Large random matrices: Lectures on macroscopic asymptotics. École d'Été des Probabilités de Saint-Flour XXXVI -- 2006 (Q951136)

This book deals with random matrices with a special emphasis on the asymptotic behaviour of some matrix macroscopic parameter when the size of these matrices increases to infinity. The book focuses more especially on the various relations of these macroscopic parameters with combinatorics and operator algebra theory. The main considered topics are: the Wigner matrices and their relations with moments estimates and concentration inequalities, large deviations for Gaussian Wigner matrices, stochastic calculus for random matrices and free probability or what amounts to the same, probability for non-commutative random variables. All thee problems are related with asymptotic distributions of matrices.