Riemann‐Hilbert problem and matrix discrete Painlevé II systems

Matrix Szegő biorthogonal polynomials for quasi‐definite matrices of Hölder continuous weights are studied. A Riemann‐Hilbert problem is uniquely solved in terms of the matrix Szegő polynomials and its Cauchy transforms. The Riemann‐Hilbert problem is given as an appropriate framework for the discussion of the Szegő matrix and the associated Szegő recursion relations for the matrix orthogonal polynomials and its Cauchy transforms. Pearson‐type differential systems characterizing the matrix of weights are studied. These are linear systems of ordinary differential equations that are required to have trivial monodromy. Linear ordinary differential equations for the matrix Szegő polynomials and its Cauchy transforms are derived. It is shown how these Pearson systems lead to nonlinear difference equations for the Verblunsky matrices and two examples, of Fuchsian and non‐Fuchsian type, are considered. For both cases, a new matrix version of the discrete Painlevé II equation for the Verblunsky matrices is found. Reductions of these matrix discrete Painlevé II systems presenting locality are discussed.