Random matrices, random processes and integrable systems

DOI10.1007/978-1-4419-9514-8MaRDI QIDQ630769zbMATH OpenOpenAlexFDO

Authors

Publication date 21 March 2011

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

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)

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.

Cited in

(10)

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

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