The Distribution of the Largest Eigenvalue in the Gaussian Ensembles
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Publication:6502383
arXivsolv-int/9707001MaRDI QIDQ6502383FDOQ6502383
Authors: Craig A. Tracy, Harold Widom 
Abstract: The focus of this survey paper is on the distribution function for the largest eigenvalue in the finite N Gaussian ensembles (GOE,GUE,GSE) in the edge scaling limit of N->infinity. These limiting distribution functions are expressible in terms of a particular Painleve II function. Comparisons are made with finite N simulations as well as a discussion of the universality of these distribution functions.
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