Higher-Order Linear Differential Equations for Unitary Matrix Integrals: Applications and Generalisations (with an Appendix by Folkmar Bornemann)

In this paper, we consider characterisations of the class of unitary matrix integrals $\big\langle (\det U)^q {\rm e}^{s^{1/2} \operatorname{Tr}(U + U^\dagger)} \big\rangle_{U(l)}$ in terms of a first-order matrix linear differential equation for a vector function of size $l+1$, and in terms of a scalar linear differential equation of degree ${l+1}$. It will be shown that the latter follows from the former. The matrix linear differential equation provides an efficient way to compute the power series expansion of the matrix integrals, which with $q=0$ and $q=l$ are of relevance to the enumeration of longest increasing subsequences for random permutations, and to the question of the moments of the first and second derivative of the Riemann zeta function on the critical line, respectively. This procedure is compared against that following from known characterisations involving the $\sigma$-Painlevé III$'$ second-order nonlinear differential equation. We show too that the natural $\beta$ generalisation of the unitary group integral permits characterisation by the same classes of linear differential equations.