{l=0}{\overset{k1}{}}\frac{l!}{(k+l)!}=1+k^2(1+c)+O(k^3)$$
(190)
where $`c`$ is Euler’s constant. Therefore we have

$$\underset{k0}{lim}\gamma _k^{(p)}=\frac{1}{(1p)\mathrm{\Gamma }(p+1)}((i)^p)$$
(191)
By expanding $`\frac{1}{(v_1+2x)^k}`$ in powers of $`x`$, we obtain

$$I^{(1)}(x)=\underset{p=even}{\overset{\mathrm{}}{}}(i)^p(\frac{k^2}{p})(2x)^p\frac{1}{(1p)\mathrm{\Gamma }(p+1)}$$
(192)
Thus the second derivative of $`I^{(1)}`$ with respect to $`x`$ is finally given by

$`{\displaystyle \frac{^2I^{(1)}}{x^2}}=k^2\mathrm{Re}{\displaystyle \underset{p=even}{\overset{\mathrm{}}{}}}(i)^p{\displaystyle \frac{2^p}{p!}}x^{p2}`$ $`=`$ $`k^2{\displaystyle \frac{e^{2ix}+e^{2ix}2}{2x^2}}`$ (193)
$`=`$ $`2k^2({\displaystyle \frac{\mathrm{sin}x}{x}})^2.`$
Finally there is an additional constant term which comes from the second derivative of $`e^{ikx}`$ in $`I`$, which was neglected in $`I^{(1)}`$. Therefore adding this constant, we obtain the well known two-point correlation function of the GUE by this replica method,

$$\rho (\lambda _1,\lambda _2)=\rho ^2(\lambda )[1(\frac{\mathrm{sin}x}{x})^2]$$
(194)
We may now we proceed to the GOE case. The Itzykson-Zuber integral for the GOE case has been discussed in the previous section, when we dealt with ratio of characteristic polynomials. We now consider the following moment

$$I=<\frac{1}{[\mathrm{det}(\lambda _1X)]^k[\mathrm{det}(\lambda _2X)]^k}>$$
(195)
Again the zero-replica limit will be used to obtain the two-point correlation function of the resolvent operator for the GOE.

Indeed again here we deal again with the Itzykson-Zuber integral for a degenerate source, with only two distinct eigenvalues, $`\lambda _1`$ and $`\lambda _2`$, both $`k`$-times degenerate. In such cases the heat-kernel satisfies the differential equation (159). The asymptotic solution of the solution in the scaling limit, is given by (160),

$$g=1+\underset{p=1}{\overset{\mathrm{}}{}}\frac{[k(k+2)(k+4)\mathrm{}(k+2(p1))]^2}{2^{2p}p!x^p}$$
(196)
In the zero-replica limit $`k0`$, we need to keep only the terms proportional to $`k^2`$ . To order $`k^2`$, we have from (196),

$$g=1+\frac{k^2}{4}(\underset{p}{}\frac{(p1)!}{px^p})$$
(197)
Then taking the second derivative of $`g`$with respect to $`x`$, we have a factor $`(p!+(p1)!)/x^{p2}`$, which is precisely what one obtains from the asymptotic expansion of the standard two-point correlation function of the GOE ensemble ,

$$\rho _2(x)=\rho ^2(\lambda )[1(\frac{\mathrm{sin}x}{x})^2\frac{d}{dx}(\frac{\mathrm{sin}x}{x})_x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z]$$
(198)
Indeed taking two derivatives with respect to $`x`$ of the second and third terms :

$$\frac{1}{2}\frac{d^2}{dx^2}(_x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z)^2=(\frac{\mathrm{sin}x}{x})^2\frac{d}{dx}(\frac{\mathrm{sin}x}{x})_x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z$$
(199)
Next let us compare our expression of $`g`$ with the factor $`({\displaystyle _x^{\mathrm{}}}{\displaystyle \frac{\mathrm{sin}z}{z}}𝑑z)^2`$. ¿From the asymptotic expansion of the integral

$$_x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z=me^{ix}\underset{p0}{}\frac{p!}{2x^{p+1}}(i)^p$$
(200)
one obtains for the square of this quantity

$`({\displaystyle _x^{\mathrm{}}}{\displaystyle \frac{\mathrm{sin}z}{z}}𝑑z)^2={\displaystyle \frac{1}{2}}{\displaystyle \underset{p,p^{}}{}}{\displaystyle \frac{p!p^{}!}{x^{p+p^{}+2}}}(i)^p(i)^p^{}{\displaystyle \frac{1}{4}}e^{2ix}({\displaystyle \frac{p!}{2x^{p+1}}(i)^p})^2`$
$`{\displaystyle \frac{1}{4}}e^{2ix}({\displaystyle \frac{p!}{2x^{p+1}}(i)^p})^2`$ (201)
Indeed our expansion (197) for $`g`$ in the zero-replica limit agrees with the first term, the non-oscillating term of the above equation, since

$$\underset{p,p^{}}{}\frac{p!p^{}!}{x^{p+p^{}+2}}(i)^p(i)^p^{}=_0^{\mathrm{}}\frac{dt}{t}ϵ^t\mathrm{log}(1+\frac{t^2}{x^2})=\underset{p=0}{}(1)^p\frac{(2p+2)!}{(p+1)x^{2p+2}}$$
(202)
The Itzykson-Zuber integral which led to (196), has been derived dby a saddle-point method , choosing $`u_j=u_+,(j=1,\mathrm{},k)`$ and $`u_l=u_{},(l=k;1,\mathrm{},2k)`$. This gave a factor $`e^{ikx}`$ which reduces to unity in the limit $`k0`$. Those saddle-points contribute to the non-oscillating terms. However there are other saddle-points that one needs to consider in order to recover the oscillating part. This is analogous to a phenomenon recently analyzed by Kamenev and Mézard . As for the GUE, the zero-replica limit requires only the $`e^{\pm 2ix}`$ oscillating terms. Those terms may be obtained through saddle points of the following type : one divides the $`u_i`$ (i = 1,…2k) into two groups. $`(u_1,u_2,\mathrm{},u_k)`$ and $`(u_{k+1},u_{k+2},\mathrm{},u_{2k})`$. One chooses one $`u_i`$ to be a $`u_{}`$ in the first group, and the others $`u_+`$ ; similarly one $`u_+`$ in the second group, and the others are $`u_{}`$. For instance, in the first group, $`u_1=u_+,u_2=u_{},u_3=u_+,\mathrm{}u_k=u_+`$, and for the second group $`u_{k+1}=u_+,u_{k+2}=u_{},\mathrm{}.,u_{2k}=u_{}`$. The combinatorial factor summing over all such choices is $`k^2`$. The differential equation for this degenerate case is similar to (152), but the combinations of $`(u_2u_j)`$ for $`j=k+2,\mathrm{},2k`$, and $`(u_iu_{k+1})`$ for $`i=1,3,\mathrm{},k`$ are eliminated. One then modifies (151) to be

$$f=\sqrt{|(u_1u_2)(u_3u_4)(u_1u_3)(u_2u_4)|}g$$
(203)
for this purpose, in the case $`k=2`$ given as an exmaple. Then $`g`$ satifies a differential equation which yields the terms proportional to $`e^{2ix}`$ as a powers series in $`1/x`$ up to order $`1/x^3`$. The first order is

$$g^{(1)}=\frac{k^2[(k1)^21]}{4x}$$
(204)
and it vanishes in the zero-replica limit. At second order, one has

$$g^{(2)}=\frac{9k^2[(k1)^2+1]}{32x^2}+\frac{3k^2(k1)^2(k2)}{16x^2}+\frac{k^2[(k1)^2(k2)^22(k1)^2]}{32x^2}$$
(205)
which come from the contribution of three different diagrams connecting two lines; a double line, a connected line, a separate two lines. The diagrams are the same as for the non-oscillating calculation, but the weight factors are different. In the zero-replica limit, it gives $`g^{(2)}=k^2/4x^2`$. At third order, we have 7 different diagrams. Adding thir contributions, one finds in the zero-replica limit,

$$g^{(3)}=\frac{k^2}{2x^3}$$
(206)
If one compares this series with the terms proportional to $`e^{2ix}`$ in (9),

$$\frac{k^2}{4}e^{2ix}(\underset{p}{}\frac{(p1)}{2x^p}(i)^{p1})^2=\frac{k^2}{4}e^{2ix}[\frac{1}{4x^2}\frac{i}{2x^3}+\mathrm{}]$$
(207)
one sees that the two agree up to this order.

We have a term $`{\displaystyle \frac{e^{ikx}}{x^{k^2}}}`$. By the second derivative of this term, we also have $`k^2`$ term as

$$\frac{d^2}{dx^2}\frac{e^{ikx}}{x^{k^2}}=k^2(1\frac{1}{x^2})+O(k^3)$$
(208)
We also have similar terms from the derivative of $`{\displaystyle \frac{e^{ikx+2ix}}{x^{k^2}}}`$. Together, we have $`12({\displaystyle \frac{\mathrm{sin}x}{x}})^2`$. Adding this term to (199), we obtain the two-point correlation function of GOE,

$$\rho _2(\lambda ,\mu )=\rho ^2(\lambda )[1\left(\frac{\mathrm{sin}x}{x}\right)^2\frac{d}{dx}\frac{\mathrm{sin}x}{x}_x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z]$$
(209)
Thus we have shown here that replica limit of the moment of the characteristic polynomial gives the consistent result with the well known resolvent two-point correlation functions both for GUE and GOE.

## 10 Gaussian symplectic ensemble

The Gaussian symplectic ensemble (GSE) is easily formulated as an extension of the GOE. Let $`X`$ be a quaternion symmetric matrix. Let us consider as an example the N=2 case ; $`X_{11}`$ and $`X_{22}`$ are both real numbers , whereas the off-diagonal element $`X_{12}`$ is a quaternion and $`X_{21}`$ its conjugate. The quaternion $`X_{12}`$ may be written as

$$X_{12}=a+be_1+ce_2+de_3$$
(210)
where $`e_i`$ are the quaternion basis (i.e. up to a relabelling and a factor $`i`$, the Pauli matrices ) ; in the basis $`e_1=\left(\begin{array}{cc}i& 0\\ 0& i\end{array}\right),e_2=\left(\begin{array}{cc}0& 1\\ 1& 0\end{array}\right),e_3=\left(\begin{array}{cc}0& i\\ i& 0\end{array}\right)`$, the coefficients $`a,b,c`$ and $`d`$ are real numbers. One can write instead the matrix $`X`$ as ordinary $`4\times 4`$ matrix $`X^{}`$, the elements are then usual complex numbers,

$$X^{}=\left(\begin{array}{cccc}x_{11}& 0& u& iv\\ 0& x_{11}& iv^{}& u^{}\\ u^{}& iv& x_{22}& 0\\ iv^{}& u& 0& x_{22}\end{array}\right)$$
(211)
where $`x_{11}`$ and $`x_{22}`$ are real, $`u`$ and $`v`$ complex. The relation $`[\mathrm{det}(\lambda X)]^2=\mathrm{det}(\lambda X^{})`$, aloows us to write

$$F_2(\lambda ,\mu )=<\frac{[\mathrm{det}(\lambda X)]^2}{[\mathrm{det}(\mu X)]^2}>=<\frac{\mathrm{det}(\lambda X^{})}{\mathrm{det}(\mu X^{})}>.$$
(212)
The density of state $`\rho (\lambda )`$ may be easily deduced from $`F_2`$. From the relation (212), one obtains in the N=2 case,

$$F_2(\lambda ,\mu )=\frac{(\lambda t_1)^2(\lambda t_2)^2}{(\mu t_1)^2(\mu t_2)^2}(t_1t_2)^4e^{(t_1^2+t_2^2)}\frac{dt_1}{2\pi }\frac{dt_2}{2\pi }$$
(213)
in which $`t_1`$ and $`t_2`$ are the eigenvalues of $`X`$. The imaginary part of $`F_2`$, from which one deduces the density of eigenvalues through

$$\rho (\lambda )=\frac{1}{\pi N}\underset{\mu \lambda }{lim}\mathrm{Im}\frac{}{\lambda }F_2(\lambda ,\mu )$$
(214)
is obtained by picking up the contribution of the pole $`t_1=\mu `$. Taking the imaginary part, a derivative with respect to $`\lambda `$ and setting $`\mu \lambda `$ afterwards, one obtains

$$\rho (\lambda )=(\lambda t_2)^4e^{(\lambda ^2+t_2^2)}\frac{dt_2}{2\pi }$$
(215)
which may easily be checked directly.

For the inverse of the characteristic polynomial, we find easily the following formula in the $`X^{}`$ representation (still for the $`N=2`$ example),

$`<{\displaystyle \frac{1}{\mathrm{det}(\mu X^{})}}>`$ $`=`$ $`{\displaystyle \underset{i=1}{\overset{4}{}}dz_idz_i^{}dX^{}e^{i2z_a^{}(\mu \delta _{ab}X_{ab}^{})z_b\mathrm{trX}^2}}`$ (216)
$`=`$ $`{\displaystyle \underset{i=1}{\overset{4}{}}dz_idz_i^{}e^{2({\scriptscriptstyle z_i^{}z_i})^2+i2\mu z_a^{}z_a}}`$
$`=`$ $`{\displaystyle \frac{\pi ^2}{4}}{\displaystyle 𝑑b\underset{i=1}{\overset{4}{}}dz_idz_i^{}e^{2b^22ib{\scriptscriptstyle z_i^{}z_i}+2i{\scriptscriptstyle \mu z_i^{}z_i}}}`$
$`=`$ $`{\displaystyle 𝑑b\frac{1}{(\mu b)^4}e^{2b^2}}`$
The imaginary part is the Hermite polynomial $`H_3(\mu )`$.

For general N, similarly, we find that the expectation value of the inverse of the characteristic polynomial is

$$<\frac{1}{\mathrm{det}(\mu X^{})}>=𝑑b\frac{1}{(\mu b)^{2N}}e^{Nb^2}$$
(217)
and its imaginary part is simply $`H_{2N1}(\mu )`$.

For the inverse of the product of two characteristic polynomials, one writes

$$<\frac{1}{(\mathrm{det}(\mu _1X))^2(\mathrm{det}(\mu _2X))^2}>=\frac{1}{[\mathrm{det}(B)]^{2N}}e^{\frac{N}{2}\mathrm{tr}B^2+N\mathrm{tr}BM}𝑑B$$
(218)
where $`X`$ is an $`N\times N`$ quaternion symmetric matrix, $`B`$ a $`2\times 2`$ quaternion matrix, and $`M`$ is a diagonal matrix $`M=diag(\mu _1,\mu _2)`$.

The average of the square of the characteristic polynomials may then be written as

$$<[\mathrm{det}(\lambda X)]^2>=𝑑A[\mathrm{det}(\lambda A)]^Ne^{\frac{N}{2}\mathrm{tr}A^2}$$
(219)
where $`A`$ is a $`2\times 2`$ real symmetrix matrix. The quantity $`[\mathrm{det}(\lambda A)]^N`$ is a polynomial in $`\lambda `$ of order $`\lambda ^{2N}`$.

Finally the ratio $`F_N(\lambda ,\mu )`$ may be written as an integral over a super-matrix $`Q`$ , the derivation being similar to that for GOE,

$$F_N(\lambda ,\mu )=\frac{1}{(\mathrm{Sdet}Q)^N}e^{N\mathrm{Str}Q^2+iN\mathrm{Str}Q\mathrm{\Lambda }}𝑑Q$$
(220)
A super-group diagonalization and the Itzykson-Zuber integral ( for which we may use the same formulae as for GOE since the Jacobian has the same form after the diagonalization) leads then to

$$F_N(\lambda ,\mu )=𝑑t_1𝑑t_2𝑑u\frac{(t_1t_2)^N}{u^{2N}}\frac{|t_1t_2|(\lambda \mu )^2}{(uit_1)(uit_2)}[1\frac{1}{N(\lambda \mu )}(\frac{1}{uit_1}+\frac{1}{uit_2})]$$
(221)
The density of state $`\rho (\lambda )`$ follows :

$`\rho (\lambda )`$ $`=`$ $`<{\displaystyle \frac{1}{N}}\mathrm{Tr}\delta (\lambda X)>`$
$`=`$ $`\underset{\mu \lambda }{lim}\mathrm{Im}{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑t_1𝑑t_2𝑑u{\displaystyle \frac{(t_1t_2)^N}{u^{2N}}}{\displaystyle \frac{|t_1t_2|(2uit_1it_2)}{(uit_1)^2(uit_2)^2}}`$
$`e^{\frac{N}{2}(t_1^2+t_2^2)Nu^2iN(t_1+t_2)\lambda 2iNu\mu }`$
The formula is quite similar to that of the GOE, except that the combination $`{\displaystyle \frac{(t_1t_2)}{b^2}}`$ is raised here to the power $`2N`$ instead of $`N`$. This difference makes the calculation of the imaginary part easier, since the contour integral on $`b`$ gives a contribution to the imaginary part, similar to that of GUE, and therefore the result does not involve the incomplete Gaussian integrals (such as $`B(x)`$ in (59)), which appear in the GOE case.

Let us consider now a ratio of characteristic polynomials $`F_N(\lambda _1,\lambda _2,\mu _1,\mu _2)`$ defined as

$$F_N(\lambda _1,\lambda _2,\mu _1,\mu _2)=<\frac{[\mathrm{det}(\lambda _1X)\mathrm{det}(\lambda _2X)]^2}{[\mathrm{det}(\mu _1X)\mathrm{det}(\mu _2X)]^2}>$$
(222)
With the supermatrix formalism and its supergroup diagonalization, one can write again an integral over eigenvalues, similar to (120) in the GOE case,

$`F_N(\lambda _1,\lambda _2,\mu _1,\mu _2)`$ $`=`$ $`{\displaystyle \frac{(t_1t_2t_3t_4)^N}{(u_1u_2)^{2N}}\frac{_{i<j}^4|t_it_j|(u_1u_2)^4}{_{\alpha =1}^2_{k=1}^4(u_\alpha it_k)}e^{\frac{N}{2}{\scriptscriptstyle t_i^2}N{\scriptscriptstyle u_\alpha ^2}}}`$ (223)
$`\times `$ $`Idt_1dt_2dt_3dt_4du_1du_2`$
where $`I`$ is the HIZ integral,

$$I=𝑑ge^{N\mathrm{Str}g\widehat{Q}g^1\mathrm{\Lambda }}$$
(224)
with $`\widehat{Q}=diag(it_1,it_2,it_3,it_4,u_1,u_1,u_2,u_2)`$, and $`\mathrm{\Lambda }=diag(\lambda _1,\lambda _1,\lambda _2,\lambda _2,\mu _1,\mu _1,\mu _2,\mu _2)`$.

The HIZ integral is in fact identical to that for the GOE case with corresponding variables. In the supergroup integration for the GOE case one found a product of two series, one infinite, and the other one finishing after a finite number of terms. The same structure appears in the present supergroup integration for the GSE case, except that the finite and infinite series have their resepctive variables switched.

Thus in the large N limit, one has to consider, as in section 8, three types of saddle-points ; the saddle points of class i) and ii) give the same answer. The saddle points for $`t_i`$ and $`u_\alpha `$ become

$$t_\pm =\frac{i\lambda \pm \sqrt{4\lambda ^2}}{2}u_\pm =\frac{\mu \pm i\sqrt{4\mu ^2}}{2}$$
(225)
Note that for the present GSE case, the density of state $`\rho (\lambda )`$ is given by $`\rho (\lambda )=\sqrt{4\lambda ^2}/2\pi `$. Therefore, by the same arguments as for the GOE, we obtain the two-point correlation function

$$\rho _2(\lambda _1,\lambda _2)=\rho ^2(\lambda )[1(\frac{\mathrm{sin}2x}{2x})^2\frac{d}{dx}(\frac{\mathrm{sin}2x}{2x})_x^{\mathrm{}}\frac{\mathrm{sin}2z}{2z}𝑑z]$$
(226)
We have neglected the third class of the saddle point iii) for the GOE. In the GSE, those saddle points do contributite, since the imaginary part is taken from a contour integral over $`b_1`$ and $`b_2`$. Since the HIZ formula for $`\beta =4,k=1`$ takes a simple form, we obtainfor the saddle point values of those b’s $`(b_1^+,b_2^{})`$, and thus

$$I=\frac{d}{dx}\frac{\mathrm{sin}2x}{2x}$$
(227)
For the corresponding $`t`$ integral, we take the following saddle points : a set of saddle points such as $`(t_1^+,t_2^{},t_3^+,t_4^{})`$ gives the non-oscillating constant contribution. Note that $`t_1^+t_2^{}=1`$, and $`iN(t_1^++t_2^{})\lambda _1=\lambda ^2N`$. Thus there is a correction to (226) by (227). By taking the normalized coefficient, which makes the two-point correlation function becomes $`O(x^4)`$ in the small $`x`$ limit , a property of the GSE, we find the scaling limit of the two-point correlation function,

$`\rho _2(\lambda _1,\lambda _2)`$ $`=`$ $`\rho ^2(\lambda )\left(1({\displaystyle \frac{\mathrm{sin}2x}{2x}})^2{\displaystyle \frac{d}{dx}}({\displaystyle \frac{\mathrm{sin}2x}{2x}})[{\displaystyle _x^{\mathrm{}}}{\displaystyle \frac{\mathrm{sin}2z}{2z}}𝑑z{\displaystyle \frac{\pi }{2}}]\right)`$ (228)
$`=`$ $`\rho ^2(\lambda )\left(1({\displaystyle \frac{\mathrm{sin}2x}{2x}})^2+({\displaystyle \frac{d}{dx}}{\displaystyle \frac{\mathrm{sin}2x}{2x}}){\displaystyle _0^x}{\displaystyle \frac{\mathrm{sin}2z}{2z}}𝑑z\right)`$
## 11 Extension to an external matrix source

Let us consider an external matrix source $`A`$ be coupled to a real symmetric random matrix, or to a quaternion self dual random matrix. The corresponding Gaussian probability measure

$$P_A(X)=\frac{1}{Z}ϵ^{\frac{N}{2}\mathrm{tr}X^2+N\mathrm{tr}AX}$$
(229)
has lost the invariance under GOE or GSE.

In a previous article , we have considered this external source problem for the correlation functions $`_{\alpha =1}^k\mathrm{det}(\lambda _\alpha X)`$, in which $`X`$ is a real symmetric random matrix. This is done by integrating over $`X`$

$$e^{\frac{N}{2}\mathrm{tr}X^2+N\mathrm{tr}AX+iN\mathrm{tr}XY}𝑑X=e^{\frac{N}{4}\mathrm{tr}[(YiA)^2+(YiA)(Y^TiA)]}$$
(230)
where $`Y=_{\alpha =1}^k\overline{\theta }_{\alpha a}\theta _{\alpha b}`$. One may assume, without loss of generality, that $`A`$ is a diagonal matrix. Then, the only new term with respect to the zero-source case, is $`\mathrm{exp}[iNa_j\overline{\theta }_{\alpha j}\theta _{\alpha j}]`$. This diagonal term modifies the previous determinant $`(\mathrm{det}B)^N`$, and gives instead $`_{j=1}^N_{l=1}^k(t_lia_j)`$. In this way we had obtained in  that, when all the $`\lambda _j`$ are equal to $`\lambda `$, one has

$$[det(\lambda X)]^k=e^{N{\scriptscriptstyle \lambda _l^2}}\underset{l=1}{\overset{k}{}}\underset{j=1}{\overset{N}{}}(t_lia_j)\underset{l<l^{}}{}(t_lt_l^{})^4e^{N{\scriptscriptstyle t_l^2}+2iN\lambda {\scriptscriptstyle t_l}}\underset{l=1}{\overset{k}{}}dt_l.$$
(231)
Similarly for the ratio of two characteristic polynomials, we have $`Y=_{\alpha =1}^k\overline{\theta }_{\alpha a}\theta _{\alpha b}z_{\alpha a}^{}z_{\alpha b}`$ as in (45). The external source gives a diagonal shift for $`\theta `$ and $`z`$. This leads to the modification of the Sdet term. For instance, in the k=1 case, one replaces the super-determinant $`[\mathrm{Sdet}]^{\frac{N}{2}}`$ by

$$\frac{1}{[\mathrm{Sdet}Q]^{\frac{N}{2}}}\underset{\gamma =1}{\overset{N}{}}\frac{(a_\gamma it)}{[(a_\gamma u_1)(a_\gamma u_2)]^{\frac{1}{2}}}.$$
(232)
Then the density of states, for the GOE modified by an external source matrix, is given by

$`\rho (\lambda )`$ $`=`$ $`{\displaystyle \frac{1}{8\pi ^2N}}\mathrm{Im}\underset{\mu \lambda }{lim}{\displaystyle 𝑑t𝑑u\underset{\gamma =1}{\overset{N}{}}\frac{(a_\gamma it)}{[(a_\gamma u_1)(a_\gamma u_2)]^{\frac{1}{2}}}\frac{|u_1u_2|}{(itu_1)(itu_2)}}`$ (233)
$`\times `$ $`[{\displaystyle \frac{1}{itu_1}}+{\displaystyle \frac{1}{itu_2}}]e^{2iNt\lambda +N(u_1+u_2)\mu Nt^2\frac{N}{2}(u_1^2+u_2^2)}`$
Let us consider the one point Green function $`G(z)`$ (with an external source) ,

$$G(z)=<\mathrm{tr}\frac{1}{zX}>$$
(234)
for a real symmetric random matrix $`X`$. It is given by the derivative of $`F(\lambda ,\mu )`$,

$`G(z)`$ $`=`$ $`\underset{\lambda =\mu =z}{lim}{\displaystyle \frac{}{\lambda }}<{\displaystyle \frac{\mathrm{det}(\lambda X)}{\mathrm{det}(\mu X)}}>`$ (235)
$`=`$ $`{\displaystyle \underset{\gamma =1}{\overset{N}{}}\frac{a_\gamma it}{(u_1a_\gamma )(u_2a_\gamma )}\frac{|u_1u_2|(2itu_1u_2)}{(itu_1)^2(itu_2)^2}}`$
$`\times `$ $`e^{2iNt\lambda +N(u_1+u_2)\mu Nt^2\frac{N}{2}(u_1^2+u_2^2)}dtdu_1du_2`$
Using the change of variables, $`b=\frac{u_1+u_2}{2}`$, $`r=\frac{(u_1u_2)^2}{4}`$, we obtain

$`G(z)`$ $`=`$ $`{\displaystyle 𝑑t𝑑b_0^{\mathrm{}}𝑑r\frac{(itb)}{((it)^22itb+b^2r)^2}e^{2iNt\lambda +2Nb\mu Nt^2N(b^2+r)}}`$ (236)
$`\times `$ $`{\displaystyle \underset{\gamma }{}}{\displaystyle \frac{a_\gamma it}{(b^2r2a_\gamma b+a_{\gamma }^{}{}_{}{}^{2})^{1/2}}}`$
After integration by parts over r, we obtain an expression, similar to the GUE case,

$$G(z)=\underset{\gamma }{}(1\frac{it}{N(ba_\gamma )})\frac{1}{it}e^{\frac{1}{2N}t^2itb}\frac{db}{2\pi i}\frac{dt}{2\pi }$$
(237)
In the large N limit, one may make the replacement

$$\underset{\gamma =1}{\overset{N}{}}(1\frac{it}{N(ba_\gamma )})\mathrm{exp}(\frac{it}{N}\underset{\gamma =1}{\overset{N}{}}\frac{1}{ba_\gamma }).$$
(238)
Let us denote the (non-random) density of states of the external matrix $`A`$ as $`\rho _0(a)`$, we may then write the r.h.s. of (238) as

$$\mathrm{exp}(it𝑑a\frac{\rho _0(a)}{ua}).$$
(239)
We define the resolvent of the external source $`G_0(z)`$

$$G_0(z)=𝑑a\frac{\rho _0(a)}{za}$$
(240)
¿From (237) and (238), we obtain

$$\frac{G}{z}=\frac{db}{2\pi i}\frac{1}{u+G_0(u)z}$$
(241)
The contour surrounds all the eigenvalues $`a_\gamma `$. The zeros of the denominator satisfy

$$u+\frac{1}{N}\frac{1}{ua_\gamma }=z$$
(242)
As discussed in a previous paper , we take the poles of $`\widehat{u}(z)=z\frac{1}{z}+O(\frac{1}{z^2})`$ and $`u=\mathrm{}`$, and then

$$\frac{G}{z}=1\frac{1}{1+\frac{dG_0}{d\widehat{u}(z)}}=1\frac{d\widehat{u}(z)}{dz}$$
(243)
The integration gives

$$G(z)=z\widehat{u}(z)$$
(244)
Since $`\widehat{u}(z)`$ is a solution of $`u+G_0(u)=z`$, we obtain the following equation, due to Pastur  for the GUE

$$G(z)=G_0(zG(z))$$
(245)
Thus we obtain the same Pastur equation as for the GUE case ; this is easily understandable from a diagrammatic analysis ; in the large N limit, planar diagrams are simple rainbow diagrams and do not distinguish between GOE, GSE or GUE at leading order in the large N limit. For the GSE, a similar algebra would lead to the same equation.

For the two-point correlation function , k=2, the same shift for the $`\mathrm{Sdet}`$ occurs in presence of the external source. We have found in the previous sections that the resolvent two point correlation functions in GOE and GSE in the Dyson scaling limit. We now discuss the two point correlation function in the Dyson scaling limit when the external source matrix is coupled to the random matrix. We have already given a proof of the universality in GUE. The argument goes as follows for this GUE case .

In the presence of a matrix source there is a kernel $`K_N(\lambda _1,\lambda _2)`$ given by

$$K_N(\lambda _1,\lambda _2)=\frac{dt}{2\pi }\frac{du}{2\pi i}\frac{1}{it}\underset{\gamma =1}{\overset{N}{}}(1+\frac{it}{N(ua_\gamma )})e^{\frac{t^2}{2N}iutit\lambda _1+Nu(\lambda _1\lambda _2)},$$
(246)
from which all the n-point correlation functions may be obtained by the usual determinant formulae of a matrix whose elements are the $`K_N(\lambda _i,\lambda _j)`$. Defining the scaling variable $`y=N(\lambda _1\lambda _2)`$, and using, in the large N limit, the expression of (238) for the product $`_{\gamma =1}^N(1+\frac{it}{N(ua_\gamma )})`$, after integration over $`t`$, one obtains

$$\frac{K_N}{\lambda _1}=\frac{1}{\pi }\mathrm{Im}\frac{du}{2\pi i}\frac{1}{u+G_0(u)\lambda _1+iϵ}e^{uy}.$$
(247)
Again one defines the pole $`\widehat{u}`$, and obtain

$`{\displaystyle \frac{K_N}{\lambda _1}}`$ $`=`$ $`{\displaystyle \frac{1}{\pi }}\mathrm{Im}{\displaystyle \frac{d\widehat{u}}{d\lambda _1}}e^{y\widehat{u}(\lambda _1iϵ)}`$ (248)
$`=`$ $`{\displaystyle \frac{1}{\pi y}}{\displaystyle \frac{}{\lambda _1}}\mathrm{Im}(e^{y\widehat{u}(\lambda _1iϵ)})`$
in which

$$\widehat{u}(\lambda _1iϵ)=\lambda _1\mathrm{Re}G(\lambda _1)i\pi \rho (\lambda _1).$$
(249)
Therefore one ends up with

$$K_N(\lambda _1,\lambda _2)=\frac{1}{\pi y}e^{y[\lambda _1\mathrm{Re}G(\lambda _1)]}\mathrm{sin}[\pi y\rho (\lambda _1)].$$
(250)
Putting this expression of the kernel into the correlation functions, one sees that their only dependence in the eigenvalues $`a_\gamma `$ of the external source is a scale factor through the density of state ; for intsnace the connected tow-point function is simply

$$\rho _c(\lambda _1,\lambda _2)=\frac{1}{\pi ^2y^2}\mathrm{sin}^2[\pi \rho (\frac{\lambda _1+\lambda _2}{2})y].$$
(251)
We now consider the universality in the GOE and GSE ensembles in the presence of an external source. In the GOE case, we used a generalized HIZ integral which had two parts. One part was the t-integration, which gave simply

$$g_t=1\frac{i}{N(t_1t_2)(\lambda _1\lambda _2)}$$
(252)
This leads now to the integral

$$\underset{\gamma }{\overset{N}{}}(a_\gamma it_1)(a_\gamma it_2)\frac{g_t}{\lambda _1\lambda _2}e^{Nt_1^2Nt_2^2+2iNt_1\lambda _1+2iNt_2\lambda _2}\frac{dt_1}{2\pi }\frac{dt_2}{2\pi }$$
(253)
In the large N limit, the saddle point equations for the $`t_j(j=1,2)`$ are

$$t_ji\lambda _1\frac{1}{2N}\underset{\gamma }{}\frac{1}{a_\gamma it_j}=0$$
(254)
As in (242), there is a saddle point $`\widehat{t}_j`$, which behaves as $`\widehat{t}_ji\lambda _j`$ in the large $`\lambda _j`$ domain. Then $`\widehat{t}_j`$ becomes

$$\widehat{t}_j=i\lambda _ji\mathrm{Re}G(\lambda _j)+\pi \rho (\lambda _j)$$
(255)
Thus, this t-integration in the large N limit behaves as in the sourceless case, and yields $`{\displaystyle \frac{d}{dx}}({\displaystyle \frac{\mathrm{sin}x}{x}})`$ where $`x`$ is $`N\pi \rho [(\lambda _1+\lambda _2)/2](\lambda _1\lambda _2)`$. More genrally, this part may be written as

$$I=\frac{d}{dx}K(x,y)$$
(256)
where $`K(x,y)`$ is a kernel. This is due to the HIZ integral for $`\beta =4`$. In our case, this kernel is a sine-kernel.

For the u-integration, one has a product

$$\underset{\gamma }{\overset{N}{}}\underset{j=1}{\overset{4}{}}\frac{1}{u_ja_\gamma }=\mathrm{exp}[\underset{\gamma }{}\underset{j}{}\mathrm{ln}(u_ja_\gamma )]$$
(257)
There is a saddle point $`\widehat{u}_j`$, which behaves as $`\widehat{u}_1=\widehat{u}_2\lambda _1`$ and $`\widehat{u}_3=\widehat{u}_4\lambda _2`$. Using these saddle points, the factor coming from this u-integral is the same as in(179). If we denote this u-integral by I, it is easy to find that the derivative of I with respect to x is the sine kernel. More generally, we have

$$\frac{d}{dx}I=K(x,y)$$
(258)
This is due to HIZ formula for $`\beta =1`$ which gives

$$\frac{n!}{(ix)^{n+1}}$$
(259)
In the sine kernel case, we have

$$\frac{d}{dx}[e^{ix}(\frac{1}{x}\frac{i}{x^2}\frac{2}{x^3}+\mathrm{})]=i\frac{e^{ix}}{x}$$
(260)
where the successive cancellation occurs in the higher order.

Thus we have a universal two point correlation function in the presense of the external source,

$$\rho (\lambda _1,\lambda _2)=\rho ^2(\lambda )[1(\frac{\mathrm{sin}x}{x})^2\frac{d}{dx}(\frac{\mathrm{sin}x}{x})_x^{\mathrm{}}\frac{\mathrm{sin}z}{z}𝑑z]$$
(261)
where $`x=\pi N\rho (\lambda )(\lambda _1\lambda _2)`$ and the external source $`a_\gamma `$ appears only in the density of state $`\rho `$. The GSE case may be analyzed as the GOE and yields also universal correlation function with respect to the external source eigenvalues, as in (228).

## 12 Universalities at the edges in GOE

Near edges of the support of the density of states, it is well-known that a new scaling behavior takes place (. In the simplest case of the Wigner semi-circle the behavior is governed by an Airy kernel. Let us consider now the edge behavior of the two point correlation of characteristic polynomials,

$$F_N(\lambda _1,\lambda _2)=<\mathrm{det}(\lambda _1X)\mathrm{det}(\lambda _2X)>$$
(262)
when $`X`$ is a real symmetric random matrix. If $`\lambda _1`$ and $`\lambda _2`$ are within the bulk of the support of the asymptotic density of states, we have found in the Dyson scaling limit that

$$F_N(\lambda _1,\lambda _2)=\frac{1}{x}\frac{d}{dx}\frac{\mathrm{sin}x}{x}$$
(263)
As we have discussed earlier , by using Grassmann variables, one finds for arbitrary $`\lambda _1,\lambda _2`$ and finite $`N`$,

$`F_N(\lambda _1,\lambda _2)={\displaystyle (\mathrm{det}B)^Ne^{N\mathrm{trB}^2+\mathrm{iNtrB}\mathrm{\Lambda }}}`$ (264)
$`=`$ $`{\displaystyle (t_1t_2)^Ne^{Nt_1^2Nt_2^22iNt_1\lambda _12iNt_2\lambda _2}[\frac{(t_1t_2)^2}{(\lambda _1\lambda _2)^2}\frac{i(t_1t_2)}{(\lambda _1\lambda _2)^3}]𝑑t_1𝑑t_2}`$
In the large N limit, the saddle points for the $`t_a`$’s are

$$t_a=\frac{i\lambda _a\pm \sqrt{2\lambda _a^2}}{2}$$
(265)
The critical point corresponds to a degenerate quadratic form of fluctuations near the saddle point ; expanding then to next order (since there is a flat direction), one finds a new scaling limit when the parameters $`\alpha `$ and $`\beta `$ are $`\alpha =\frac{2}{3}`$ and $`\beta =\frac{1}{3}`$, when the $`\lambda `$’s are at distance $`N^\alpha `$ of the end point $`\sqrt{2}`$, and the $`t_a`$’s at distance $`N^\beta `$ of $`i/\sqrt{2}`$. Performing the scaling change of variables

$`\lambda _a`$ $`=`$ $`\sqrt{2}N^\alpha x_a`$
$`t_a`$ $`=`$ $`{\displaystyle \frac{i}{\sqrt{2}}}+N^\beta \tau _a.`$ (266)
the integral becomes, in this regime of large $`N`$,

$`F^{(1)}(\lambda _1,\lambda _2)`$ $`=`$ $`{\displaystyle e^{\frac{2\sqrt{2}}{3}i(\tau _1^3+\tau _2^3)+2i(x_1\tau _1+x_2\tau _2)}[\frac{(\tau _1\tau _2)^2}{(\lambda _1\lambda _2)^2}+\frac{(\tau _1\tau _2)}{(\lambda _1\lambda _2)^3}]𝑑\tau _1𝑑\tau _2}`$
$`=`$ $`{\displaystyle \frac{1}{(\lambda _1\lambda _2)^2}}[Ai^{\prime \prime }(x_1)Ai(x_2)2Ai^{}(x_1)Ai^{}(x_2)+Ai(x_1)Ai^{\prime \prime }(x_2)]`$
in which use has been made of the differential equation satisfied by the Airy function, $`Ai^{\prime \prime }(x)=xAi(x)`$. Noting that

$`({\displaystyle \frac{}{x_1}}{\displaystyle \frac{}{x_2}})[Ai^{}(x_1)Ai(x_2)Ai^{}(x_2)Ai(x_1)]`$ (268)
$`=`$ $`[Ai^{\prime \prime }(x_1)Ai(x_2)2Ai^{}(x_1)Ai^{}(x_2)+Ai(x_1)Ai^{\prime \prime }(x_2)]`$
the second term of (264) is then simply the Airy kernel divided by $`(\lambda _1\lambda _2)`$. One ends up with

$$F_N(\lambda _1,\lambda _2)=\frac{1}{x_1x_2}(\frac{}{x_1}\frac{}{x_2})[\frac{Ai^{}(x_1)Ai(x_2)Ai^{}(x_2)Ai(x_1)}{x_1x_2}]$$
(269)
This confirms the result (256), which was stated for more general kernels.

Extending this analysis to ratios of characteristic polynomials, one obtains similarly an other term, expressible as an integral of the kernel. Thus we have obtained the two point correlation function near the edge for the GOE ensemble. The same argument can easily be transposed to the GSE.

Let us now consider other edge problems that one meets when an external source matrix is added to the probability distribution. For instance one can tune the external source to create a gap in the spectral density of states $`\rho (\lambda )`$. At the critical point at which this gap closes, a new universality class appears and we have studied earlier the new scaling behavior at the origin .

It was found that the kernel $`K_N(x,y)`$ for the GUE ensemble in the appropriate scaling limit, was

$$K(x,y)=\frac{\widehat{\varphi }^{}(x)\widehat{\psi }^{}(y)\widehat{\varphi }^{\prime \prime }(x)\widehat{\psi }(y)\widehat{\varphi }(x)\widehat{\psi }^{\prime \prime }(y)}{xy}$$
(270)
For the GOE case, in the critical domain of the gap closing point, one finds a two point correlation function,

$$\rho (x,y)=1K(x,y)K(y,x)\frac{d}{dx}K(x,y)_x^{\mathrm{}}K(z,y)𝑑z$$
(271)
## 13 Level spacing distribution in GOE and GSE

The level spacing probability function $`E(s)`$, the probability that there is no eigenvalue inside the interval $`[s/2,s/2]`$, is given by the Fredholm determinant

$`E(s)`$ $`=`$ $`\mathrm{det}[1\widehat{K}]`$ (272)
$`=`$ $`{\displaystyle \underset{n=0}{\overset{\mathrm{}}{}}}{\displaystyle \frac{(1)^n}{n!}}{\displaystyle _{\frac{s}{2}}^{\frac{s}{2}}}\mathrm{}{\displaystyle _{\frac{s}{2}}^{\frac{s}{2}}}\mathrm{det}[K(x_i,x_j)]_{i,j=1,\mathrm{},n}{\displaystyle \underset{k=1}{\overset{n}{}}}dx_k`$
Let us briefly review the derivation of this formula for $`E(s)`$ . This level spacing function is expressed by the Hamiltonian formalism. The derivation is due to Tracy and Widom .

In the GUE case, we have

$$E(a,b)=\mathrm{det}[1\widehat{K}]$$
(273)
where we choose the interval $`(a,b)`$ in general, and later we put $`(a,b)=(\frac{s}{2},\frac{s}{2})`$. The kernel $`K(x,y)`$ acts on this interval, and we define

$$\widehat{K}(x,y)=K(x,y)\theta (ya)\theta (by)$$
(274)
in which $`\theta (x)`$ is the Heaviside function. By definition, the derivative of $`E`$ with respect to the end points is

$$\frac{\mathrm{ln}E(a,b)}{b}=\stackrel{~}{K}(b,b)$$
(275)
where

$$\stackrel{~}{K}=\frac{\widehat{K}}{1\widehat{K}}$$
(276)
,$`\stackrel{~}{K}`$ is the Fredholm resolvant. One has a similar derivative with respect to $`a`$. Then, one obtains

$$\frac{dE(s)}{ds}=\frac{1}{2}(\frac{}{b}\frac{}{a})\mathrm{ln}E(s)_{b=a=s/2}=\stackrel{~}{K}(\frac{s}{2},\frac{s}{2})$$
(277)
This leads to

$$E(s)=\mathrm{exp}[_0^sH(\frac{z}{2},\frac{z}{2})𝑑z].$$
(278)
where we write $`H(x,x)=\stackrel{~}{K}(x,x)`$. For GUE, the kernel is the sine kernel,

$$K(x,y)=\frac{\varphi (x)\varphi ^{}(y)\varphi ^{}(x)\varphi (y)}{xy}.$$
(279)
Operating with $`K`$ on $`\varphi `$, one obtains

$$q(x)=<x|\frac{1}{1\widehat{K}}|\varphi >,p(x)=<\varphi ^{}|\frac{1}{1\widehat{K}}|x>.$$
(280)
This leads to

$$\stackrel{~}{K}(x,y)=\frac{q(x)p(y)q(y)p(x)}{xy}.$$
(281)
Taking the derivatives of $`q(x)`$ and $`p(x)`$ with respect to $`b`$ , one obtains a set of equations, which are a Hamiltonian system,

$$\dot{Q}=P(1\frac{2Q^2}{b}),\dot{P}=Q(\frac{2P^2}{b}1)$$
(282)
where $`Q(b)=q(b,b:b)`$ and $`P(b)=p(b,b:b)`$, $`q(b,b,:b)`$ , obtained by setting $`a=b,x=b`$ in $`q(b,a:x)`$, (We have written explicitly the interval dependence of $`q(x)`$). The Hamiltonian $`H`$ which governs this dynamical system is simply

$$H(b,b)=P^2+Q^2\frac{2P^2Q^2}{b}$$
(283)
($`P`$ and $`Q`$ have Hamiltonian form, $`\dot{Q}=\frac{H}{P}`$, $`\dot{P}=\frac{H}{Q}`$, with $`H=\stackrel{~}{K}(b,b)`$). For small $`s`$, we obtain from these two equations,

$$P=1+s+\frac{7}{8}s^2+\frac{65}{72}s^3+\mathrm{}$$
(284)
$$Q=\frac{s}{2}\frac{s^3}{48}+\mathrm{}$$
(285)
This leads to

$$E(s)=1s+O(s^4)$$
(286)
which agrees with the well known result .

For the GOE ensemble, the kernel is a quaternion matrix, and the correlation functions are expressed by a quaternion determinant.

The matrix kernel of GOE, $`\sigma (x,y)`$, is

$$\sigma (x,y)=\left(\begin{array}{cc}s(x,y)& Ds(x,y)\\ Js(x,y)& s(x,y)\end{array}\right)$$
(287)
where we denote the sine kernel as $`s(x,y)=\mathrm{sin}(xy)/(xy)`$, and

$$Js(x)=_0^xs(y)𝑑yϵ(x)=ϵs(x)ϵ$$
(288)
where $`ϵ(x)=\frac{1}{2}\mathrm{sgn}x`$.

Tracy and Widom have found the Fredholm determinant for this matrix kernel . Their result for the interval $`(a,b)`$ reads

$$E(s)=\mathrm{exp}[\frac{1}{2}_0^sH(z,z)𝑑z\frac{1}{2}_0^sH(z,z)𝑑z]$$
(289)
for GOE. The Hamiltonian $`H`$ is same as the Hamiltonian for the GUE given in (283). We have

$$H(b,b)=\frac{Q(b)P(b)}{b}$$
(290)
For small $`s`$, one obtains from (289),

$$E(s)=1s+\frac{1}{36}s^3+O(s^4)$$
(291)
which agrees with the known result  (We have dropped a factor $`\pi `$ in the sine kernel. The correct coefficient is $`\frac{\pi ^2}{36}`$).

For GSE, we have

$$E(\frac{s}{2})=\frac{1}{2}[\mathrm{exp}[\frac{1}{2}_0^s(H(z,z)+H(z,z))𝑑z]+\mathrm{exp}[\frac{1}{2}_0^s(H(z,z)H(z,z))𝑑z]]$$
(292)
For small $`s`$, it gives

$$E(s)=1s+O(s^4)$$
(293)
When the external source matrix $`A`$ has only two dsitinct eigenvalues -a and +a, each of them $`\frac{N}{2}`$ times degenerate, a gap in the spectrum around the origin may be created by tuning appropriately the parameter $`a`$, . At some critical value of $`a`$ the gap closes and its vicinity leads to a new interesting universality class. For the GUE case, we have given in an earlier work  the equation satisfied by $`E(s)`$in the oppropriate scaling vicinity of the gap closing point. In this gap closing case, the problem is again governed by a Hamiltonian system with now three different $`Q_i,P_i(i=0,1,2)`$, as shown in . They satisfy

$$\dot{Q}_n=\frac{H}{P_n}$$
(294)
$$\dot{P}_n=\frac{H}{Q_n}$$
(295)
The Hamiltonian $`H=\stackrel{~}{K}(b,b)`$ reads

$`H`$ $`=`$ $`bP_2Q_0+Q_2P_1+Q_1P_0uP_1Q_0vP_2Q_1`$ (296)
$`+`$ $`{\displaystyle \frac{1}{ba}}[P_1(b)Q_1(a)Q_2(b)P_2(a)Q_0(b)P_0(a)]`$
$`\times `$ $`[P_1(a)Q_1(b)Q_2(a)P_2(b)Q_0(a)P_0(b)]`$
for the interval $`(a,b)`$.

The kernel $`\stackrel{~}{K}(b,b)`$ is

$$\stackrel{~}{K}(b,b)=\frac{Q_1(b)P_1(b)Q_2(b)P_2(b)Q_0(b)P_0(b)}{2b}$$
(297)
Using the expressions of (289) and (292), we obtain the level spacing function both for GOE and GSE near the gap closing point. The second derivative of $`E(s)`$ is the level spacing probability $`p(s)`$, which is the probability density that two successive eigenvalues lie at distance $`s`$. For $`s`$ small, it is easy to verify that $`p(s)`$ is linear in $`s`$, a characteristic behavior of GOE. The small $`s`$ expansion may be computed from the expansions of $`Q_n,P_n`$, which are $`Q_0(b)={\displaystyle \frac{\sqrt{2}}{4\pi }}\mathrm{\Gamma }({\displaystyle \frac{1}{4}})+{\displaystyle \frac{\sqrt{2}}{2\pi ^{3/2}}}b+O(b^2),Q_1(b)={\displaystyle \frac{\sqrt{2}}{2\pi }}\mathrm{\Gamma }({\displaystyle \frac{3}{4}})b+O(b^2),Q_2(b)={\displaystyle \frac{\sqrt{2}}{2\pi }}\mathrm{\Gamma }({\displaystyle \frac{3}{4}})+O(b),P_0(b)={\displaystyle \frac{1}{3\sqrt{\pi }}}b^3+O(b^4),P_1(b)={\displaystyle \frac{1}{\sqrt{\pi }}}+O(b),P_2(b)={\displaystyle \frac{1}{\sqrt{\pi }}}b+O(b^2).`$

Thus we have obtained new results for the level spacing probablity of GOE. This may be important, for instance, in the discussions of universality for the the energy spectrum of quantum dots with interactions . Our study of the external source problem may be related to the questions of the distribution of cycles in the permutations with external source  in the GOE case, and to the crystal growth in a random environment  or to the spin glass problem .

## 14 General $`\beta `$

We have discussed hereabove the HIZ integration for arbitrary $`\beta `$. The two point correlations of the characteristic polynomials are given for the general $`\beta `$ case by

$$<\mathrm{det}(\lambda _1X)\mathrm{det}(\lambda _2X)>=C\underset{i=1}{\overset{N}{}}(\lambda _1x_i)\underset{j=1}{\overset{N}{}}(\lambda _2x_j)\underset{i<j}{}|x_ix_j|^\beta e^{N{\scriptscriptstyle x_i^2}}\underset{i=1}{\overset{N}{}}dx_i$$
(298)
in which the eigenvalues of $`X`$ are $`x_i`$. In the $`\beta =1`$ GOE case, this correlation function is simply

$$F(\lambda _1,\lambda _2)=\sqrt{\frac{\pi }{2x^3}}J_{\frac{3}{2}}(x)=\frac{1}{x}\frac{d}{dx}(\frac{\mathrm{sin}x}{x})$$
(299)
In the GUE case, this two point correlation function becomes the kernel itself  $`K_N(\lambda _1,\lambda _2)`$, and it is given by $`\sqrt{{\displaystyle \frac{\pi }{2x}}}J_{\frac{1}{2}}(x)={\displaystyle \frac{\mathrm{sin}x}{x}}`$.

It is easy to derive the general expressions for arbitrary $`\beta `$ from the relation (163). If we use the dual $`\beta `$, which is equal to $`\frac{4}{\beta }`$ and $`k=1`$ in (163) ???.

The HIZ integral has a finite number terms when $`\frac{2}{\beta }\frac{1}{2}`$ is a half integer ; for instance for $`\beta =1`$ , the GOE ensemble is dual to the GSE, for which we know that the expansion is finite . From the saddle-point large N analysis, this two point correlation function of characteristic polynomials in the Dyson limit is

$$F=\sqrt{\frac{\pi }{2}}\frac{1}{x^{\frac{2}{\beta }\frac{1}{2}}}J_{\frac{2}{\beta }\frac{1}{2}}(x)$$
(300)
The Bessel functions of half-integer order is expressed by

$$J_{n+\frac{1}{2}}(x)=\sqrt{\frac{2}{\pi }}x^{n+\frac{1}{2}}(\frac{d}{xdx})^n(\frac{\mathrm{sin}x}{x}).$$
(301)
For instance, when $`\beta =4`$, $`k=1`$, (GSE), we have shown that indeed it is a Bessel function $`J_0(x)`$ in (142).

The expression in terms of Bessel functions has been derived for the generalized Selberg integrals by Aomoto , and further studied by Forrester . It may be interesting to note the following fact.

## 15 Summary

In this paper, we have studied the correlations of the characteristic polynomials of random matrices, which are either real symmetrix (GOE) or quaternionic self-dual (GSE). It was shown that they are universal in the Dyson’s limit with respect to an external matrix source linearly coupled to the random matrix. As usual the correlation functions are only sensitive to the external source through a scale set by the mean spacing.

For the ratio of characteristic polynomials, we have applied supersymmetric techniques, and obtained as a by-product the resolvent correlation functions of the GOE and GSE ensembles. The method required using group integrals which are no longer of the semi-classical type studied by Harish-Chandra, Itzykson and Zuber. However we have found that, in the limit required by Dyson scaling, these integrals can be performed both for the GOE and the GSE. We have also used an alternative method, in which one computes ratios of characteristic polynomials, and we have obtained again the correlation functions by a replica method, in the zero-replica limit.

The level spacing probability has been studied for the GOE and the GSE ensemble, and we have given an explicit representation for E(s) in the closing gap case, obtained by tuning of the external source.

Acknowledgement

S.H. has benefited from a Grant-in-Aid for Scientific Research (B) of JSPS.