PDE Methods in Random Matrix Theory

DOI10.1007/978-3-030-61887-2_5MaRDI QIDQ3384129zbMATH OpenOpenAlexFDO

Authors Brian C. Hall

Publication date 14 December 2021

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

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

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)

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.

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Cited in

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• Hydrodynamical spectral evolution for random matrices
• A spectral dominance approach to large random matrices. II
• A Unified Approach to PDE-Driven Morphology for Fields of Orthogonal and Generalized Doubly-Stochastic Matrices
• The Brown measure of the sum of a self-adjoint element and an imaginary multiple of a semicircular element
• Operator limit of the circular beta ensemble
• The KPZ Equation and Moments of Random Matrices
• Random regularization of Brown spectral measure
• A dynamical version of the SYK model and the \(q\)-Brownian motion
• 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
• On spectra and Brown's spectral measures of elements in free products of matrix algebras
• Random matrix models, double-time Painlevé equations, and wireless relaying
• The Brown measure of the sum of a self-adjoint element and an elliptic element
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