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Seminar

Mini-Course: Introduction to eigenvalue distribution of random matrices August 31, 2021 (01:30 PM PDT - 04:30 PM PDT)
Parent Program:
Location: MSRI: Online/Virtual, Simons Auditorium
Speaker(s) Philippe Sosoe (Cornell University)
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Video

Mini-Course: Introduction To Eigenvalue Distribution Of Random Matrices

Abstract/Media

To participate in this seminar, please register HERE.

We provide an introduction to the theory of symmetric and Hermitian random random matrices. We first discuss the global anatomy of the spectrum, using general tools from basic probability. We then discuss the case of Gaussian Hermitian random matrices (GUE), the simplest

case for which finer computations are possible. We also briefly discuss the case of beta ensembles. In a final part, we survey more recent tools, including in particular Dyson Brownian Motion, used to prove universality, that is transfer the Gaussian results to more general models.

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Mini-Course: Introduction To Eigenvalue Distribution Of Random Matrices