Introduction to the random matrix theory: Gaussian Unitary Ensemble and beyond

DOI10.1017/CBO9780511550492.003MaRDI QIDQ5482832zbMATH OpenOpenAlexFDO

Authors Y. V. Fyodorov

Publication date 15 August 2006

Published in Recent Perspectives in Random Matrix Theory and Number Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math-ph/0412017

Mathematics Subject Classification ID

Other Dirichlet series and zeta functions (11M41) Relations with random matrices (11M50) Random matrices (algebraic aspects) (15B52) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Brownian motion (60J65) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: These lectures provide an informal introduction into the notions and tools used to analyze statistical properties of eigenvalues of large random Hermitian matrices. After developing the general machinery of orthogonal polynomial method, we study in most detail Gaussian Unitary Ensemble (GUE) as a paradigmatic example. In particular, we discuss Plancherel-Rotach asymptotics of Hermite polynomials in various regimes and employ it in spectral analysis of the GUE. In the last part of the course we discuss general relations between orthogonal polynomials and characteristic polynomials of random matrices which is an active area of current research.

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