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# On the Law of Addition of Random Matrices

## 1 Introduction

The paper deals with the eigenvalue distribution of the sum of two $`n\times n`$ Hermitian or real symmetric random matrices as $`n\mathrm{}`$. Namely we express the limiting normalized counting measure of eigenvalues of the sum via the same measures of its two terms, assuming that latter exist and that terms are randomly rotated one with respect another by an unitary or an orthogonal random matrix uniformly distributed over the group $`U(n)`$ or $`O(n)`$ respectively.

One may mention several motivations of the problem. First, it can be regarded in the context of general problem to describe the eigenvalues of the sum of two matrices in terms of eigenvalues of two terms of the sum. The latter problem dates back at least to the paper of H. Weyl , was treated in a number of papers, including the recent paper , and related to interesting questions of combinatorics, geometry, algebra etc. (see e.g.  for recent results and references). The problem is also of considerable interest for mathematical physics because of its evident links with spectral theory and quantum mechanics (perturbation theory in particular).

It is clear that one cannot expect in general a simple and closed expression for eigenvalues of the sum of two given matrices via eigenvalues of terms. Hence, it is natural to look for a “generic” asymptotic answer, studying a randomized version of the problem in which at least one of the two terms is random and both behave rather regularly as $`n\mathrm{}`$. Particular results of this type were given in  where it was proved that under certain conditions the divided by $`n`$ eigenvalue counting measure of the sum converges in probability to the nonrandom limit that can be found as a unique solution of a certain functional equation. Thus, a randomized version of the problem admits a rather constructive and explicit solution. These results were developed in several directions (see e.g.  \-  and the recent work ). Similar problems arose recently in operator algebras studies, known now as the free (non-commutative) probability (see  for results and references). In particular, the notion of the $`R`$-transform and the free convolution of measures were introduced by Voiculescu and allowed the limiting eigenvalue distributions of the sum to be given in a rather general and simple form. From the point of view of the random matrix theory the problem that we are going to consider is a version of the problem of the deformation (see e.g.  for this term) of a given random matrix (that can be a non-random matrix in particular) by another random matrix in the case when ”randomness” of the latter includes as an independent part the random choice of the basis in which this matrix is diagonal. We will discuss this topic in more details in Section 2.

In this paper we present a simple method of deriving functional equations for the limiting eigenvalue distribution in a rather general situation. The method is based on certain differential identities for expectations of smooth matrix functions with respect to the normalized Haar measure of $`U(n)`$ ( or $`O(n)`$ ) and on elementary matrix identities, the resolvent identity first of all. The basic idea is the same as in : to study not the moments of the counting measure, as it was proposed in the pioneering paper by Wigner , but rather its Stieltjes (called also the Cauchy or the Borel) transform, playing the role of appropriate generating (or characteristic) function of the moments (the measure). However, the technical implementation of the idea in this paper is different and simpler then in  (see Remark 1 after Theorem 2.1).

The paper is organized as follows. In Section 2 we present our main results (Theorem 2.1) and give their discussion. In Section 3 we prove Theorems 3.1 and 3.2 giving the solution of the problem under the conditions of the uniform in $`n`$ boundedness of the forth moments of the normalized counting measure of the terms. These conditions are more restrictive than those for our principle result, given in Theorem 2.1. Their advantage is that they allow us to use the main ingredients of our approach in more transparent and free of technicalities form. In Section 4 we prove Theorem 2.1, whose main condition is the uniform boundedness of the first absolute moment of the normalized counting measure of one of the two terms of the sum. In Section 5 we study certain properties of solutions of the functional equation and of the limiting counting measure. In Section 6 we discuss topics related to our main result and our technique.

## 2 Model and Main Result.

We consider the ensemble of $`n`$-dimensional Hermitian (or real symmetric) random matrices $`H_n`$ of the form

$$H_n=H_{1,n}+H_{2,n},$$
(2.1)
where

$$H_{1,n}=V_n^{}A_nV_n,H_{2,n}=U_n^{}B_nU_n.$$

We assume that $`A_n`$ and $`B_n`$ are random Hermitian (or real symmetric) matrices having arbitrary distributions, $`V_n`$ and $`U_n`$ are unitary (or orthogonal) random matrices uniformly distributed over the unitary group $`U(n)`$ (or over the orthogonal group $`O(n)`$) with respect to the Haar measure, and $`A_n`$, $`B_n`$, $`V_n`$ and $`U_n`$ are mutually independent. For the sake of definiteness we will restrict ourself to the case of Hermitian matrices and the group $`U(n)`$ respectively. The results for symmetric matrices and for the group $`O(n)`$have the same form, although their proof is more involved technically (see Section 6).

We are interested in the asymptotic behavior as $`n\mathrm{}`$ of the normalized eigenvalue counting measure (NCM) $`N_n`$ of the ensemble (2.1), defined for any Borel set $`\mathrm{\Delta }`$ by the formula

$$N_n(\lambda )=\frac{\mathrm{\#}\{\lambda _i\mathrm{\Delta }\}}{n},$$
(2.2)
where $`\lambda _i,i=1,\mathrm{},n`$ are the eigenvalues of $`H_n`$.

The problem was studied recently  in the context of free (non-commutative) probability. In particular, it follows from results of  that if the matrices $`A_n`$ and $`B_n`$ are non-random, their norms are uniformly bounded in $`n`$, i.e. their NCM $`N_{1,n}`$ and $`N_{2,n}`$ have uniformly in $`n`$ compact supports and if these measures have weak limits as $`n\mathrm{}`$

$$N_{1,n}N_1,N_{2,n}N_2,$$
(2.3)
then the NCM (2.2) of random matrix (2.1) converges weakly with probability 1 to a non-random measure $`N`$. Besides, if

$$f(z)=_{\mathrm{}}^{\mathrm{}}\frac{N(\mathrm{d}\lambda )}{\lambda z},\mathrm{Im}z>0,$$
(2.4)
is the Stieltjes transform of this limiting measure and

$$f_r(z)=_{\mathrm{}}^{\mathrm{}}\frac{N_r(\mathrm{d}\lambda )}{\lambda z},r=1,2,$$
(2.5)
are the Stieltjes transforms of $`N_r,`$ $`r=1,2`$ of (2.3), then according to  $`f(z)`$ satisfies the functional equation

$$f(z)=f_1(z+R_2(f(z))),$$
(2.6)
where $`R_2(f)`$ is defined by the relation

$$z=\frac{1}{f_2(z)}R_2(f_2(z)))$$
(2.7)
and is known as $`R`$-transform of the measure $`N_2`$ of (2.3) (see Remark 3 after Theorem 2.1 and  for the definition and properties of this transform taking into account that our definition (2.7) differs from that of  by the sign). The proof of this result in  was based on the asymptotic analysis of the expectations $`m_k^{(n)}`$ of moments of measure (2.2). Since, according to the spectral theorem and the definition (2.2),

$$m_k^{(n)}=𝐄\{M_k^{(n)}\},M_k^{(n)}=n^1\mathrm{Tr}H_n^k,$$
(2.8)
one can study the averaged moments $`m_k^{(n)}`$ by computing asymptotically the expectations of the divided by $`n`$ traces of the $`k`$-th powers of (2.1), i.e. of corresponding multiple sums. This direct method dates back to the classic paper by Wigner  and requires a considerable amount of combinatorial analysis, existence of all moments measures $`N_{1,2}^{(n)}`$ and their rather regular behavior as $`n\mathrm{}`$ to obtain the convergence of expectations (2.8) for all integer $`k`$ and to guarantee that limiting moments determine uniquely corresponding measure. By using this method it was proved in  that the expectation of $`N_n`$ converges to the limit, determined by (2.6) \- (2.7) and in  that the variance $`\mathrm{Var}\{M_k^{(n)}\}=`$ $`𝐄\{(M_k^{(n)})^2\}𝐄^2\{M_k^{(n)}\}`$ admits the bound

$$\mathrm{Var}\{M_k^{(n)}\}\frac{C_k}{n^2},$$
(2.9)
where $`C_k`$ is independent of $`n`$. This bound yields evidently the convergence of all moments with probability 1, thereby the weak convergence with probability 1 of random measures (2.2) to the non-random limit, determined by (2.6) - (2.7). The convergence with probability 1 here and below is understood as that in the natural probability space

$$\mathrm{\Omega }=\underset{n}{}\mathrm{\Omega }_n,$$
(2.10)
where $`\mathrm{\Omega }_n`$ is the probability space of matrices (2.1) that is the product of respective spaces of $`A_n`$ and $`B_n`$ and two copies of the group $`U(n)`$ for $`U_n`$ and $`V_n`$.

In this paper we obtain the analogous result under weaker assumptions and by using a method, that does not involve combinatorics. This is because we work with the Stieltjes transforms of measures (2.2) and (2.3) and derive directly the functional equations for their limits and the bound analogous to (2.9) for the rate of their convergence (rather well known in the random matrix theory, see e.g. ) by using certain simple identities for expectations of matrix functions with respect to the Haar measure (Proposition 3.2 below) and elementary facts on resolvents of Hermitian matrices.

The Stieltjes transform was first used in studies of the eigenvalue distribution of random matrices in paper  and proved to be an efficient tool in the field (see e.g. ). We list the properties of the Stieltjes transform that we will need below (see e.g.).

###### Proposition 2.1

Let $`m`$ be a non-negative and normalized to unity measure and

$$s(z)=\frac{m(d\lambda )}{\lambda z},\mathrm{Im}z0$$
(2.11)
be the Stieltjes transform of $`m`$ (here and below integrals without limits denote the integrals over the whole axis). Then:

1. $`s(z)`$ is analytic in $``$ and

$$|s(z)||\mathrm{Im}z|^1;$$
(2.12)
2. $$\mathrm{Im}s(z)\mathrm{Im}z>0,\mathrm{Im}z0;$$
(2.13)
3. $$\underset{y\mathrm{}}{lim}y|s(iy)|=1;$$
(2.14)
4. for any continuous function $`\phi `$ with a compact support we have the inversion (Frobenius-Perron) formula

$$\varphi (\lambda )N(\mathrm{d}\lambda )=\underset{\epsilon 0}{lim}\frac{1}{\pi }\varphi (\lambda )\mathrm{Im}s(\lambda +i\epsilon );$$
(2.15)
5. conversely, any function verifying (2.12) - (2.14) is the Stieltjes transform of a non-negative and normalized to unity measure and this one-to-one correspondence between measures and their Stieltjes transforms is continuous if one will use the topology of weak convergence for measures and the topology of convergence on compact sets of $``$ for their Stieltjes transforms.

We formulate now our main result. Since eigenvalues of a Hermitian matrix are unitary invariant we can replace matrices (2.1) by

$$H_n=A_n+U_n^{}B_nU_n,$$
(2.16)
where $`A_n`$, $`B_n`$ and $`U_n`$ are the same as in (2.1). However, it is useful to keep in mind that the problem is symmetric in $`A_n`$ and $`B_n`$. We prove

###### Theorem 2.1

Let $`H_n`$ be the random $`n\times n`$ matrix of the form (2.1). Assume that the normalized eigenvalue counting measures $`N_{r,n},r=1,2`$ of matrices $`A_n`$ and $`B_n`$ converge weakly in probability as $`n\mathrm{}`$ to the non-random nonnegative and normalized to 1 measures $`N_r,r=1,2`$ respectively and that

$$\underset{n}{sup}|\lambda |𝐄N_{r,n}^{}(\mathrm{d}\lambda )m_1<\mathrm{},$$
(2.17)
where $`N_{r,n}^{}`$ is one of the measures $`N_{1,n}`$ or $`N_{2,n}`$. Then the normalized eigenvalue counting measure $`N_n`$of $`H_n`$ converges in probability to a non-random nonnegative and normalized to 1 measure $`N`$ whose Stieltjes transform (2.4) is a unique solution of the system

$$f(z)=f_1\left(z\frac{\mathrm{\Delta }_2(z)}{f(z)}\right)$$

$$f(z)=f_2\left(z\frac{\mathrm{\Delta }_1(z)}{f(z)}\right)$$
(2.18)
$$f(z)=\frac{1\mathrm{\Delta }_1(z)\mathrm{\Delta }_2(z)}{z}$$

in the class of functions $`f(z)`$ satisfying (2.12) - (2.14) and functions $`\mathrm{\Delta }_r(z),r=1,2`$ analytic for $`\mathrm{Im}z0`$ and satisfying conditions

$$\mathrm{\Delta }_{1,2}(z)0\mathrm{as}\mathrm{Im}z\mathrm{},$$
(2.19)
where $`f_r(z),r=1,2`$ are Stieltjes transforms (2.5) of the measures $`N_r,r=1,2`$ and $`𝐄\{\}`$ denotes the expectation with respect to the probability measure, generated by $`A_n`$, $`B_n`$, $`U_n`$ and $`V_n`$

The theorem will be proved in Section 4. Here we make several remarks related to the theorem (see also Section 5).

###### Remark 1

The historically first example of a random matrix ensemble representable in the form (2.16) was proposed in  and has the form

$$H_{m,n}=H_{0,n}+\underset{i=1}{\overset{m}{}}\tau _iP_{q_i},$$
(2.20)
where $`H_{0,n}`$ is a non-random $`n\times n`$ Hermitian matrix such that its normalized eigenvalue counting measure converges weakly to a limiting nonnegative and normalized to 1 measure $`N_0`$, $`\tau _i`$, $`i=1,..m`$ are i.i.d. random variables and $`P_{q_i}`$ are orthogonal projections on unit vectors $`q_i`$, $`i=1,..m`$ uniformly and independently of one another and of $`\{\tau _i\}_{i=1}^m`$ distributed over the unit sphere in $`^n`$ 111In fact, in  a more general class of independent random vectors was considered, but we restrict ourself here to the unit vectors, in order to have an example of an ensemble of form (2.1).. It is clear that the matrix

$$\underset{i=1}{\overset{m}{}}\tau _iP_{q_i}$$
(2.21)
can be written in the form $`U_n^{}B_nU_n`$ of the second term of (2.1) or (2.16). According to  the NCM of random matrix (2.21) converges in probability as $`n\mathrm{}`$, $`m\mathrm{}`$, $`m/nc0`$ to a non-random nonnegative and normalized to 1 measure whose Stieltjes transform $`f_{MP}(z)`$ satisfies the equation

$$f_{MP}(z)=\left(z+c\frac{\tau \sigma (\mathrm{d}\tau )}{1+\tau f_{MP}(z)}\right)^1,$$
(2.22)
where $`\sigma `$ is the probability law of $`\tau _i`$ in (2.20). Assume that $`\sigma `$ has the finite first moment

$$|\tau |\sigma (\mathrm{d}\tau )<\mathrm{}$$
(2.23)
Then taking (2.21) as the second term of (2.1) we get, in view of inequality

$$𝐄\{|\lambda |N_{2,n}(\mathrm{d}\lambda )\}n^1\underset{i=1}{\overset{m}{}}𝐄\{|\tau _i|\}=\frac{m}{n}𝐄\{|\tau |\}<\mathrm{},$$

the condition (2.17) of Theorem 2.1. Applying then Theorem 2.1 in which $`f_2(z)`$ is given by (2.22), we obtain from the two last equations of the system (2.18) that

$$\frac{\mathrm{\Delta }_1(z)}{f(z)}=c\frac{\tau \sigma (\mathrm{d}\tau )}{1+\tau f_{MP}(z)}.$$

This and the first equation of (2.18) yield the functional equation for the Stieltjes transform of the limiting eigenvalue distribution of ensemble (2.20)

$$f(z)=f_0\left(zc\frac{\tau \sigma (\mathrm{d}\tau )}{1+\tau f(z)}\right)$$
(2.24)
where $`f_0(z)`$ is the Stieltjes transform of the limiting NCM $`N_0`$ of the non-random matrix $`H_{0,n}`$. This equation was obtained in  by another method, whose main ingredient was careful analysis of changes of the resolvent of matrices (2.20) induced by addition of the $`(m+1)`$-th term, i.e. by a rank-one perturbation. This allowed the authors to prove that the sequence $`g_{i,n}(z)=n^1\mathrm{Tr}(H_{i,n}z)^1,i=1,\mathrm{},m`$ converges in probability to the non-random limit $`f(z,t),z\backslash 𝐑,t[0,1]`$, as $`n\mathrm{},m\mathrm{},i\mathrm{},m/nc,i/mt`$, and that the limiting function $`f(z,t)`$ satisfies the quasilinear PDE

$$\frac{f}{t}+c\frac{\tau (t)}{1+\tau (t)f}\frac{f}{z},f(z,0)=f_0(z),$$
(2.25)
where $`\tau (t)`$ is the inverse of the probability distribution $`\sigma (\tau )=𝐏\{\tau _i\tau \}`$. It can be shown that the solution of (2.25) at $`t=1`$ coincides with (2.20) . Equation (2.25) with $`\tau (t)\mathrm{const}`$ is a particular case of the so-called complex Burgers equation appeared in the free probability , where the random matrices (2.20) provide an analytic model for the stationary processes with free increments, like in the conventional probability the heat equation and sums of i.i.d. random variables comprise an important ingredient of the theory of random processes with independent increments.

###### Remark 2

Consider the ensemble known as the deformed Gaussian ensemble :

$$H_n=H_{0,n}+M_n,$$
(2.26)
where $`H_{0,n}`$ is a non-random matrix such that its normalized eigenvalue counting measure converges weakly to the limit $`N_0`$ and $`M_n=\{M_{jk}\}_{j,k=1}^n`$ is a random Hermitian matrix whose matrix elements $`M_{jk}`$ are complex Gaussian random variables satisfying conditions:

$$\overline{M_{jk}}=M_{kj},𝐄\{M_{jk}\}=0,𝐄\{M_{j_1k_1}\overline{M_{j_2k_2}}\}=\frac{2w^2}{n}\delta _{j_1j_2}\delta _{k_1k_2}.$$
(2.27)
In other words, the ensemble is defined by the distribution

$$𝐏(\mathrm{d}M)=Z_n^1exp\left\{\frac{n}{4w^2}\mathrm{Tr}M^2\right\}\mathrm{d}M,$$
(2.28)
$$\mathrm{d}M=\underset{j=1}{\overset{n}{}}\mathrm{d}M_{jj}\underset{1j<kn}{}\mathrm{dRe}M_{jk}\mathrm{dIm}M_{jk},$$

where $`Z_n`$ is the normalization constant. The distribution defines the Gaussian Unitary Ensemble (GUE) . This is why ensemble (2.26) is called the deformed GUE . It is known  that $`M_n`$ can be written in the form

$$M_n=U_n^{}\mathrm{\Lambda }_nU_n,$$
(2.29)
where $`U_n`$ are unitary matrices whose probability law is the Haar measure on $`U(n)`$ and $`\mathrm{\Lambda }_n`$ is independent of $`U_n`$ diagonal random matrix whose normalized eigenvalue counting measure converges with probability 1 to the semicircle law. The Stieltjes transform $`f_{sc}(z)`$ of the latter satisfies the simple functional equation

$$f_{sc}(z)=(z+2w^2f_{sc}(z)),$$
(2.30)
whose solution yields the semicircle law by Wigner

$$N_{sc}(d\lambda )=(4\pi w^2)^1\sqrt{8w^2\lambda ^2}\chi _{[2\sqrt{2}w,2\sqrt{2}w]}(\lambda )d\lambda ,$$
(2.31)
where $`\chi _{[a,b]}(\lambda )`$ is the indicator of the interval $`[a,b]`$. It is easy to see that

$$𝐄\{n^1\mathrm{Tr}M_n^2\}=2w^2<\mathrm{}.$$

Denoting $`N_{sc,n}`$ the NCM of the random matrices defined by (2.28) we can rewrite this inequality in the form

$$_{\mathrm{}}^{\mathrm{}}\lambda ^2𝐄\{N_{sc,n}(d\lambda )\}<\mathrm{}.$$
(2.32)
Thus, if we use (2.29) as the second term in (2.16), it will satisfy condition (2.1). Taking $`f_{sc}(z)`$ as $`f_2(z)`$ in (2.18) we find from the two last equations of the system that $`\mathrm{\Delta }_2(z)/f(z)=2w^2f(z)`$ and then the first equation of (2.18) takes the form

$$f(z)=f_0(z+2w^2f(z)),$$
(2.33)
where $`f_0(z)`$ is the Stieltjes transform of the limiting counting measure of matrices $`H_{0,n}`$. This functional equation determining the limiting eigenvalue distribution of the deformed GUE was found by another method in  (see also ) for random matrices (2.26) in which $`M_n`$ has independent (modulo the Hermitian symmetry conditions) entries, for (2.28) in particular.

###### Remark 3

Consider now a probability measure $`m(\mathrm{d}\lambda )`$ and assume that its second moment $`m_2`$ is finite. In this case we can write the Stieltjes transform $`s(z)`$ of $`m`$ in the form

$$s(z)=(z+\mathrm{\Sigma }(z))^1,$$

where $`\mathrm{\Sigma }(z)`$ is the Stieltjes transform of a non-negative measure whose total mass is $`m_2`$ (to prove this fact one can use, for example, the general integral representation  for functions satisfying (2.13) ). Since $`s^{}(z)=z^2(1+o(1))`$, $`z\mathrm{},`$ then, according to the local inversion theorem, there exists a unique functional inverse $`z(s)`$ of $`s(z)`$ defined and analytic in a neighborhood of zero and assuming its values in a neighborhood of infinity. Denote

$$\mathrm{\Sigma }(z(s))=R_m(s)$$
(2.34)
and following Voiculescu  call $`R_m(s)`$ the $`R`$-transform of the probability measure $`m`$. By using the $`R`$-transforms $`R_{1,2}`$ of measures $`N_{1,2}`$ we can rewrite the first two equations of system (2.18) in the form

$$\frac{\mathrm{\Delta }_{1,2}}{f(z)}=\frac{1}{f(z)}+z+R_{2,1}(f(z))=R(f(z))+R_{2,1}(f(z)),$$
(2.35)
where $`R`$ denotes the $`R`$-transform of the limiting normalized counting measure $`N`$ of the ensemble (2.1) (the measure whose Stieltjes transform is $`f`$). These relations and the third equation of system (2.18) lead to the remarkably simple expression of $`R`$ via $`R_1`$ and $`R_2`$

$$R(f)=R_1(f)+R_2(f),$$
(2.36)
that ”linearizes” the rather complex system (2.18). The relation was obtained by Voiculescu in the context of $`C^{}`$-algebra studies (see  for results and references). Thus, one can regard the system (2.18) as a version of the binary operation on measures defined by (2.36) and known as the non-commutative convolution. A simple precursor of relation (2.36) containing the functional inverses of $`f`$ and $`f_{1,2}`$ for real $`z`$ lying outside of the support of $`N_0`$ in (2.24) was used in  (see also ) to locate the support of $`N`$ in terms of the support of $`N_0`$ in the case of ensemble (2.20). The simplest form of the relation (2.36) for the case when both measures are semicircle measures (2.31), i.e. when $`R_{1,2}=2w_{1,2}^2f`$, was indicated in . Formal derivation of relation (2.36) for the case then matrices $`H_1`$ and $`H_2`$ distributed both according to the laws

$$P_{1,2}^{(n)}(\mathrm{d}H)=Z_{1,2}^{(n)}exp\{nV_{1,2}(H)\}\mathrm{d}H.$$
(2.37)
where $`V_{1,2}:_+`$ are polynomials of an even degree was given in . The derivation is based on the perturbation theory with respect to the non-quadratic part of $`V_{1,2}`$ and the $`R`$-transform is related to the sum of irreducible diagrams of the formal perturbation series. Existence of the limiting eigenvalue counting measure for the random matrix ensemble (2.37) was rigorously proved in  for a rather broad class of functions $`V`$ (not necessary polynomials). It was also proved that the normalized counting measure (2.2) converges in probability to the limiting measure. The form (2.29) of matrices of ensemble (2.37) can be deduced from known results on the ensemble (2.37) (see e.g.) in the same way as for the GUE (2.28), where $`V(\lambda )=\lambda ^2/4w^2`$ (see ). Condition (2.17) follows from results of . Thus we can apply Theorem 2.1 to obtain rigorously relation (2.36) in the case when matrices $`H_r,r=1,2`$ in (2.1) are distributed according to (2.37).

###### Remark 4

The problem of addition of random Hermitian (real symmetric matrices) has a natural multiplicative analogues in the case of positive defined Hermitian (real symmetric) or unitary (orthogonal) matrices. Namely, assuming that $`A_n`$ and $`B_n`$ are positive defined matrices and $`U_n`$ is the unitary (orthogonal) Haar distributed random matrix we can consider the positive defined random matrix

$$H_n=A_n^{1/2}U_n^{}B_nU_nA_n^{1/2}.$$
(2.38)
Likewise, if $`S_n`$ and $`T_n`$ are unitary (orthogonal) matrices and and $`U_n`$ is as above we can consider the random matrices

$$V_n=S_nU_n^{}T_nU_n.$$
(2.39)
In this case the normalized eigenvalue counting measure is defined as $`n^1`$ times the number of eigenvalues belonging to a Borel set of the unit circle.

In both cases (2.38) and (2.39) one can study the limiting properties of the NCM’s of respective random matrices provided that the ”input” matrices $`A_n,B_n,S_n`$ and $`T_n`$ have limiting eigenvalue distributions. The first examples of ensembles of the above forms as multiplicative analogues of the ensemble (2.20) were proposed in , where the respective functional equations analogous to (2.24) were derived. A general class of the random matrix ensembles of these forms were studied in free probability , where the notions of the $`S`$ \- transform and the free multplicative convolution of measures were proposed and used to give a general form of the limiting eigenvalue distributions of products (2.38) and (2.39). It will be shown in the subsequent paper  that a version of the method of this paper leads to results, analogous to those given in Theorem 2.1 above.

## 3 Convergence with Probability 1 for non-Random $`A_n`$ and $`B_n`$.

As the first step of the proof of Theorem 2.1 we prove the following

###### Theorem 3.1

Let $`H_n`$ be the random $`n\times n`$ matrix of the form (2.1) in which $`A_n`$ and $`B_n`$ are non-random Hermitian matrices, $`U_n`$ and $`V_n`$ are random independent unitary matrices distributed each according to the normalized to unity Haar measure on $`U(n)`$. Assume that the normalized counting measures $`N_{r,n},r=1,2`$ of matrices $`A_n`$ and $`B_n`$ converge weakly as $`n\mathrm{}`$ to nonnegative and normalized to 1 measures $`N_r,r=1,2`$ respectively and that

$$\underset{n}{sup}\lambda ^4N_{r,n}(\mathrm{d}\lambda )=m_4<\mathrm{},r=1,2.$$
(3.1)
Then the normalized eigenvalue counting measure (2.2) of $`H_n`$ converges with probability 1 to a non-random and normalized to 1 measure whose Stieltjes transform (2.4) is a unique solution of the system (2.18) in the class of functions $`f(z)`$, $`\mathrm{\Delta }_r(z),r=1,2`$ analytic for $`\mathrm{Im}z0`$ and satisfying conditions (2.12)-(2.14) and (2.19) respectively.

###### Remark 1

The theorem generalizes the results of  proved under the condition that supports of the NCM $`N_{r,n},r=1,2`$ of $`A_n`$ and $`B_n`$ are uniformly bounded in $`n.`$

###### Remark 2

By mimicking the proof of the Glivenko - Cantelli theorem (see e.g. ), one can prove that the random distribution functions $`N_n(\lambda )=N_n(]\mathrm{},\lambda [)`$ corresponding to measures (2.2) converge uniformly with probability 1 to the distribution function $`N(\lambda )=N(]\mathrm{},\lambda [)`$ corresponding to measure $`N`$:

$$𝐏\{\underset{n\mathrm{}}{lim}\underset{\lambda }{sup}|N_n(\lambda )N(\lambda )|=0\}=1.$$

We present now our technical means. First is a collection of elementary facts of linear algebra.

###### Proposition 3.1

Let $`𝐌_n`$ be the algebra of linear transformations of $`^n`$ in itself ($`n\times n`$ complex matrices) equipped with the norm, induced by the Euclidean norm of $`^n`$.

We have :

1. if $`M𝐌_n`$ and $`\{M_{jk}\}_{j,k=1}^n`$ is the matrix of $`M`$ in any orthonormalized basis of $`^n`$, then

$$|M_{jk}|M;$$
(3.2)
2. if $`\mathrm{Tr}M=\underset{j=1}{\overset{n}{}}M_{jj}`$, then

$$|\mathrm{Tr}M_1M_2|(\mathrm{Tr}M_1M_1^{})^{1/2}(\mathrm{Tr}M_2M_2^{})^{1/2},$$
(3.3)
where $`M^{}`$ is the Hermitian conjugate of $`M`$, and if $`P`$ is a positive defined transformation, then

$$|\mathrm{Tr}MP|M\mathrm{Tr}P;$$
(3.4)
3. for any Hermitian transformation $`M`$ its resolvent

$$G(z)=(Mz)^1$$
(3.5)
is defined for all non-real $`z`$, $`\mathrm{Im}z0`$,

$$G(z)|\mathrm{Im}z|^1$$
(3.6)
and if $`\{G_{jk}(z)\}_{j,k=1}^n`$ is the matrix of $`G(z)`$ in any orthonormalized basis of $`^n`$ then

$$|G_{jk}(z)||\mathrm{Im}z|^1;$$
(3.7)
4. if $`M_1`$ and $`M_2`$ are two Hermitian transformations and $`G_r(z),r=1,2`$ are their resolvents, then

$$G_2(z)=G_1(z)G_1(z)(M_2M_1)G_2(z)$$
(3.8)
(the resolvent identity);
5. if $`G(z)=(Mz)^1`$ is regarded as a function of $`M,`$ then the derivative $`G^{}(z)`$ of $`G(z)`$ with respect to $`M`$ verifies the relation

$$G^{}(z)X=G(z)XG(z)$$
(3.9)
for any Hermitian $`X𝐌_n`$, and, in particular,

$$G^{}(z)G(z)^2|\mathrm{Im}z|^2$$
(3.10)

Now is our main technical tool.

###### Proposition 3.2

Let $`\mathrm{\Phi }:𝐌_n`$ be a continuously differentiable function. Then the following relation holds for any $`M𝐌_n`$ and any Hermitian element $`X𝐌_n`$:

$$\underset{U(n)}{}\mathrm{\Phi }^{}(U^{}MU)[X,U^{}MU]dU=0,$$
(3.11)
where

$$[M_\mathit{1},M_\mathit{2}]=M_\mathit{1}M_\mathit{2}M_\mathit{1}M_\mathit{2}$$
(3.12)
is the commutator of $`M_\mathit{1}`$ and $`M_\mathit{2}`$and the symbol

$$\underset{U(n)}{}\mathrm{}\mathrm{𝑑𝑈}$$
(3.13)
denotes the integration over $`U(n)`$ with respect to the normalized Haar measure $`\mathrm{𝑑𝑈}`$.

Proof. To prove (3.11) we use the right shift invariance of the Haar measure: $`\mathrm{d}U=\mathrm{d}(UU_0)`$, $`U_0U(n)`$ according to which the integral

$$\underset{U(n)}{}\mathrm{\Phi }\left(e^{i\epsilon X}U^{}MUe^{i\epsilon X}\right)dU$$

is independent of $`\epsilon `$ for any Hermitian $`X𝐌_n`$. Thus its derivative with respect to $`\epsilon `$ at $`\epsilon =0`$ is zero. This derivative is the l.h.s. of (3.11).$`\mathrm{}`$

###### Proposition 3.3

System (2.18) has a unique solution in the class of functions $`f(z)`$, $`\mathrm{\Delta }_{1,2}(z)`$ analytic for $`\mathrm{Im}z0`$ and satisfying conditions (2.12)–(2.14) and (2.19).

Proof. Assume that there exist two solutions $`(f^{^{}},\mathrm{\Delta }_{1,2}^{^{}})`$ and $`(f^{^{\prime \prime }},\mathrm{\Delta }_{1,2}^{^{\prime \prime }})`$ of the system. Denote $`\delta f=f^{^{}}f^{^{\prime \prime }}`$, $`\delta \mathrm{\Delta }_{1,2}=\mathrm{\Delta }_{1,2}^{^{}}\mathrm{\Delta }_{1,2}^{^{\prime \prime }}`$. Then, by using (2.18) and the integral representation (2.5) for $`f_{1,2},`$ we obtain the linear system for $`\delta \varphi =z\delta f`$, and for $`\delta \mathrm{\Delta }_{1,2}`$

$$\begin{array}{cc}\delta \varphi (1a_1(z))+b_1(z)\delta \mathrm{\Delta }_1\hfill & =0,\hfill \\ \delta \varphi (1a_2(z))+b_2(z)\delta \mathrm{\Delta }_2\hfill & =0,\hfill \\ \delta \varphi \delta \mathrm{\Delta }_1\delta \mathrm{\Delta }_2\hfill & =0,\hfill \end{array}$$
(3.14)
where

$$a_1=\frac{\mathrm{\Delta }_1^{^{\prime \prime }}}{f^{^{}}f^{^{\prime \prime }}}I_2,b_1=\frac{z}{f^{^{}}}I_2,I_2=I_2(z\mathrm{\Delta }_1^{^{}}/f^{^{}},z\mathrm{\Delta }_1^{^{\prime \prime }}/f^{\prime \prime }),$$
(3.15)
$$I_2(z^{},z^{\prime \prime })=\frac{N_2(\mathrm{d}\lambda )}{(\lambda z^{})(\lambda z^{\prime \prime })},$$
(3.16)
and $`a_2`$, $`b_2`$ can be obtained from $`a_1`$ and $`b_1`$ by replacing $`N_2`$ and $`\mathrm{\Delta }_1`$ by $`N_1`$ and $`\mathrm{\Delta }_2`$ in above formulas. For any $`y_0>0`$ consider the domain

$$E(y_0)=\{z:|\mathrm{Im}z|y_0,|\mathrm{Re}z||\mathrm{Im}z|\}.$$
(3.17)
If $`s(z)`$ is the Stieltjes transform (2.11) of a probability measure $`m,`$ then we have for $`zE(y_0)`$,

$$\left|\frac{\lambda m(\mathrm{d}\lambda )}{\lambda z}\right|=\left|\underset{|\lambda |M}{}+\underset{|\lambda |>M}{}\right|\frac{M}{y_0}+2\underset{|\lambda |>M}{}m(\mathrm{d}\lambda ),$$

i.e.

$$zs(z)=1+o(1),z\mathrm{},zE(y_0).$$
(3.18)
Analogously, by using this asymptotic relation and condition (2.19) we obtain that for $`z\mathrm{}`$, $`zE(y_0)`$

$$z^2I_{1,2}(z)=1+o(1),a_{1,2}(z)=o(1),b_{1,2}(z)=1+o(1).$$

Thus the determinant $`b_1b_2+b_1+b_2(a_2b_1+a_1b_2)`$ of system (3.14) is equal asymptotically to $`1`$. We conclude that if $`y_0`$ in (3.17) is big enough, then system (3.14) has only a trivial solution, i.e. system (2.18) is uniquely soluble. $`\mathrm{}`$

In what follows we use the notation

$$\underset{U(n)}{}\mathrm{}dU=\mathrm{}$$
(3.19)
Proof of Theorem 3.1. Because of unitary invariance of eigenvalues of a Hermitian matrices we can assume without loss of generality that the unitary matrix $`V`$ in (2.1) is set to unity, i.e. we can work with the random matrix (2.16). We will omit below the subindex $`n`$ in all cases when it will not lead to confusion. Write the resolvent identity (3.8) for the pair $`(H_1,H)`$ of (2.1):

$$G(z)=G_1(z)G_1(z)H_2G(z),$$
(3.20)
where

$$G(z)=(H_1+H_2z)^1,G_1(z)=(H_1z)^1.$$

Consider the matrix $`g_n(z)G(z),`$ where

$$g_n(z)=\frac{1}{n}\mathrm{Tr}G(z)=\frac{N_n(\mathrm{d}\lambda )}{\lambda z},\mathrm{Im}z0$$
(3.21)
is the Stieltjes transform of random measure (2.2). The resolvent identity (3.20) leads to the relation

$$g_n(z)G(z)=g_n(z)G_1(z)G_1(z)g_n(z)H_2G(z).$$
(3.22)
By using Proposition 3.2 with the matrix element $`\left((H_1+Mz)^1\right)_{ac}`$ as $`\mathrm{\Phi }(M)`$ we have in view of (3.9) and (3.11) - (3.12)

$$(G[X,H_2]G)_{ac}=0.$$

Choosing the Hermitian matrix $`X`$ with only $`(a,b)`$-th and $`(b,a)`$ non-zero entries, we obtain

$$G_{aa}(H_2G)_{bc}=(GH_2)_{aa}G_{bc}.$$
(3.23)
Applying to this relation the operation $`n^1\underset{a=1}{\overset{n}{}}`$ and taking into account the definition (3.21) of $`g_n(z)`$ we rewrite the last relation in the form

$$g_n(z)H_2G(z)=\delta _{2,n}(z)G(z),$$

where

$$\delta _{2,n}(z)=\frac{1}{n}\mathrm{Tr}H_2G(z).$$
(3.24)
Thus we can rewrite (3.22) as

$$g_n(z)G(z)=g_n(z)G_1(z)G_1(z)\delta _{2,n}(z)G(z).$$
(3.25)
Introduce now the centralized quantities

$$g_n^{}(z)=g_n(z)f_n(z),\delta _{2,n}^{}(z)=\delta _{2,n}(z)\mathrm{\Delta }_{2,n}(z),$$
(3.26)
where

$$f_n(z)=g_n(z),\mathrm{\Delta }_{2,n}(z)=\delta _{2,n}(z).$$
(3.27)
With these notations (3.25) becomes

$$f_n(z)G(z)=f_n(z)G_1(z)\mathrm{\Delta }_{2,n}(z)G_1(z)G(z)+R_{1,n}(z),$$
(3.28)
where

$$R_{1,n}(z)=g_n^{}(z)G(z)G_1(z)\delta _{2,n}^{}(z)G(z).$$
(3.29)
Besides, since

$$\begin{array}{c}n^1\mathrm{Tr}H^2=n^1\mathrm{Tr}(H_1+H_2)^22n^1\mathrm{Tr}H_1^2+2n^1\mathrm{Tr}H_2^2=\hfill \\ =2\lambda ^2N_{1,n}(\mathrm{d}\lambda )+2\lambda ^2N_{2,n}(\mathrm{d}\lambda )4m_24m_4^{1/2},\hfill \end{array}$$
(3.30)
we have

$$\mu _2\underset{n}{sup}(n^1\mathrm{Tr}H^2)=\underset{n}{sup}\lambda ^2N_n(\mathrm{d}\lambda )4m_24m_4^{1/2}<\mathrm{}.$$
(3.31)
Thus

$$g_n(z)=\frac{N_n(\mathrm{d}\lambda )}{\lambda z}=\frac{1}{z}+\widehat{g}_n(z),$$

where

$$\widehat{g}_n(z)=\frac{\lambda N_n(\mathrm{d}\lambda )}{(\lambda z)z}.$$

In view of (3.31)

$$|z\widehat{g}_n(z)||\mathrm{Im}z|^1|\lambda |N_n(\mathrm{d}\lambda )|\mathrm{Im}z|^1m_4^{1/4},$$

i.e. the asymptotic relation

$$g_n^1(z)=z\left(1+O\left(\frac{1}{|\mathrm{Im}z|}\right)\right),\mathrm{Im}z\mathrm{}$$
(3.32)
holds uniformly in $`n`$. We have also the simple bound

$$|g_n(z)||\mathrm{Im}z|^1$$
(3.33)
following from (3.4) and (3.7) and, in addition, according to Proposition 3.1 and (3.24), the bounds

$$|\delta _{2,n}(z)|m_4^{1/4}|\mathrm{Im}z|^1,$$
(3.34)
$$z\delta _{2,n}(z)=n^1\mathrm{Tr}H_2zG(z)=n^1\mathrm{Tr}H_2(1+HG(z)).$$
(3.35)
Hence, in view of (3.31)

$$\begin{array}{c}|z\delta _{2,n}(z)|(n^1\mathrm{Tr}H_2^2)^{1/2}+(n^1\mathrm{Tr}H_2^2)^{1/2}(n^1\mathrm{Tr}H^2G(z)G^{}(z))^{1/2}\\ m_4^{1/4}+2m_4^{1/2}/y_0,\end{array}$$
(3.36)
i.e. $`z\delta _{2,n}(z)`$ is uniformly bounded in $`n`$.

As a result of above bounds we have for $`|\mathrm{Im}z|y_0`$ uniformly in $`n`$

$$\mathrm{\Delta }_{2,n}(z)f_n^1(z)G_1(z)=O\left(\frac{1}{y_0}\right),y_0\mathrm{}$$

i.e. the matrix $`1\mathrm{\Delta }_{2,n}(z)f_n^1(z)G_1(z)`$ is invertible uniformly in $`n`$ and there is $`y_0`$ independent of $`n`$ and such that for $`|\mathrm{Im}z|y_0`$

$$(1+\mathrm{\Delta }_{2,n}(z)f_n^1(z)G_1(z))^12.$$
(3.37)
Thus (3.28) is equivalent to

$$\begin{array}{c}G(z)=(1+\mathrm{\Delta }_{2,n}(z)f_n^1(z)G_1(z))^1G_1(z)+\\ (1+\mathrm{\Delta }_{2,n}(z)f_n^1(z)G_1(z))^1f_n^1(z)R_{1,n}(z)\end{array}$$

or to

$$G(z)=G_1\left(z\mathrm{\Delta }_{2,n}(z)f_n^1(z)\right)+(1+\mathrm{\Delta }_{2,n}(z)f_n^1(z)G_1(z))^1f_n^1(z)R_{1,n}(z).$$

Applying to this relation the operation $`n^1\mathrm{Tr}`$ we obtain

$$f_n(z)=f_{1,n}(z\mathrm{\Delta }_{2,n}(z)f_n^1(z))+r_{1,n}(z),$$
(3.38)
where

$$f_{1,n}(z)=n^1\mathrm{Tr}G_1(z)=\frac{N_{1,n}(\mathrm{d}\lambda )}{\lambda z}$$
(3.39)
is the Stieltjes transform of the normalized counting measure of $`H_{1,n}`$ in (2.1) and

$$r_{1,n}(z)=n^1\mathrm{Tr}(1+\mathrm{\Delta }_{2,n}(z)f_n^1(z)G_1(z))^1f_n^1(z)R_{1,n}(z),$$
(3.40)
where $`R_{1,n}(z)`$ is defined in (3.29). We show in the next Theorem 3.2 that there exists a sufficiently big $`y_0>0`$ and $`C(y_0)>0`$, both independent of $`n`$ and such that if $`zE(y_0),`$ where $`E(y_0)`$ is defined in (3.17), then the variances

$$v_1(z)=|g_n^{}(z)|^2,v_2(z)=|\delta _{2,n}^{}(z)|^2$$
(3.41)
admit the bounds

$$v_1(z)\frac{C(y_0)}{n^2},v_2(z)\frac{C(y_0)}{n^2}.$$
(3.42)
These bounds, Proposition 3.1, (3.37), and Schwartz inequality for the expectation $`\mathrm{}`$ imply that uniformly in $`n`$ and in $`zE(y_0)`$

$$|r_{1,n}(z)|\frac{2C^{1/2}(y_0)}{n}(1+y_0^1)|f_n^2(z)n^1\mathrm{Tr}G(z)G^{}(z)|^2^{1/2}.$$

In view of (3.27), (3.32) and the identity $`zG(z)=1+HG(z)`$ we have

$$f_n^1(z)G(z)=z(1+O(y_0^1))G(z)=(1+O(y_0^1))(1HG(z)),$$

and since, by (3.3), (3.4) and (3.30)

$$\begin{array}{c}|n^1\mathrm{Tr}HG(z)|y_0^1n^1\mathrm{Tr}H^2\\ 2m_4^{1/4}y_0^1,|n^1\mathrm{Tr}H^2G(z)G^{}(z)|4m_4^{1/2}y_0^2,\end{array}$$

we obtain that for $`zE(y_0)`$

$$|r_{1,n}(z)|\frac{C_1(y_0)}{n},$$
(3.43)
where $`C_1(y_0)`$ is independent of $`n`$ and is bounded in $`y_0`$.

Furthemore, the bounds (3.33) and (3.34) imply that sequences $`\{f_n(z)\}`$ and $`\{\mathrm{\Delta }_{2,n}(z)\}`$ are analytic and uniformly in $`n`$ bounded for $`|\mathrm{Im}z|y_0>0`$. Thus the sequences are compact with respect to uniform convergence on compacts of the domain

$$D(y_0)=\{z:|\mathrm{Im}z|y_0>0\}.$$
(3.44)
In addition, according to the hypothesis of the theorem, the normalized counting measures $`N_{1,n}`$ of matrices $`H_{1,n}`$ converge weakly to a limiting probability measure $`N_1`$ Thus, their Stieltjes transforms (3.39) converge uniformly on compacts of (3.44) to the Stieltjes transform $`f_1`$ of $`N_1`$. Hence, if $`y_0>0`$ is large enough, there exist two analytic in (3.44) functions $`f`$ and $`\mathrm{\Delta }_2`$ verifying the relation

$$f(z)=f_1\left(z\frac{\mathrm{\Delta }_2(z)}{f(z)}\right),|\mathrm{Im}z|y_0.$$

This is the first equation of system (2.18). The second equation of the system follows from the argument above in which the roles $`H_1`$ and $`H_2`$ are interchanged, in particular the quantity $`n^1\mathrm{Tr}H_1G(z)`$ is denoted $`\mathrm{\Delta }_{1,n}(z)`$. As for the third equation, it is just the limiting form of the identity

$$n^1\mathrm{Tr}(H_{1,n}+H_{2,n}z)G(z)=1.$$
(3.45)
Thus, we have derived system (2.18). Its unique solubility in domain (3.17) where $`y_0`$ is large enough is proved in Proposition 3.3. Besides, all three functions $`f_n`$, $`\mathrm{\Delta }_{r,n},r=1,2`$ defined in (3.27) are a priory analytic for $`|\mathrm{Im}z|>0`$. Thus, their limits $`f,\mathrm{\Delta }_r,r=1,2`$ are also analytic for non-real $`z`$. In view of the weak compactness of probability measures and the continuity of the one-to-one correspondence between nonnegative measures and their Stieltjes transforms (see Proposition 2.1(v)) there exists a unique nonnegative measure $`N`$ such that $`f`$ admit the representation (2.4). The measure $`N`$ is a probability measure in view of (3.32) and.(2.14).

We conclude that the whole sequence $`\{f_n\}`$ of expectations (3.27) of the Stieltjes transforms $`g_n`$ (3.21) of measures (2.2) converges uniformly on compacts of $`D(y_0),`$ where $`D(y_0)`$ is defined in (3.44), to the limiting function $`f`$ verifying (2.18). This result, Theorem 3.2 and the Borel-Cantelli lemma imply that the sequence $`\{g_n(z)\}`$ converges with probability 1 to $`f(z)`$ for any fixed $`zD(y_0).`$ Since the convergence of a sequence of analytic functions on any countable set having an accumulation point in their common domain of definition implies the uniform convergence of the sequence on any compact of the domain, we obtain the convergence $`g_n`$ to $`f`$ with probability 1 on any compact of $`D(y_0)`$. Due to the continuity of the one-to-one correspondence between probability measures and their Stieltjes transforms (see Proposition 2.1(v)) the normalized eigenvalue counting measure (2.2) of the eigenvalues of random matrix (2.1) converge weakly with probability 1 to the nonrandom measure $`N`$ whose Stieltjes transform (2.4) satisfies (2.18).$`\mathrm{}`$

###### Theorem 3.2

Let $`H_n`$ be the random matrix of the form (2.1) satisfying the condition of Theorem 3.1. Denote

$$g_n(z)=n^1\mathrm{Tr}(H_nz)^1,\delta _{r,n}(z)=n^1\mathrm{Tr}H_{r,n}(H_nz)^1,r=1,2.$$
(3.46)
Then there exist $`y_0`$ and $`C(y_0)`$, both positive and independent of $`n`$ and such that the variances of random variables (3.46) admit the bounds for $`|\mathrm{Im}z|y_0`$

$$|g_n(z)g_n(z)|^2\frac{C(y_0)}{n^2}$$
(3.47)
$$|\delta _{r,n}(z)\delta _{r,n}(z)|^2\frac{C(y_0)}{n^2},r=1,2,.$$
(3.48)
if $`zE(y_0)`$, where $`E(y_0)`$ is defined in (3.17).

Proof. Because of the symmetry of the problem with respect to $`H_1`$ and $`H_2`$ in (2.1) it suffices to prove (3.48) for, say, $`\delta _{2,n}(z)`$. Besides, we will use bellow the notations $`g(z)`$ and $`\delta (z)`$ for $`g_n(z)`$ and $`\delta _{2,n}(z)`$ and the notations 1 and 2 for two values $`z_1`$ and $`z_2`$ of the complex spectral parameter $`z`$. We assume that $`|\mathrm{Im}z_{1,2}|y_0>0`$.

We will use the same approach as in the proof of Theorem 3.1, i.e. we will derive and study certain relations obtained by using Proposition 3.2 and the resolvent identity.

Consider the matrix

$$V_1=g^{}(1)G(2),$$
(3.49)
where $`g^{}(1)=g(1)g(1)`$. Its clear that $`n^1\mathrm{Tr}V_1`$ for $`z_1=z`$ and $`z_2=\overline{z}`$ is the variance (3.47), that we denoted $`v_1(z)`$ in (3.41):

$$|g^{}(z)|^2=n^1\mathrm{Tr}V_1|_{z_1=z,z_2=\overline{z}}=v_1(z).$$
(3.50)
In view of the resolvent identity (3.20) for the pair $`(H_1,H)`$ we have

$$V_1=G_1(2)W,$$
(3.51)
$$W=g^{}(1)H_2G(2).$$
(3.52)
Applying Proposition 3.2 to the function

$$\mathrm{\Phi }(M)=G_{aa}^{}(1)(MG(2))_{cd},$$

where $`G(z)=(H_1+Mz)^1`$, and

$`G^{}(z)`$ $`=`$ $`G(z)G(z)=`$
$`(H_1+Mz)^1{\displaystyle _{U(n)}}(H_1+U^{}BUz)^1𝑑U,`$
we obtain the relation

$$\begin{array}{c}(G(1)[X,H_2]G(1))_{aa}(H_2G(2))_{cd}+G_{aa}^{}(1)([X,H_2]G(2))_{cd}\\ G_{aa}^{}(1)(H_2G(2)[X,H_2]G(2))_{cd}=0,\end{array}$$

where the operation $`[\mathrm{},\mathrm{}]`$ is defined in (3.12). Choosing as $`X`$ the Hermitian matrix having only the $`(c,j)`$-th and $`(j,c)`$ non-zero entries, we obtain from the above relation the following one:

$$G_{ac}(1)(H_2G(1))_{ja}(H_2G(2))_{cd}+(G(1)H_2)_{ac}G_{ja}(1)(H_2G(2))_{cd}+$$

$$+G_{aa}^{}(1)\delta _{cc}(H_2G(2))_{jd}G_{aa}^{}(1)(H_2)_{cc}G_{jd}(2)$$

$$G_{aa}^{}(1)(H_2G(2))_{cc}(H_2G(2))_{jd}+G_{aa}^{}(1)(H_2G(2)H_2)_{cc}G_{jd}(2)=0$$

Applying to this relation the operation $`n^1\underset{ac}{}`$ and taking into account that

$$g^{}=n^1\underset{a}{}G_{aa}^{},$$

we have

$$\begin{array}{c}n^2[G^2(1),H_2]H_2G(2)+g^{}(1)H_2G(2)+\\ +g^{}(1)k(2)G(2)g^{}(1)\delta (2)H_2G(2)=0,\end{array}$$
(3.53)
where

$$k(z)=n^1\mathrm{Tr}K(z),K(z)=BG_U(z)BB,G_U(z)=UG(z)U^{}.$$
(3.54)
Introducing the centralized quantity (cf.(3.26))

$$k^{}=kk,$$
(3.55)
and using our notations (3.24) and (3.27), we can rewrite (3.53) as

$$(1\mathrm{\Delta }(2))W=k(2)V_1+R,$$
(3.56)
where

$$R=g^{}(1)\delta ^{}(2)H_2G(2)g^{}(1)k^{}(2)G(2)T_1,$$
(3.57)
and

$$T_1=n^2[G^2(1),H_2]H_2G(2).$$

In view of the uniform in $`n`$ bound (3.36)), the function $`1\mathrm{\Delta }(z)`$ is uniformly in $`n`$ bounded away from zero. Thus we have from (3.51), (3.52) and (3.56)

$$V_1=\left(1k(2)(1\mathrm{\Delta }(2))^1G_1(2)\right)^1(1\mathrm{\Delta }(2))^1G_1(2)R.$$
(3.58)
According to (3.54), (3.6) and (3.1), we have uniformly in $`n`$

$$|k(z)|y_0^1n^1\mathrm{Tr}B^2+|n^1\mathrm{Tr}B|y_0^1m_4^{1/2}+m_4^{1/4}<\mathrm{}.$$
(3.59)
This bound and universal bound (3.6) imply that the matrix $`(1k(z)(1\mathrm{\Delta }(z))^1G_1(z))`$ is uniformly in $`n`$ invertible if $`|\mathrm{Im}z|y_0`$ and $`y_0`$ is large enough, and hence the matrix

$$Q=\left(1k(z)(1\mathrm{\Delta }(z))^1G_1(z)\right)^1(1\mathrm{\Delta }(z))^1G_1(z)$$

admits the following bound for $`|\mathrm{Im}z|y_0`$ and sufficiently large $`y_0`$

$$Q\frac{C}{y_0},$$
(3.60)
where $`C`$ is an absolute constant.

Setting now in (3.58) $`z_1=z`$, $`z_2=\overline{z}`$ and applying to this relation the operation $`n^1\mathrm{Tr}`$ we obtain in the l.h.s. the variance $`v_1(z)`$ because of (3.50). As for the r.h.s., its terms can be estimated as follows in view of (3.57):

1. $$|g^{}(1)\delta ^{}(2)n^1\mathrm{Tr}QH_2G(2)|\alpha _{12}(y_0)v_1^{1/2}v_2^{1/2},$$
(3.61)
where $`v_2`$ is defined in (3.41) and because, according to (3.1), (3.3), (3.6) and (3.60),

$$\begin{array}{c}|n^1\mathrm{Tr}QH_2G(2)|(n^1\mathrm{Tr}Q^{}Q)^{1/2}(n^1\mathrm{Tr}H_2^2G(2)G^{}(2))^{1/2}\\ Cy_0^2m_4^{1/4}\alpha _{12}(y);\end{array}$$
(3.62)
2. $$|g^{}(1)k^{}(2)n^1\mathrm{Tr}QG(2)|\alpha _{13}(y_0)v_1^{1/2}v_3^{1/2},$$
(3.63)
where

$$v_3=|k^{}(z)|^2$$
(3.64)
because

$$\begin{array}{c}|n^1\mathrm{Tr}QG(2)|(n^1\mathrm{Tr}Q^{}Q)^{1/2}(n^1\mathrm{Tr}G(2)G^{}(2))^{1/2}\\ Cy_0^2\alpha _{13}(y_0);\end{array}$$
(3.65)
3. $$|n^3\mathrm{Tr}(Q[G^2(1),H_2]H_2G(2))|Cm_4^{1/2}y_0^4n^2\frac{\beta _1(y_0)}{n^2}.$$

Thus we obtain the inequality

$$v_1\alpha _{12}(y_0)v_1^{1/2}v_2^{1/2}+\alpha _{13}(y_0)v_1^{1/2}v_3^{1/2}+\frac{\beta _1(y_0)}{n^2},$$
(3.66)
where $`\alpha _{12}`$, $`\alpha _{13}`$ and $`\beta _1`$ are independent on $`n`$ and vanish as $`y_0\mathrm{}`$.

Now we are going to derive analogous inequalities for $`v_2`$ and $`v_3`$ defined in (3.41) and in (3.64) and to obtain the system

$$v_i\underset{j=1,ji}{\overset{3}{}}\alpha _{ij}v_i^{1/2}v_j^{1/2}+\frac{\beta _i(y_0)}{n^2},i=1,2,3.$$
(3.67)
To get the second inequality of the system we consider the matrix (cf. (3.49))

$$V_2=\delta ^{}(1)H_2G(2).$$
(3.68)
Applying to $`V_2`$ operation $`n^1\mathrm{Tr}`$ and setting $`z_1=z`$, $`z_2=\overline{z,}`$ we obtain the variance $`v_2`$ of (3.42). On the other hand, using Proposition 3.2 for the function

$$\mathrm{\Phi }(M)=(MG(1))_{aa}^{}(MG(2))_{cd},$$

we obtain, after performing in essence the same procedure as that used in the derivation of (3.53), in particular, choosing the Hermitian matrix $`X`$ with only the $`(c,j)`$-th and $`(j,c)`$ non-zero entries,

$$v_2=g(2)\delta ^{}(1)k(2)+\delta ^{}(1)\delta ^2(2)T_2,$$
(3.69)
where

$$T_2=n^3\mathrm{Tr}([G_U(1),K(1)]BG(2))$$
(3.70)
and $`K(z)`$, $`k(z)`$ are defined in (3.54). Using again centralized quantities (3.26) and (3.55), we can write

$$g(2)\delta ^{}(1)k(2)=g^{}(2)\delta ^{}(1)k(2)+g(2)\delta ^{}(1)k^{}(2)$$

and

$$\delta ^{}(1)\delta ^2(2)=\delta ^{}(1)\delta ^{}(2)\delta (2)+\delta ^{}(1)\delta ^{}(2)\delta (2).$$

Thus, in view of (3.33), (3.34), (3.59), and Schwarz inequality we have the bounds

$$g(2)\delta ^{}(1)k(2)v_1^{1/2}v_2^{1/2}m_4^{1/4}(1+m_4^{1/4}y_0^1)+v_2^{1/2}v_3^{1/2}y_0^1,$$

and

$$\delta ^{}(1)\delta ^2(2)2v_2m_4^{1/4}y_0^1.$$

These bounds and analogously obtained bound for $`T_2`$ in (3.70) lead for $`m_4^{1/4}y_0^11/4`$ to the second inequality (3.67), in which

$$\alpha _{21}(y_0)=4m_4^{1/4},\alpha _{23}(y_0)=2y_0^1,\beta _2=8m_4^{1/4}y_0^2.$$
(3.71)
To obtain the third inequality of (3.67) we may use the same scheme as above applied to the matrix $`V_3=k^{}(1)K(2)`$ (cf. (3.49) and (3.68)). However this requires rather tedious computations and the existence of the uniformly bounded in $`n`$ sixth moment $`m_6`$ of the measure $`N_{2,n}`$. For this reason we consider the quantity

$$n^1\mathrm{Tr}(BG_U(1)B)^{}G_U(2)B,$$
(3.72)
where $`G_U(z)`$ is defined in (3.54). As before we would like to obtain for this quantity a certain relation, basing on the invariance of the Haar measure with respect to the group shifts. To this end we will introduce the following function of the unitary matrix $`U`$:

$$(BUG(1)U^{}B)_{aa}^{}(UG(2)U^{}B)_{cd},$$

where $`G(z)=(H_1+U^{}BUz)^1`$ and we will use the analogue of (3.11) obtained from the left shift invariance of the Haar measure. This leads to the relation (cf. (3.53) and (3.69))

$$k^{}(1)g(2)K(2)+k^{}(1)\delta (2)G_U(2)Bk^{}(1)G_U(2)BT_3=0,$$
(3.73)
where

$$T_3=n^2G_U(1)BK(1)G_U(2)BK(1)BG_U(1)G_U(2)B.$$

We multiply (3.73) by $`B`$ from the left and introduce again the centralized quantities $`g^{}`$, $`\delta ^{}`$ and $`k^{}`$ defined in (3.26) and (3.55). We obtain

$$\begin{array}{c}(1\mathrm{\Delta }(2)f(2)B)k^{}(1)K(2)=k^{}(1)g^{}(2)BK(2)+\\ +k^{}(1)\delta ^{}(2)BG_U(2)B+BT_3.\end{array}$$

In view of (3.32) and (3.36) the imaginary part of the function $`1\mathrm{\Delta }(z)`$ is uniformly in $`n`$ bounded away from zero if $`|\mathrm{Im}z|`$ is large enough. Since $`B`$ is a Hermitian matrix, the matrix

$$S=(1\mathrm{\Delta }(2)f(2)B)^1$$
(3.74)
admits the bound

$$S=|f(2)|^1((1\mathrm{\Delta }(2))f^1(2)B)^1|f(2)|^1\left|\mathrm{Im}\frac{1\mathrm{\Delta }(2)}{f(2)}\right|^1.$$

By using (3.28) and (3.34) we find that for $`zE(y_0)`$, where $`E(y_0)`$ is defined in (3.17) with sufficiently big $`y_0`$, we have the uniform in $`n`$ inequality $`|f(2)\mathrm{Im}(1\mathrm{\Delta }(2))f^1(2)|1/2,`$ i.e.

$$S2.$$
(3.75)
This leads to the relation

$$\begin{array}{c}V_3k^{}(1)K(2)=k^{}(1)g^{}(2)SBK(2)+\\ +k^{}(1)\delta ^{}(2)SBG_U(2)B+SBT_3.\end{array}$$
(3.76)
We apply to this relation the operation $`n^1\mathrm{Tr}`$, set $`z_1=z`$, $`z_2=\overline{z}`$ and estimate the contribution of the two first terms of the r.h.s. as (3.76) as above, using in addition (3.75). We obtain

$$\begin{array}{c}|n^1\mathrm{Tr}SBK(2)|4m_4^{1/2}\alpha _{31}(y_0),\hfill \\ |n^1\mathrm{Tr}SBG_U(2)B|4m_4^{1/2}y_0^1\alpha _{32}(y_0).\hfill \end{array}$$
(3.77)
To estimate the third term of the r.h.s. of (3.76) we use the identity

$$SB=f^1(2)+(1\mathrm{\Delta }(2))f^1(2)S,$$

the asymptotic relations (3.32) and (3.34) and the bound (3.75). This yields the bound $`SB4y_0`$. By using this bound and the same reasoning as in obtaining other bounds above, we obtain

$$|n^1\mathrm{Tr}SBT_3|\frac{Cm_4}{y_0^2n^2}\frac{\beta _3}{n^2},$$

where $`C`$ is an absolute constant.

Let us introduce new variables

$$u_1=y_0v_1^{1/2},u_2=v_2^{1/2},u_3=v_3^{1/2}$$
(3.78)
Then we obtain from (3.67) and (3.62), (3.65), (3.71), and (3.77) the system

$$u_i^2\underset{j=1,ji}{\overset{3}{}}a_{ij}u_iu_j+\frac{\gamma _i}{n^2},$$
(3.79)
in which the coefficients $`\{a_{ij},ij\}`$ have the form $`a_{ij}=y_0^1b_{ij},`$ where $`b_{ij}`$ are bounded in $`y_0`$ and in $`n`$ as $`y_0\mathrm{}`$ and $`n\mathrm{}`$. By choosing $`y_0`$ sufficiently big (and then fixing it) we can guarantees that $`0a_{ij}1/4,ij`$. Thus summing the three relations (3.79) we can write the result in the form $`(\widehat{a}u,u)\gamma /n^2`$ where $`\gamma =\gamma _1+\gamma _2+\gamma _3`$ and ($`\widehat{a})_{ij}=\delta _{ij}+(1\delta _{ij})/4,i,j=1,2,3.`$ Since the minimum eigenvalue of the matrix $`\widehat{a}`$ is $`1/2,`$ we obtain from (3.78)bounds (3.47) and (3.48).$`\mathrm{}`$

## 4 Convergence in Probability

In this Section we prove Theorem 2.1. Since, according to Theorem 3.2 the randomness of $`U_n`$ in (2.1) (or (2.16)) provides already vanishing the variance of the Stieltjes transform of the NCM (2.2), we have only to prove that the additional randomness due to the matrices $`A_n`$ and $`B_n`$ in (2.1) does not destroy this property. We will prove this fact first for $`A_n`$ and $`B_n`$ whose norms are uniformly bounded in $`n`$ (see Lemma 4.1 below ), and then we will treat the general case of Theorem 2.1 by using a certain truncating procedure.

###### Proposition 4.1

Let $`\{m_n\}`$ be a sequence of random non-negative unit measures on the line and $`\{s_n\}`$ be the sequence of their Stieltjes transforms (2.11). Then the sequence $`\{m_n\}`$ converges weakly in probability to a nonrandom non-negative unit measure $`m`$ if and only if the sequence $`\{s_n\}`$ converges in probability for any fixed $`z`$ belonging to a compact $`K\{zC:\mathrm{Im}z>0\}`$ to the Stieltjes transform $`f`$ of the measure $`m`$.

Proof. Let us prove first the necessity. According to the hypothesis for any continuous and having a compact support function $`\phi (\lambda )`$ we have

$$\underset{n\mathrm{}}{lim}𝐏\left\{\left|\phi (\lambda )m(d\lambda )\phi (\lambda )m_n(d\lambda )\right|>\epsilon \right\}=0.$$
(4.1)
Let $`\chi (\lambda )`$ be a continuous function that is equal to 1 if $`|\lambda |<A`$ and is equal to $`0`$ if $`|\lambda |>A+1`$ for some $`A>0.`$ Then

$$|s(z)s_n(z)|\left|\frac{\chi (\lambda )m(d\lambda )}{\lambda z}\frac{\chi (\lambda )m_n(d\lambda )}{\lambda z}\right|+\frac{2}{\mathrm{min}\{\mathrm{dist}\{z,\pm A\}\}}.$$

According to (4.1) the first term in the r.h.s. of this inequality converges in probability to zero. Since $`A`$ is arbitrary, we obtain the required assertion.

To prove sufficiency we assume that for any $`zK`$

$$\underset{n\mathrm{}}{lim}𝐏\{|s(z)s_n(z)|>\epsilon \}=0.$$
(4.2)
This relation and the inequality (cf. (2.12))

$$|s_n(z)|\underset{zK}{\mathrm{max}}|\mathrm{Im}z|^1y_0^1<\mathrm{}$$
(4.3)
imply that

$$\underset{n\mathrm{}}{lim}𝐄\{|s(z)s_n(z)|\}=0,$$
(4.4)
i.e. the sequence $`\{s_n(z)\}`$ converges to zero in mean. We have also the inequality

$$|s_n^{^{}}(z)|y_0^2<\mathrm{}.$$
(4.5)
Inequalities (4.3) and (4.5) imply that the sequence $`\{s_n\}_{n=1}^{\mathrm{}}`$ of random analytic functions is uniformly bounded and equicontinuous. Thus, for any $`\eta >0`$ we can construct in $`K`$ a finite $`\eta `$-network, i.e. a set $`\{z_l\}_{l=1}^{p(\eta )}`$ such that for any $`zK`$ there exists $`z_l`$ satisfying the inequality $`|zz_l|\eta `$. Then we have for $`\varphi _n(z)s_n(z)s(z)`$, $`S_l=\{z:|zz_l|\eta \}`$, and $`\eta =y_0^2\epsilon /2,`$ where $`\epsilon `$ is arbitrary

$$\underset{K}{sup}|\varphi _n(z)|=\underset{l=1\mathrm{}p(\eta )}{\mathrm{max}}\underset{zKS_l}{sup}|\varphi _n(z)|\epsilon +\underset{l=1}{\overset{p(\eta )}{}}|\varphi _n(z_l)|,$$

and hence

$$𝐄\{\underset{K}{sup}|\varphi _n(z)|\}\epsilon +\underset{l=1}{\overset{p(\eta )}{}}𝐄\{|\varphi _n(z_l)|\}.$$

This inequality and (4.4) imply that

$$\underset{n\mathrm{}}{lim}𝐄\{\underset{zK}{sup}|s(z)s_n(z)|\}=0.$$
(4.6)
Assume now that the statement is false, i.e. the sequence $`\{m_n\}`$ does not converges weakly in probability to $`m`$. It means that there exists a continuous function $`\phi `$ of a compact support, a subsequence $`\{n_k\}`$ and some $`\epsilon >0`$ such that

$$\underset{n_k\mathrm{}}{lim}𝐏\left\{\left|\phi (\lambda )m(d\lambda )\phi (\lambda )m_{n_k}(d\lambda )\right|\epsilon \right\}=\xi >0.$$
(4.7)
On the other hand, we have from (4.6) and the Tchebyshev inequality that for any $`r`$ there exists an integer $`n(r)`$ such that for $`nn(r)`$

$$𝐏\left\{\underset{zK}{sup}|\varphi _n(z)|r^1\right\}1\xi /2.$$
(4.8)
Hence, one can select from the sequence $`\{n_k\}`$ a subsequence $`\{n_k^{}\}`$ such that inequalities (4.7) and (4.8) are both satisfied. Denote by $`𝒜`$ and by $``$ the events whose probabilities are written in the l.h.s. of (4.7) and (4.8). Then $`𝐏\{𝒜\}`$ $`𝐏\{𝒜\}+`$ $`𝐏\{\}1\xi /2`$. Hence, for any $`n_k^{}`$ there exists a realization $`\omega _{n_k^{}}`$ belonging to the both sets $`𝒜`$ and $``$, i.e. for which the both inequalities

$$\left|\phi (\lambda )m(d\lambda )\phi (\lambda )m_{n_k^{}}(d\lambda )\right|\epsilon ,\underset{zK}{sup}|\varphi _{n_k^{}}(z)|r^1$$
(4.9)
are valid. In view of the compactness of the family of the random analytic functions $`\{s_n\}`$ with respect to the uniform in $`K`$ convergence and the weak compactness of the family of random measure $`\{m_n\}`$ there exists a subsequence $`\{n_k^{^{\prime \prime }}\}`$ of $`\{n_k^{^{}}\}`$ and a subsequence of realizations $`\{\omega _{n_k^{\prime \prime }}\}`$ such that the subsequence $`\{m_{n_k^{\prime \prime }}\}`$ corresponding to these realizations converges weakly to a certain measure $`\stackrel{~}{m}`$ and we have in view of (4.7)

$$\left|\phi (\lambda )m(d\lambda )\phi (\lambda )\stackrel{~}{m}(d\lambda )\right|\epsilon >0.$$
(4.10)
On the other hand, in view of (4.9) and the continuity of the correspondence between measures and their Stieltjes transforms (see Proposition 2.1(v)), the subsequence $`\{s_{n_k^{\prime \prime }}\}`$ converges uniformly on $`K`$ to $`s(z)`$, the Stieltjes transform of the measure $`m`$. This is incompatible with (4.10), because of the one-to-one correspondence between measures and their Stieltjes transforms. $`\mathrm{}`$

###### Remark 1

Since the Stieltjes transforms of non-negative and normalized to unity measures are analytic and bounded for non-real $`z`$, we can replace the requirement of their convergence for any $`z`$ belonging to a certain compact of $`_\pm `$ by the convergence for any $`z`$ belonging to any interval of the imaginary axis, i.e. for $`z=iy,`$ $`y[y_1,y_2],`$ $`y_1>0.`$

###### Remark 2

The arguments, used in the proof of the proposition prove also that if $`\{m_n\}`$ is a sequence of random non-negative measures converging weakly in probability to a nonrandom non-negative measure $`m`$, then the Stieltjes transforms $`s_n`$ of $`m_n`$ and the Stieltjes transform $`s`$ of $`m`$ are related as follows

$$\underset{n\mathrm{}}{lim}𝐄\{\underset{zK}{sup}|s_n(z)s(z)|\}=0$$
(4.11)
for any compact $`K`$ of $`_\pm `$.

###### Lemma 4.1

Let $`H_n`$ be the random $`n\times n`$ matrix of the form (2.1) in which $`A_n`$ and $`B_n`$ are random Hermitian matrices, $`U_n`$ and $`V_n`$ are random unitary matrices distributed each according to the normalized to unity Haar measure on $`𝐔(n)`$ and $`A_n`$, $`B_n`$, $`U_n`$ and $`V_n`$ are mutually independent. Assume that the normalized counting measures $`N_{r,n},r=1,2`$ of matrices $`A_n`$ and $`B_n`$ converge in probability as $`n\mathrm{}`$ to non-random non-negative unit measures $`N_r,r=1,2`$ respectively and that

$$\underset{n}{sup}A_nT<\mathrm{},\underset{n}{sup}B_nT<\mathrm{}.$$
(4.12)
Then the normalized counting measure of $`H_n`$ converges in probability to a non-random unity measure $`N`$ whose Stieltjes transform $`f(z)`$ is a unique solution of system (2.18) in the class of functions $`f(z)`$, $`\mathrm{\Delta }_r(z),r=1,2`$ analytic for $`\mathrm{Im}z0`$ and satisfying conditions (2.12) - (2.14) and (2.19)

Proof. In view of Proposition 4.1 it suffices to show that $`lim_n\mathrm{}𝐄\{|g_n(z)f(z)|\}=0`$ for any $`z`$ belonging to a certain compact of $`_\pm `$. Moreover, according to Remark 1 after Proposition 4.1, we can restrict ourselves to a certain interval of the imaginary axis, i.e. to

$$z=iy,y[y_1,y_2],0<y_1<y_2<\mathrm{}.$$
(4.13)
Since the condition (4.12) of the lemma implies evidently the condition (3.1) of Theorem 3.1 and Theorem 3.2, all the results obtained in these theorems are valid in our case for any fixed realization of random matrices $`A_n`$ and $`B_n`$. In addition, all $`n`$-independent estimating quantities entering various bounds in the proofs of these theorems and depending on the forth moment $`m_4`$ in (3.1) and on $`y_0`$ will depend now on $`T`$ and on $`y_1`$ and $`y_2`$ in (4.13), but not on particular realizations of random matrices $`A_n`$ and $`B_n.`$ We will denote below all these quantities simply by the unique symbol $`C`$ that may have different value in different formulas.

In particular, denoting as above by $`\mathrm{}`$ the expectation with respect to the Haar measure and using (3.42), we can write that

$$𝐄\{|g_n(z)g_n(z)|\}𝐄\{|v_1^{1/2}(z)|\}\frac{C}{n}.$$

Thus, it suffices to show that

$$\underset{n\mathrm{}}{lim}𝐄\{|g_n(z)f(z)|\}=0,z=iy,y[y_1,y_2],$$
(4.14)
where $`y_1`$ is big enough. Introduce the quantities

$$\gamma _n(y)=iy(g_n(iy)f(iy)),\gamma _{r,n}(y)=\delta _{r,n}(iy)\mathrm{\Delta }_r(iy),r=1,2.$$
(4.15)
By using the second equation of system (2.18) we can write the identity

$$\gamma _n(y)=iy[f_2(iyt_{1,n}(y))f_2(iyt_1(y))]+\epsilon _{1,n}(y),$$
(4.16)
where

$$\epsilon _{1,n}(y)=iy[g_n(iy)f_2(iyt_{1,n}(y))],$$
(4.17)
$$t_{1,n}(y)=\frac{\delta _{1,n}(iy)}{g_n(iy)},t_1(y)=\frac{\mathrm{\Delta }_1(iy)}{f(iy)}.$$
(4.18)
We have

$$\begin{array}{c}𝐄\{|\epsilon _{1,n}(y)|\}y_2𝐄\{|g_n(iy)g_{2,n}(iyt_{1,n}(y))|\}+\\ 𝐄\{|g_{2,n}(iyt_{1,n}(y))f_2(iyt_{1,n}(y))|\}.\end{array}$$
(4.19)
The analogues of (3.38) - (3.39) in our case are:

$$g_n(z)=g_{2,n}(z\delta _{1,n}(z)g_n(z)^1)+\widehat{r}_{1,n}(z),$$
(4.20)
where

$$g_{2,n}(z)=n^1\mathrm{Tr}G_2(z)=\frac{N_{2,n}(\mathrm{d}\lambda )}{\lambda z},$$

is the Stieltjes transform of random NCM $`N_{2,n}`$ of $`H_{2,n}`$,

$$\begin{array}{c}\widehat{r}_{1,n}(z)=g_n^{}(z)n^1\mathrm{Tr}P^1g_n(z)^1G(z)\\ \delta _{1,n}^{}(z)n^1\mathrm{Tr}P^1g_n(z)^1G_2(z)G(z),\end{array}$$

the symbol $`\mathrm{}`$ denotes the expectation with respect the Haar measure on $`U(n),`$ $`P=1G_2(z)t_{1,n}(z),`$ and

$$g_n^{}(z)=g_n(z)g_n(z),\delta _{1,n}^{}(z)=\delta _{1,n}(z)\delta _{1,n}(z)$$
(4.21)
are the respective random variables centralized by the partial expectations with respect to the Haar measure. In addition, we have the analogue of (3.43)

$$\left|\widehat{r}_{1,n}(z)\right|\frac{C}{n}.$$

This leads to the following bound for the first term in the r.h.s. of (4.19):

$$𝐄\{|g_n(iy)g_{1,n}(iyt_{2,n}(y)|\}𝐄\{|\widehat{r}_{1,n}(iy)|\}\frac{C}{n}.$$

To show that the second term also vanishes as $`n\mathrm{}`$, we use the analogues of (3.32) and (3.36)

$$\left|g_{1,n}(iy)+\frac{1}{iy}\right|\frac{T}{y^2},|\delta _{2,n}(iy)|\frac{T}{y},$$

which imply that

$$|t_{1,n}(y)|2T,$$
(4.22)
if $`y_1`$ is big enough. Thus

$$𝐄\{|g_{2,n}(iyt_{1,n}(y))f_2(iyt_{1,n}(y))|\}\underset{|\zeta |T}{sup}𝐄\{|g_{2,n}(iy+\zeta )f_1(iy+\zeta )|\}.$$

The r.h.s of this inequality tends to zero as $`n\mathrm{}`$ in view of the hypothesis of Theorem 2.1 and Remark 2 after Proposition 4.1. Thus, there exist $`0<y_1<y_2<\mathrm{}`$ such that for all $`y[y_1,y_2],`$ $`lim_n\mathrm{}𝐄\{|\epsilon _{1,n}(y)|\}=0.`$ Analogous arguments show that $`lim_n\mathrm{}𝐄\{|\epsilon _{2,n}(y)|\}=0`$, where $`\epsilon _{2,n}(y)`$ is defined in (4.17) and in (4.18) where the indices 1 and 2 are interchanged. Thus we have

$$\underset{n\mathrm{}}{lim}𝐄\{|\epsilon _{r,n}(y)|\}=0,r=1,2.$$
(4.23)
Consider now the first term in the l.h.s. of (4.16). In view of (2.5) we can write this term in the form

$$[f_2(iyt_{1,n}(y))f_2(iyt_1(y))]=\frac{\delta _{1,n}}{fg_n}I_2\gamma _n+\frac{iy}{f}I_2\gamma _{1,n}=a_1\gamma _n+b_1\gamma _{1,n},$$
(4.24)
where $`I_{2,}a_1`$ and $`b_1`$ are defined by formulas (3.15) and (3.16), in which we have to replace $`\mathrm{\Delta }_1^{},`$ $`\mathrm{\Delta }_1^{^{\prime \prime }},`$ $`f^{}`$ and $`f^{\prime \prime }`$ by $`\mathrm{\Delta }_1,`$ $`\delta _{1,n},`$ $`f`$ and $`g_n`$ respectively. Denote by $`\mathrm{\Phi }=\{\mathrm{\Phi }_{ij}\}_{i,j=1}^3`$ the matrix defined by the l.h.s. of system (3.14) and by $`\mathrm{\Gamma }=\{\mathrm{\Gamma }_i\}_{i=1}^3`$ the vector with components $`\mathrm{\Gamma }_1=\gamma _n,`$ $`\mathrm{\Gamma }_2=\gamma _{1,n},`$ $`\mathrm{\Gamma }_3=\gamma _{2,n}.`$ Then we have from (4.16), (4.23) and (4.24)

$$𝐄\{|(\mathrm{\Phi }\mathrm{\Gamma })_1|\}𝐄\{|\epsilon _{1,n}|\}.$$
(4.25)
Interchanging in the above arguments indices $`1`$ and $`2`$ we obtain also that

$$𝐄\{|(\mathrm{\Phi }\mathrm{\Gamma })_2|\}𝐄\{|\epsilon _{2,n}|\}.$$
(4.26)
Besides, applying to the identity $`G(z)(H_1+H_2z)=1`$ the operation $`n^1Tr\mathrm{}`$ and subtracting from the result the third equation of system (2.18), we obtain the one more relation

$$𝐄\{|(\mathrm{\Phi }\mathrm{\Gamma })_3|\}=0.$$
(4.27)
It follows from the proof of Proposition 3.3 that the matrix $`\mathrm{\Phi }`$ is invertible if $`y_1`$ is big enough. Denote by $`\mathrm{}_1`$ the $`l^1`$-norm of $`^3`$ and by $`\mathrm{}`$ the induced matrix norm. Then we have

$$𝐄\{\mathrm{\Gamma }_1\}𝐄\{\mathrm{\Phi }^1\mathrm{\Phi }\mathrm{\Gamma }_1\}𝐄^{1/2}\{\mathrm{\Phi }^1^2\}𝐄^{1/2}\{\mathrm{\Phi }\mathrm{\Gamma }_1^2\}.$$
(4.28)
It follows from our arguments above that all entries of the matrices $`\mathrm{\Phi }`$ and $`\mathrm{\Phi }^1`$ and all components of the vector $`\mathrm{\Gamma }`$ are bounded uniformly in $`n`$ and in realizations of random matrices $`A_n`$,$`B_n,U_n`$ and $`V_n`$ in (2.1). Thus we have

$$\mathrm{\Phi }^1\underset{i,j=1}{\overset{3}{}}|(\mathrm{\Phi }^1)_{ij}|C,\mathrm{\Phi }\mathrm{\Gamma }_1\underset{i,j=1}{\overset{3}{}}|\mathrm{\Phi }_{ij}||\mathrm{\Gamma }|_jC.$$

These bounds and (4.25) - (4.28) imply that

$$𝐄\{\mathrm{\Gamma }_1\}C^{3/2}(𝐄\{|\epsilon _{2,n}|\}+𝐄\{|\epsilon _{2,n}|\})^{1/2}.$$

In view of (4.23) this inequality imply (4.14), i.e. the assertion of the lemma.$`\mathrm{}`$

Now we extend the result of Lemma 4.1 for the case of unbounded $`A_n`$ and $`B_n`$, having the limiting NCM’s with the finite first moments. We will apply the standard in probability truncation technique, whose random matrix version was used already in .

Proof of Theorem 2.1. Without loss of generality we can assume that

$$\underset{n}{sup}|\lambda |𝐄\{N_{1,n}(\mathrm{d}\lambda )\}m_1<\mathrm{}.$$
(4.29)
For any $`T>0`$ introduce the matrices $`A_n^T`$ and $`B_n^T`$ replacing eigenvalues $`A_n`$ and $`B_n`$ lying in $`]T,\mathrm{}[`$ by $`T`$ and eigenvalues lying in $`]\mathrm{},T]`$ by $`T`$. Denote by $`N_{r,n}^T,r=1,2`$ the NCM of $`A_n^T`$ and $`B_n^T`$. It is clear that for any $`T>0`$ and $`r=1,2`$, the sequence $`\{N_{r,n}^T\}_{n1}`$ converge weakly in probability to the measures $`N_r^T`$ as $`n\mathrm{}`$, where $`N_r^T`$ are analogously defined via $`N_r`$ and have their supports in $`[T,T]`$, and that for each $`r=1,2`$ the sequence $`\{N_r^T\}_{T1}`$ converge weakly to $`N_r`$ as $`T\mathrm{}`$. Denote by $`N_n^T,r=1,2`$ the NCM of $`H_n^T=H_{1,n}^T+H_{2,n}^T=V_n^{}A_n^TV_n+U_n^{}B_n^TU_n`$. According to linear algebra, if $`M_r,r=1,2`$ are two Hermitian $`n\times n`$ matrices, then

$$\mathrm{rank}(M_1+M_2)\mathrm{rank}M_1+\mathrm{rank}M_2,$$
(4.30)
and if $`\{\mu _{r,l}\}_{l=1}^n,r=1,2`$ are eigenvalues of $`M_r,r=1,2`$, then for any Borel set $`\mathrm{\Delta }`$

$$|\mathrm{\#}\{\mu _{1,l}\mathrm{\Delta }\}\mathrm{\#}\{\mu _{2,l}\mathrm{\Delta }\}|\mathrm{rank}(M_1M_2).$$

By using these facts we find that

$$\begin{array}{c}|N_n(\mathrm{\Delta })N_n^T(\mathrm{\Delta })|\frac{1}{n}\mathrm{rank}(H_nH_n^T)\frac{1}{n}\mathrm{rank}(A_nA_n^T)+\\ +\frac{1}{n}\mathrm{rank}(B_nB_n^T)N_{1,n}(\backslash ]T,T[)+N_{2,n}(\backslash ]T,T[),\end{array}$$
(4.31)
valid for any Borel set $`\mathrm{\Delta }`$. As a result, the Stieltjes transform $`g_n^T`$ of $`N_n^T`$ and the Stieltjes transform $`g_n`$ of $`N_n`$ are related as follows:

$$|g_n^T(z)g_n(z)|\frac{\pi }{|\mathrm{Im}z|}(N_{1,n}(\backslash ]T,T[)+N_{2,n}(\backslash ]T,T[)),$$

hence

$$𝐄\{|g_n^T(z)g_n(z)|\}\frac{\pi }{|\mathrm{Im}z|}(𝐄\{N_{1,n}(\backslash ]T,T[)\}+𝐄\{N_{2,n}(\backslash ]T,T[)\}).$$
(4.32)
and

$$\underset{n\mathrm{}}{lim}𝐄\{N_{r,n}(]T,T[)\}1N_r(]T,T[)=o(1),T\mathrm{}.$$

Since the norms of matrices $`H_1^T`$ and $`H_2^T`$ are bounded, the results of the Lemma 4.1 are applicable to the function $`g_n^T(z)`$, so that, in particular, for any non-real $`z`$ it converges in probability as $`n\mathrm{}`$ to a function $`f^T(z)`$ satisfying the system

$$\begin{array}{cc}\hfill f^T(z)& =f_1^T\left(z\frac{\mathrm{\Delta }_2^T(z)}{f^T(z)}\right)\hfill \\ \hfill f^T(z)& =f_2^T\left(z\frac{\mathrm{\Delta }_1^T(z)}{f^T(z)}\right)\hfill \\ \hfill f^T(z)& =\frac{1\mathrm{\Delta }_1^T(z)\mathrm{\Delta }_2^T(z)}{z}\hfill \end{array}.$$

In addition, since $`𝐄\{g_n^T(z)\}`$ and $`𝐄\{\delta _{1,n}^T(z)\}`$ are bounded uniformly in $`n`$ and $`T`$ for $`zE(y_0):`$

$$\begin{array}{c}|𝐄\{g_n^T(z)\}|\frac{1}{y_0},\hfill \\ |𝐄\{\delta _{1,n}^T(z)\}|\frac{1}{y_0}|\lambda |𝐄\{N_{1,n}^T(\mathrm{d}\lambda )\}\frac{1}{y_0}|\lambda |𝐄\{N_{1,n}(\mathrm{d}\lambda )\}\frac{m_1}{y_0},\hfill \end{array}$$

we have

$$|f^T(z)|\frac{1}{y_0},|\mathrm{\Delta }_1^T(z)|\frac{m_1}{y_0}$$
(4.33)
Thus, there exists a sequence $`T_k\mathrm{}`$ such that sequences of analytic functions $`\{f^{T_k}(z)\}`$ and $`\{\mathrm{\Delta }_1^{T_k}(z)\}`$ converge uniformly on any compact of the $`E(y_0)`$ of (4.32). In addition, the measures $`N_r^{T_k},r=1,2`$ converge weakly to the limiting measures $`N_r,r=1,2`$. Hence, there exist three analytic functions $`f(z)`$, $`\mathrm{\Delta }_1(z)`$ and $`\mathrm{\Delta }_2(z)=zf(z)+1\mathrm{\Delta }_1(z)`$ verifying (2.18). Besides, because of (4.33) and (3.1) for $`zE(y_0)`$ we have

$$|\mathrm{\Delta }_1(z)|\frac{m_1}{y_0},\mathrm{and}\mathrm{\Delta }_2(z)=o(1)\mathrm{as}y_0\mathrm{}.$$

As a result of relations above, $`f(z)`$ and $`\mathrm{\Delta }_r(z),r=1,2`$ satisfy the conditions of Proposition 3.3, hence they are defined uniquely.

Furthermore, we have

$$𝐄\{|g_n(z)f(z)|\}𝐄\{|g_n(z)g_n^{T_k}(z)|\}+𝐄\{|g_n^{T_k}(z)f^{T_k}(z)|\}+|f^{T_k}(z)f(z)|.$$

Hence in view of (4.32), arguments above on convergence of $`f^{T_k}`$ to $`f`$ , and Lemma 4.1 we conclude that for each $`zE(y_0)`$

$$\underset{n\mathrm{}}{lim}𝐄\{|g_n(z)f(z)|\}=0.$$

In view of Proposition 4.1 this implies that the NCM (2.2) of random matrices (2.1) converges weakly in probability as $`n\mathrm{}`$ to the non-random measure, whose Stieltjes transform is a unique solution of system (2.18).$`\mathrm{}`$

## 5 Properties of the Solution

Here we will consider several simple properties of the limiting eigenvalue counting measure described by Theorem 2.1, i.e. the measure, whose Stieltjes transform is a solution of (2.18) satisfying (2.12)–(2.14). We refer the reader to works  and references therein for a rather complete collection of results on properties of the measure, resulting from the binary operation in the space of the probability measures, defined by a version of system (2.18). This binary operation is called free additive convoluton.

(i) Assume that the supports of the limiting eigenvalue measures of the matrices $`A_n`$ and $`B_n`$ are bounded, i.e. there exist $`\mathrm{}<a_{r,}b_r<\mathrm{},r=1,2,`$ such that

$$\mathrm{supp}N_r[a_r,b_r],r=1,2.$$
(5.1)
Then

$$\mathrm{supp}N[a_1+a_2,b_1+b_2].$$
(5.2)
Proof. Denote by $`\{\lambda _l\}_{l=1}^n`$ and by $`\{\lambda _{r,l}\}_{l=1}^n,r=1,2`$ eigenvalues of $`H_n`$ and $`H_{r,n}`$ in (2.1) respectively. Then, according to the linear algebra (cf.(4.31)),

$$\mathrm{\#}\{\lambda _l\backslash [a_1+a_2,b_1+b_2]\}\mathrm{\#}\{\lambda _{1,l}\backslash [a_1,b_1]\}+\mathrm{\#}\{\lambda _{2,l}\backslash [a_2,b_2]\}.$$

In view of Theorem 2.1 and (5.1) this leads to the relation $`N(\mathrm{}\sigma )=0`$, i.e. to (5.2).

(ii). Examples. 1. Consider the case when $`A_n=B_n`$, i.e. $`N_1=N_2`$. In this case system (2.18) will have the form

$$f(z)=f_1\left(\frac{z}{2}\frac{2}{f(z)}\right).$$
(5.3)
Take $`N_1=N=\alpha `$ $`\delta _0+(1\alpha )`$ $`\delta _a`$ where $`0\alpha 1`$, $`a>0`$ and $`\delta _\lambda `$ is the unit measure concentrated at $`\lambda `$. Then

$$f_1(z)=\frac{\alpha }{z}+\frac{1\alpha }{az}$$

and (2.18) reduces to the quadratic equation

$$z(z2a)f^2+2a(12\alpha )f1=0,$$

whose solution satisfying (2.12) - (2.14) is

$$f(z)=\frac{a(12\alpha )\sqrt{(z\lambda _+)(z\lambda _{})}}{z(z2a)},\lambda _\pm =a(1\pm 2\sqrt{\alpha (1\alpha )}).$$

By using (2.15) we find that the limiting measure in this case has the form

$$N=(2\alpha 1)_+\delta _0+(12\alpha )_+\delta _{2a}+N^{},$$
(5.4)
where $`x_+=\mathrm{max}(0,x),`$ and

$$N^{}(\mathrm{d}\lambda )=\frac{1}{\pi }\frac{\sqrt{(\lambda _+\lambda )(\lambda \lambda _{})}}{\lambda (\lambda 2a)}\chi _{[0,2a]}(\lambda )\mathrm{d}\lambda $$
(5.5)
is the absolute continuous measure of the mass $`12\alpha .`$ Here $`\chi _\mathrm{\Delta }(\lambda )`$ is the indicator of the set $`\mathrm{\Delta }`$. In the cases $`\alpha =0,1`$ (5.4) is $`\delta _{2a}`$ and $`\delta _0`$ respectively, and in the case $`\alpha =1/2`$ (5.4) has no atoms, but only the square root singularities

$$N^{}(\mathrm{d}\lambda )=\frac{1}{\pi \sqrt{\lambda (2a\lambda )}}\chi _{[0,2a]}(\lambda )\mathrm{d}\lambda $$
(5.6)
Formulas (5.3)–(5.6) shows that:

* the result (5.2) is optimal with respect to the endpoints of the measures $`N_r,r=1,2`$ and $`N`$;
* in the case when $`N_1=N_2`$ have atoms of the mass $`\mu >1/2`$ at the same point then the measure $`N`$ has also an atom of the mass $`(2\mu 1)`$ (for general results of this type see ).

However, in general the support of $`N`$ is strictly included in the sum of supports of measures $`N_r,r=1,2`$, i.e. the inclusion in the r.h.s part of (5.3) is strict. This can be illustrated by the following two examples.

2. Take again $`N_1=N_2`$, where now

$$N_1(\mathrm{d}\lambda )=\frac{1}{\pi \sqrt{a^2\lambda ^2)}}\chi _{[a,a]}(\lambda )\mathrm{d}\lambda .$$

is the arcsin law. This measure corresponds to the matrix ensemble (2.37) with

$$V(\lambda )=\{\begin{array}{ccc}0,\hfill & |\lambda |<1,\hfill & \\ \mathrm{},\hfill & |\lambda |>1.\hfill & \end{array}$$
(5.7)
In this case equation (5.3) is again quadratic and leads to

$$N(\mathrm{d}\lambda )=\frac{\sqrt{3a^2\lambda ^2)}}{\pi (4a^2\lambda ^2)}\chi _{[\sqrt{3}a,\sqrt{3}a]}(\lambda )\mathrm{d}\lambda .$$

3. In the next example we take

$$N_r(\mathrm{d}\lambda )=\frac{1}{4\pi a_r^2}\sqrt{8a_r^2\lambda ^2}\chi _{[2\sqrt{2}a_r,2,\sqrt{2}a_r]}(\lambda )\mathrm{d}\lambda ,r=1,2,$$

i.e. the both measures are the semicircle laws (2.31). Then it is easy to find that $`N`$ is also the semicircle measure with the parameter $`a^2=`$ $`a_1^2+a_2^2.`$ This case was indicated in . It can be easily deduced from the law of addition of the R-transforms of Voiculescu , because in this case $`R_r(f)=2a_r^2f`$. For further properties of the measure $`N`$ in the case when one of $`N_r,r=1,2`$ is the semicircle law see .

(iii). Suppose that one of the measures $`N_r(\mathrm{d}\lambda ),r=1,2`$ is absolute continuous with respect to the Lebesgue measure, i.e., say, $`N_1(\mathrm{d}\lambda )=\rho _1(\lambda )\mathrm{d}\lambda ,`$ and

$$\overline{\rho }_1=\mathrm{ess}\underset{\lambda }{sup}|\rho _\mathit{1}(\lambda )|<\mathrm{},.$$

Then $`N`$ is also absolute continuous with respect to the Lebesgue measure, i.e.$`N(\mathrm{d}\lambda )=\rho (\lambda )\mathrm{d}\lambda ,`$ and

$$\mathrm{ess}\underset{\lambda }{sup}|\rho _1(\lambda )|=\overline{\rho }_1<\mathrm{}.$$
(5.8)
Proof. Indeed, since the function $`z_1^{}=z\mathrm{\Delta }_{2,1}/f(z)`$ is analytic for non-real $`z`$, the number of its zeros in any compact of $`\backslash `$ is finite. Thus, for any $`\lambda `$ there exists a sequence $`\{z_n\}`$ of non-real numbers such that $`z_n\lambda `$ as $`n\mathrm{}`$ and $`\mathrm{Im}`$ $`z_n^{}0.`$ Hence, we have from the first equation of system (2.18) for $`z_n^{}=`$ $`\lambda _n^{}+i\epsilon _n^{}`$

$$\frac{1}{\pi }\mathrm{Im}f(z)=\frac{1}{\pi }\frac{\epsilon _r^{}\rho _r(\mu )\mathrm{d}\mu }{(\mu \lambda _r^{})^2+(\epsilon _r^{})^2}\overline{\rho }_1\frac{1}{\pi }\frac{\epsilon _r^{}\mathrm{d}\mu }{(\mu \lambda _r^{})^2+(\epsilon _r^{})^2}=\overline{\rho }_1.$$

This relation and the inversion formula (2.15) yield (5.8). For more general results in this direction see the recent paper .

## 6 Discussion

In this Section we comment on several topics related to those studied above.

1. In this paper we deal with Hermitian and unitary matrices, i.e. we assume that the matrices $`A_n`$ and $`B_n`$ in (2.1) are Hermitian and $`U_n`$ and $`V_n`$ are unitary. It is natural also to consider the case of real symmetric $`A_n`$ and $`B_n`$ and orthogonal $`U_n`$ and $`V_n`$. This case can be handled by using the analogue of formula (3.11) of the orthogonal group $`O(n)`$. Indeed, it is easy to see that this analogue has the form

$$\underset{O(n)}{}\mathrm{\Phi }^{^{}}(O^TMO)[X,O^TMO]dO=0,$$

where $`O^T`$ is the transposed to $`O`$ and $`X`$ is a real symmetric matrix. By using this formula we obtain instead of (3.23)

$$G_{aa}(H_2G)_{bc}+G_{ab}(H_2G)_{ac}=(GH_2)_{aa}G_{bc}+(GH_2)_{ab}G_{bc}.$$

The second terms in both sides of this formula give two additional terms

$$n^1G^TH_2G+n^1H_2G^TG.$$

in the analogue of (3.40). These terms, however, produce the asymptotically vanishing contribution because, in view of (3.3), (3.6) and (3.37), we have

$$\left|n^2\mathrm{Tr}(1+\mathrm{\Delta }_{2,n}f_n^1G_1)^1G_1(G^TH_2G+H_2G^TG)\right|\frac{2}{ny_0^3}m_4^{1/4}.$$

Similar and also negligible as $`n\mathrm{}`$ terms appear in analogues of formulas (3.53), (3.69) and (3.73) of the proof of Theorem 3.2. As the result, we obtain in this case the same system (2.18), defining the Stieltjes transform of the limiting eigenvalue counting measure of the analogue of (2.1) with the real symmetric $`A_n`$ and $`B_n`$ and orthogonal Haar-distributed $`U_n`$ and $`V_n`$.

2. As was mentioned in the Introduction, our main result, Theorem 2.1, can be viewed as an extension of the result by Speicher , obtained by the moment method and valid for uniformly in $`n`$ bounded matrices $`A_n`$ and $`B_n`$ in (2.1). Both results are analogues for randomly rotated matrices of old results of  (see (2.24) and (2.33)) on the form of the limiting eigenvalue counting measure of the sum of an arbitrary matrix and certain random matrices (see (2.20) and (2.26)), in particular, Gaussian random matrices (2.28). In this case, however, there exists another model, proposed by Wegner  that combines properties of random matrices, having all entries roughly of the same order, and of random operators, whose entries decay sufficiently fast in the distance from the principal diagonal (see e.g. ). A simple, but rather non-trivial version of the Wegner model corresponds to the selfadjoint operator $`H`$ acting in $`l^2(^d)\times 𝐂^n`$ and defined by the matrix

$$H(x,j;y,k)=v(xy)\delta _{jk}+\delta (xy)f_{jk}(x)$$
(6.1)
where $`x,y^d`$, $`j,k=1,\mathrm{},n`$, $`\delta (x)`$ is the $`d`$-dimensional Kronecker symbol,

$$v(x)=\overline{v}(x),\underset{x^d}{}|v(x)|<\mathrm{},$$
(6.2)
and $`f(x)=\{f_{jk}(x)\}_{j,k=1}^n`$, $`x^d`$ are independent for different $`x`$ and identically distributed $`n\times n`$ Hermitian matrices, whose distribution for any $`x`$ is given by (2.28). According to  (see also ) asymptotic for $`n\mathrm{}`$ properties of operator (6.1) resemble, in many aspects, asymptotic properties of matrices (2.28). The ”free” analogue of the Wegner model was proposed in . In this case i.i.d. matrices $`f(x)`$ have the form

$$f(x)=U_n^{}(x)B_nU_n(x)$$
(6.3)
where $`B_n`$ is as in (2.1) and $`U_n(x)`$, $`x^d`$ are i.i.d. unitary $`n\times n`$ matrices whose distribution is given by the Haar measure on $`U(n)`$. By using a version of the moment method, similar to that of paper , or, rather, its formal scheme, the authors derived the limiting form of

$$𝐄\left\{n^1\underset{j=1}{\overset{n}{}}G(x,j;y,j)\right\},$$

where $`G(x,j;y,k)`$ is the matrix (the Green function) of the resolvent $`(Hz)^1`$ of (6.1) - (6.3). The authors also found a certain second moment of the Green function. This moment is necessary to compute the a.c. conductivity via the Kubo formula. Because of the moment method results of  are valid for uniformly bounded in $`n`$ matrices $`B_n`$ in (6.3), similar to results for matrices (2.1) obtained in . By using a natural extension of the differentiation formula (3.11) and the technique developed in  to analyze the Wegner model, the results of paper  can be extended to the case of arbitrary matrices $`B_n`$ in (6.3), because in this case the role of condition (2.17) of Theorem 2.1) plays condition (6.2).

3. As was mentioned before asymptotic properties of random matrices are of considerable interest in the certain branches of the operator algebra theory and related branch of the non-commutative probability theory, known as free probability (see  and references therein). Here large random matrices is an important example of the asymptotically free non-commutative random variables, providing a sufficiently reach analytic model of the abstract notion of freeness of elements of an operator algebra. The most widely used examples of asymptotically free families of non-commutative random variables are Gaussian random matrices and unitary Haar-distributed random matrices. The proof of asymptotic freeness of unitary matrices given in  reduces to that for complex Gaussian matrices basing on the observation that the unitary part of the polar decomposition of complex Gaussian matrix with independent entries is the Haar-distributed unitary matrix. This method requires certain technicalities because of the singularity of the polar decomposition at zero. On the other hand, the differentiation formula (3.11) allows one to prove directly similar statements. Here is an example of results of this type (related results are proved in ).

###### Theorem 6.1

Let $`k`$ be a positive integer, $`\{T_{r,n}\}_{r=1}^k`$ be a set of $`n\times n`$matrices, such that

$$\underset{rk;k,l,n}{sup}n^1\mathrm{Tr}(T_{r,n}^{}T_{r,n})^l<\mathrm{},$$
(6.4)
and let $`U_n`$ be the unitary and Haar-distributed random matrix. If for any $`k`$

$$\underset{n\mathrm{}}{lim}n^1\mathrm{Tr}T_{r,n}=0,r=1,\mathrm{},k,$$
(6.5)
then for any set of non-zero integers such that $`\{m_r\}_{r=1}^k`$, $`_{r=1}^km_r=0`$

$$\underset{n\mathrm{}}{lim}n^1\mathrm{Tr}U_n^{m_1}T_{1,n}\mathrm{}U_n^{m_k}T_{k,n}=0,$$
(6.6)
where $``$ denotes the integration with respect to the Haar measure over $`U(n)`$.

###### Remark 1

The theorem is trivially true in the case when $`_{r=1}^km_r0`$.

In the two subsequent lemmas we omit the subindex $`n`$.

###### Lemma 6.1

Let $`\{T_i\}_{i=1}^k`$ be a set of $`n\times n`$ matrices and $`U`$ is the Haar-distributed unitary matrix. Then for any set of non-zero integers $`\{m_i\}_{i=1}^k`$, $`_{i=1}^km_i=0`$ the following identity holds:

$$n^1\mathrm{Tr}U^{m_1}T_1\mathrm{}U^{m_k}T_k=\underset{l_1=2}{\overset{m_1}{}}n^1\mathrm{Tr}U^{l_11}n^1\mathrm{Tr}(U^{m_1l_1+1}T_1\mathrm{}U^{m_k}T_k)$$

$$\underset{r\{2,\mathrm{},k\},m_r>0}{}\underset{l_r=1}{\overset{m_r}{}}n^1\mathrm{Tr}(U^{m_1}T_1\mathrm{}T_{r1}U^{l_r1})n^1\mathrm{Tr}(U^{m_rl_r+1}T_r\mathrm{}U^{m_k}T_k)+$$
(6.7)
$$\underset{r\{2,\mathrm{},k\},m_r<0}{}\underset{l_r=1}{\overset{m_r}{}}n^1\mathrm{Tr}(U^{m_1}T_1\mathrm{}T_{r1}U^{l_r})n^1\mathrm{Tr}(U^{m_r+l_r}T_r\mathrm{}U^{m_k}T_k).$$

Proof. Without loss of generality assume that $`m_1>0`$. Then, using the analogue of formula (3.11) for the average $`[U^{m_1}T_1\mathrm{}U^{m_k}T_k]_{ab}`$, we obtain for any Hermitian $`X`$

$$\underset{r\{1,\mathrm{},k\},m_r>0}{}\underset{l_r=1}{\overset{m_r}{}}[U^{m_1}T_1\mathrm{}T_{r1}U^{l_11}XU^{m_rl_r+1}T_r\mathrm{}U^{m_k}T_k]_{ab}+$$

$$\underset{r\{2,\mathrm{},k\},m_r<0}{}\underset{l_r=1}{\overset{m_r}{}}[U^{m_1}T_1\mathrm{}T_{r1}U^{l_r}XU^{m_r+l_r}T_r\mathrm{}U^{m_k}T_k]_{ab}=0$$
(6.8)
Choosing as $`X`$ the Hermitian matrix having only $`(c,d)`$-th and $`(d,c)`$-th non-zero entries, setting then $`a=c`$ and $`b=d`$ and applying to the result the operation $`n^2_{a,b}`$, we obtain (6.7).$`\mathrm{}`$

###### Lemma 6.2

Under the conditions (6.4) and (6.5) the variance $`D=|\xi ^{}|^2`$ of the random variable

$$\xi =n^\mathit{1}\mathrm{Tr}L,L=U^{m_\mathit{1}}T_\mathit{1}\mathrm{}U^{m_k}T_k$$
(6.9)
is of the order $`n^2`$ as $`n\mathrm{}`$.

Proof. Using the same technique as that in Lemma 6.1 for $`\overline{L_{ab}}L_{cd}`$ we obtain the relation

$$D=\underset{l_1=2}{\overset{m_1}{}}\overline{\xi }^{}n^1\mathrm{Tr}U^{l_11}n^1\mathrm{Tr}(U^{m_1l_1+1}T_1\mathrm{}U^{m_k}T_k)$$

$$\underset{r\{2,\mathrm{},k\},m_r>0}{}\underset{l_r=1}{\overset{m_r}{}}\overline{\xi }^{}n^1\mathrm{Tr}(U^{m_1}T_1\mathrm{}T_{r1}U^{l_r1})n^1\mathrm{Tr}(U^{m_rl_r+1}T_r\mathrm{}U^{m_k}T_k)+$$
(6.10)
$$\begin{array}{c}\underset{r\{2,\mathrm{},k\},m_r<0}{}\underset{l_r=1}{\overset{m_r}{}}\overline{\xi }^{}n^1\mathrm{Tr}(U^{m_1}T_1\mathrm{}T_{r1}U^{l_r})n^1\mathrm{Tr}(U^{m_r+l_r}T_r\mathrm{}U^{m_k}T_k)\\ +n^2\mathrm{\Phi },\end{array}$$

where

$$\mathrm{\Phi }=\underset{r\{1,\mathrm{},k\},m_r>0}{}\underset{l_r=1}{\overset{m_r}{}}n^1\mathrm{Tr}(U^{m_rl_r+1}T_r\mathrm{}T_kU^{m_1}T_1\mathrm{}T_{r1}U^{l_r1})^{}L+$$

$$+\underset{r\{2,\mathrm{},k\},m_r<0}{}\underset{l_r=1}{\overset{m_r}{}}n^1\mathrm{Tr}(U^{m_r+l_r}T_r\mathrm{}T_kU^{m_1}T_1\mathrm{}T_{r1}U^{l_r})^{}L.$$

We have obviously for $`k=m=1`$

$$n^1\overline{\mathrm{Tr}(UT)^{}}n^1\mathrm{Tr}(UT)\frac{1}{n^2}n^1\mathrm{Tr}(TT^{}).$$

We proceed further by induction. In view of condition (6.4) and Proposition 3.1 we have the bound

$$|n^1\mathrm{Tr}(U^{m_1}T_{r_1}\mathrm{}U^{m_p}T_{r_p})|C_,^2$$
(6.11)
where $`C`$ may depend only on $`p`$. Now, since $`n^1\mathrm{Tr}U^l=0,l0,`$ the summands of the first term in r.h.s. of (6.10) can be estimated as follows

$$\left|\overline{\xi }^{}n^1\mathrm{Tr}(U^{l_1})n^1\mathrm{Tr}(U^{m_1l_1+1}T_1\mathrm{}U^{m_k}T_k)\right|C\sqrt{D}\sqrt{|n^1\mathrm{Tr}(U^{l_1})^{}|^2}.$$
(6.12)
Likewise, by using the cyclic property of the trace, the identity $`a^{}bc=a^{}b^{}c+a^{}c^{}b`$, Schwarz inequality, and (6.11), we obtain for the second term in the right-hand side of (6.10) the following estimates for $`r2`$

$$\begin{array}{c}\left|\overline{\xi }^{}n^1\mathrm{Tr}(U^{m_1}T_1\mathrm{}T_{r1}U^{l_r1})n^1\mathrm{Tr}(U^{m_rl_r+1}T_r\mathrm{}U^{m_k}T_k)\right|\\ C\sqrt{D}\{\sqrt{|n^1\mathrm{Tr}(U^{m_1+l_r1}T_1\mathrm{}U^{m_{r1}}T_{r1})^{}|^2}+\\ +\sqrt{|n^1\mathrm{Tr}(U^{m_rl_r+1}T_r\mathrm{}U^{m_k}T_k)^{}|^2}\}\end{array}$$
(6.13)
The third term in the right-hand side of (6.10) can be estimated analogously. The forth term is of the order $`1/n^2`$ in view of (6.9). By the induction hypothesis the expectations under square roots in the r.h.s. of (6.13) and (6.12) are of the order $`n^2`$. This leads to the inequality

$$D\frac{C_1}{n}\sqrt{D}+\frac{C_2}{n^2},$$

where $`C_1`$ and $`C_2`$ are independent of $`n`$. This implies the bound $`D=O(n^2)`$.$`\mathrm{}`$

Proof of Theorem 6.1. We use Lemma 6.1 and again the induction. We have first

$$n^1\mathrm{Tr}U^mT_1U^mT_2=n^1\mathrm{Tr}T_1n^1\mathrm{Tr}T_2=0.$$

In general case we use Lemma 6.2 to factorize asymptotically the moments in the r.h.s. of (6.7). In the resulting relation the expressions $`n^1\mathrm{Tr}U^{m_{r_1}}T_{r_1}\mathrm{}U^{m_{r_s}}T_{r_s}`$ are zero for any collection $`(T_{r_1},\mathrm{},T_{r_s})`$ and any $`n`$, if $`_{i=1}^sm_{r_i}0,`$ and tend to zero as $`n\mathrm{}`$ if $`_{i=1}^sm_{r_i}=0`$ in view of the induction hypothesis and condition (6.5). This leads to (6.6).$`\mathrm{}`$

###### Remark 2

A simple version of the above arguments allows us to prove that the normalized counting measure of the Haar distributed unitary matrices converges with probability one to the uniform distribution on the unit circle. Indeed, consider again the Stieltjes transform $`g_n`$ of this measure, supported now on the unit circle. By the spectral theorem for unitary matrices we have

$$g_n(z)=n^1\mathrm{Tr}G(z),G(z)=(Uz)^1,|z|1.$$
(6.14)
We can then obtain the following identities

$$\mathrm{Tr}G^2(z)U=0,g_n(z)n^1\mathrm{Tr}G(u)U=0,$$
(6.15)
$$g_n(z_1)n^1\mathrm{Tr}G(z_1)Ug(z_2)+n^3\mathrm{Tr}G(z_1)G(z_2)UG(z_2)=0.$$
(6.16)
By using the obvious relations

$$G^{}(z)=G^2(z),G(0)=U^1,G(\mathrm{})=0,$$

we obtain from the first of identities (6.15)

$$f_n(z)g_n(z)=\{\begin{array}{ccc}0,\hfill & |z|<1,\hfill & \\ z^1,\hfill & |z|>1.\hfill & \end{array}.$$

This relation shows that the expectation of the normalized counting measure of $`U`$ is the uniform distribution on the unit circle, the fact that follows easily from the shift invariance of the Haar measure. Now the second identity (6.15) and (6.16) lead to the bound

$$|g_n(z)|^2\frac{C(r_0)}{n^2},|z|r_{0,}$$

where $`C(r_0)`$ is independent of $`n`$ and finite if $`r_0`$ is small enough. This bound and arguments analogous to those used in the proof of Theorem 3.1 imply that the normalized eigenvalue counting measure of unitary Haar distributed random matrices converges with probability one to the uniform distribution on the unit circle. This fact as well as the analogous fact for the orthogonal group can be deduced from the works by Dyson (see e.g. ), where the joint probability distribution of all $`n`$ eigenvalues of the Haar distributed unitary or orthogonal matrices was found and studied. This technique is more powerful but also more complex than that used above and based on rather elementary means.

Acknowledgements. V. Vasilchuk is thankful to Laboratoire de Physique Mathématique et Géométrie de l’Université Paris-7 for hospitality and to Ministère des Affaires Etrangères de France for the financial support.