From random matrices to stochastic operators
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Publication:2641372
DOI10.1007/S10955-006-9226-4zbMATH Open1131.15025arXivmath-ph/0607038OpenAlexW2079474739MaRDI QIDQ2641372FDOQ2641372
Authors: Alan Edelman, Brian D. Sutton 
Publication date: 20 August 2007
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Abstract: We propose that classical random matrix models are properly viewed as finite difference schemes for stochastic differential operators. Three particular stochastic operators commonly arise, each associated with a familiar class of local eigenvalue behavior. The stochastic Airy operator displays soft edge behavior, associated with the Airy kernel. The stochastic Bessel operator displays hard edge behavior, associated with the Bessel kernel. The article concludes with suggestions for a stochastic sine operator, which would display bulk behavior, associated with the sine kernel.
Full work available at URL: https://arxiv.org/abs/math-ph/0607038
Recommendations
finite difference schemesstochastic differential operatorsAiry ensemblesBessel ensembleslocal eigenvalue spacingsine ensembles
Random matrices (algebraic aspects) (15B52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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