scientific article; zbMATH DE number 5310338

MaRDI QIDQ3517535zbMATH OpenFDO

Authors Mark Adler, Pierre van Moerbeke

Publication date 12 August 2008

zbMATH Keywords

Dyson's Brownian motionAiry processrandom Hermitian ensemblescoupled random matricesextended kernels

Mathematics Subject Classification ID

Random fields (60G60) Stationary stochastic processes (60G10) Brownian motion (60J65) KdV equations (Korteweg-de Vries equations) (35Q53)

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• Extreme eigenvalues of sparse, heavy tailed random matrices
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• A universality result for the smallest eigenvalues of certain sample covariance matrices

Cited in

(5)

• Dyson's nonintersecting Brownian motions with a few outliers
• Boundary asymptotics of non-intersecting Brownian motions: Pearcey, Airy and a transition
• The Pearcey process
• Riemann-Hilbert approach to multi-time processes: the Airy and the Pearcey cases
• Airy processes with wanderers and new universality classes

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