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Large Random Matrices: Lectures on Macroscopic Asymptotics

École d'Été de Probabilités de Saint-Flour XXXVI – 2006

  • Book
  • © 2009

Overview

Part of the book series: Lecture Notes in Mathematics (LNM, volume 1957)

Part of the book sub series: École d'Été de Probabilités de Saint-Flour (LNMECOLE)

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Table of contents (21 chapters)

  1. Stochastic calculus

  2. Free probability

  3. Appendix

Keywords

About this book

Random matrix theory has developed in the last few years, in connection with various fields of mathematics and physics. These notes emphasize the relation with the problem of enumerating complicated graphs, and the related large deviations questions. Such questions are also closely related with the asymptotic distribution of matrices, which is naturally defined in the context of free probability and operator algebra.
The material of this volume is based on a series of nine lectures given at the Saint-Flour Probability Summer School 2006. Lectures were also given by Maury Bramson and Steffen Lauritzen.

Reviews

From the reviews: “This book is a set of lecture notes on eigenvalues of large random matrices. … useful to all mathematicians and statisticians who are interested in Wigner matrices. … In summary, the book is very much worth perusal.” (Vladislav Kargin, Mathematical Reviews, Issue 2010 d)

Authors and Affiliations

  • UMPA, Ecole Normale Supérieur de Lyon, Lyon Cedex 07, France

    Alice Guionnet

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