A representation of joint moments of CUE characteristic polynomials in terms of Painlevé functions

Abstract

We establish a representation of the joint moments of the characteristic polynomial of a CUE random matrix and its derivative in terms of a solution of the -Painlevé V equation. The derivation involves the analysis of a formula for the joint moments in terms of a determinant of generalised Laguerre polynomials using the Riemann–Hilbert method. We use this connection with the -Painlevé V equation to derive explicit formulae for the joint moments and to show that in the large-matrix limit the joint moments are related to a solution of the -Painlevé III equation. Using the conformal block expansion of the -functions associated with the -Painlevé V and the -Painlevé III equations leads to general conjectures for the joint moments.