Random matrices, random processes and integrable systems

DOI10.1007/978-1-4419-9514-8zbMATH Open1215.15002arXivmath/0603543OpenAlexW3124431014MaRDI QIDQ630769FDOQ630769

Authors:

Publication date: 21 March 2011

Published in: CRM Series in Mathematical Physics (Search for Journal in Brave)

Abstract: This is an expository account of the edge eigenvalue distributions in random matrix theory and their application in multivariate statistics. The emphasis is on the Painlev'e representations of these distributions.

Full work available at URL: https://arxiv.org/abs/math/0603543

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Approximation methods and numerical treatment of dynamical systems (37M99) Proceedings, conferences, collections, etc. pertaining to linear algebra (15-06)

Cited In (10)

• The complex elliptic Ginibre ensemble at weak non-Hermiticity: edge spacing distributions
• The KPZ Equation and Moments of Random Matrices
• PDE Methods in Random Matrix Theory
• Hamiltonian structure of rational isomonodromic deformation systems
• Embedded random matrix ensembles for complexity and chaos in finite interacting particle systems
• Rarefaction waves of the Korteweg-de Vries equation via nonlinear steepest descent
• On the non-commutative fractional Wishart process
• A Dynamical Approach to Random Matrix Theory
• Exact null octagon
• Signatures of random matrices in physical systems

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