Large deviations for the largest eigenvalue of an Hermitian Brownian motion
Probability
2012-11-13 v2
Abstract
We establish a large deviation principle for the process of the largest eigenvalue of an Hermitian Brownian motion. By a contraction principle, we recover the LDP for the largest eigenvalue of a rank one deformation of the GUE.
Cite
@article{arxiv.1102.2970,
title = {Large deviations for the largest eigenvalue of an Hermitian Brownian motion},
author = {Catherine Donati-Martin and Mylène Maïda},
journal= {arXiv preprint arXiv:1102.2970},
year = {2012}
}