A random matrix from a stochastic heat equation

DOI10.1016/J.SPL.2016.02.015MaRDI QIDQ274172zbMATH OpenOpenAlexFDO

Authors Carlos Gabriel Pacheco

Publication date 22 April 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.02.015

zbMATH Keywords

random matrixweak convergencestochastic heat equationstochastic Schrödinger operator

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random matrices (algebraic aspects) (15B52) Schrödinger operator, Schrödinger equation (35J10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cited in

(4)

• High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation
• From random matrices to stochastic operators
• MATRIX EQUATION OF HEAT FLOW IN RANDOM CONDITIONS
• Random eigenvalues from a stochastic heat equation

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