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

DOI10.1017/CBO9780511550492.003zbMATH Open1204.11151arXivmath-ph/0412017OpenAlexW1662707532MaRDI QIDQ5482832FDOQ5482832

Y. V. Fyodorov

Publication date: 15 August 2006

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

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.

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

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Mathematics Subject Classification ID

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

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