Large Random Matrices - Lectures on Macroscopic Asymptotics : École d'Été de Probabilités de Saint-Flour Xxxvi - 2006
Large Random Matrices - Lectures on Macroscopic Asymptotics : École d'Été de Probabilités de Saint-Flour Xxxvi - 2006
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Author(s): Guionnet, Alice
ISBN No.: 9783540698968
Pages: xii, 294
Year: 200903
Format: Trade Paper
Price: $ 96.62
Dispatch delay: Dispatched between 7 to 15 days
Status: Available

Wigner matrices and moments estimates.- Wigner’s theorem.- Wigner's matrices; more moments estimates.- Words in several independent Wigner matrices.- Wigner matrices and concentration inequalities.- Concentration inequalities and logarithmic Sobolev inequalities.- Generalizations.- Concentration inequalities for random matrices.


- Matrix models.- Maps and Gaussian calculus.- First-order expansion.- Second-order expansion for the free energy.- Eigenvalues of Gaussian Wigner matrices and large deviations.- Large deviations for the law of the spectral measure of Gaussian Wigner's matrices.- Large Deviations of the Maximum Eigenvalue.- Stochastic calculus.


- Stochastic analysis for random matrices.- Large deviation principle for the law of the spectral measure of shifted Wigner matrices.- Asymptotics of Harish-Chandra-Itzykson-Zuber integrals and of Schur polynomials.- Asymptotics of some matrix integrals.- Free probability.- Free probability setting.- Freeness.- Free entropy.


- Basics of matrices.- Basics of probability theory.


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