We study the squared singular value spectrum of a product of non-square random matrices, a setting that also corresponds to the feature covariance eigenvalues of a deep linear neural network at initialization. We first take a proportional depth-width $d,n$ limit with the number of data points $m$ held fixed, and show that the resulting covariance eigenvalue process satisfies a geometric version of Dyson Brownian motion. We then take a second, sequential mean-field limit corresponding to the scaling $dm/n\to\barτ$, and show that the limiting $T$-transform of the spectrum solves a Burgers equation. In the identity-start case this equation yields the free log-normal law, and the general limit is obtained by free multiplicative convolution with the free log-normal. We further obtain the free log-normal support formula, a fixed-point iteration for numerical evaluation, and a formal small-time Marchenko--Pastur approximation. We also use the limiting spectral law to predict a toy random-feature regression risk, finding close agreement with a finite-dimensional simulation.
We study sparse threshold random geometric graphs generated by high-dimensional spherical or Gaussian latent vectors. Although each edge has marginal probability $p$, shared latent variables make the adjacency entries dependent. At the connectivity scale $np=Ω(\log n)$, the spher…
We address fundamental challenges in representing and computing $\mathbb{R}^{d}$-valued predictable square-integrable processes over $[0,T]$, collected in the space $\mathcal{H}^2_T(\mathbb{R}^{d})$. These processes are central to continuous-time stochastic control, reinforcement…
Let $X(t)$, $t\in K$, be a centred Gaussian process with continuous sample paths on a compact metric space $K$, and let $M=\min_{t\in K}X(t)$. Let $σ_*^2$ denote the minimum covariance energy associated with $X$, and assume that $σ_*^2>0$. Motivated by the results of \cite{chakra…
We study the leading-order fluctuation of stochastic gradient Euler-Maruyama estimators for generalized non-reversible Langevin dynamics. Under structural assumptions tailored to the small-stepsize central limit theorem and under an unbiased stochastic gradient oracle, we prove t…
We show the Randomized Hamiltonian Monte Carlo (RHMC) algorithm has accelerated mixing time guarantees for sampling from log-concave probability distributions. RHMC proceeds by repeatedly simulating the continuous-time Hamiltonian dynamics for some random integration times, and r…
For stochastic gradient descent (SGD) with a constant stepsize $α$, the invariant law of the iterates, centered at a minimizer, describes the behavior of the algorithm over long time horizons. In the strongly convex case, this invariant law has the familiar $\sqrtα$ scaling and a…