MATH822
Random Matrix Theory

Course Description

The origin of random matrices and related spaces, eigenvalue-eigenvector decompositions, Heine-Hua-Selberg type integrals, linear statistics, gap probabilities, Tracy-Widom distributions of the least and largest eigenvalues. Basic tools included in the course: Hankel matrices, orthogonal polynomials, complex analysis, singular integral operators.


Prerequisite

complex analysis, linear algebra


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