PDE Methods in Random Matrix Theory

DOI10.1007/978-3-030-61887-2_5zbMATH Open1493.60014arXiv1910.09274OpenAlexW2980421065MaRDI QIDQ3384129FDOQ3384129

Authors: Brian C. Hall 

Publication date: 14 December 2021

Published in: Springer Optimization and Its Applications (Search for Journal in Brave)

Abstract: This article begins with a brief review of random matrix theory, followed by a discussion of how the large-$N$ limit of random matrix models can be realized using operator algebras. I then explain the notion of "Brown measure," which play the role of the eigenvalue distribution for operators in an operator algebra. I then show how methods of partial differential equations can be used to compute Brown measures. I consider in detail the case of the circular law and then discuss more briefly the case of the free multiplicative Brownian motion, which was worked out recently by the author with Driver and Kemp.

Full work available at URL: https://arxiv.org/abs/1910.09274

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zbMATH Keywords

operator algebrasfree multiplicative Brownian motion

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Brownian motion (60J65) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (14)

• On spectra and Brown's spectral measures of elements in free products of matrix algebras
• The Brown measure of the sum of a self-adjoint element and an elliptic element
• The Brown measure of the sum of a self-adjoint element and an imaginary multiple of a semicircular element
• A dynamical version of the SYK model and the \(q\)-Brownian motion
• The KPZ Equation and Moments of Random Matrices
• A Unified Approach to PDE-Driven Morphology for Fields of Orthogonal and Generalized Doubly-Stochastic Matrices
• The Brown measure of a family of free multiplicative Brownian motions
• Brown measures of free circular and multiplicative Brownian motions with self-adjoint and unitary initial conditions
• Random matrix models, double-time Painlevé equations, and wireless relaying
• Hydrodynamical spectral evolution for random matrices
• Random regularization of Brown spectral measure
• Title not available (Why is that?)
• The Brown measure of the free multiplicative Brownian motion
• Operator limit of the circular beta ensemble

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