Hermitian, symmetric and symplectic random ensembles: PDEs for the distribution of the spectrum. (Q5939486)

For Hermitian, symmetric and symplectic ensembles it is shown that the probability of belonging the spectrum to one or several intervals satisfies a nonlinear partial differential equation. In the case of Hermitian ensemble this equation is connected with the Toda lattice and KP equation, for the symmetric and symplectic ones with Pfaff lattice and Pfaff-KP equation. The used method is connected with time variables inserting in integrals with consequent verification of integrable lattice equations and Virasoro constraints.