Related papers: Meet Andr\'eief, Bordeaux 1886, and Andreev, Khark…
In Jurek 1985 and 1988 the random integral representations conjecture was stated. It claims that (some) limit laws can be written as probability distributions of random integrals of the form $\int_{(a,b]}h(t)dY_{\nu}(r(t))$, for some…
We describe a list of open problems in random matrix theory and the theory of integrable systems that was presented at the conference Asymptotics in Integrable Systems, Random Matrices and Random Processes and Universality, Centre de…
In a series of works, Lutwak, Yang and Zhang established what could be called affine information theory, which is the study of moment-entropy and Fisher-information-type inequalities that are invariant with respect to affine transformations…
In these lecture notes we review the various relations between intersection theory on the moduli space of Riemann surfaces, integrable hierarchies of KdV type, matrix models, and topological quantum field theories. We explain in particular…
This article is based on author's talk at the International Conference "Alexandroff Reading", Moscow 21 - 25 May, 2012. The material presented in article is a programme intended to organise the ingredients of the index formula. The first…
In recent years, random matrices have come to play a major role in computational mathematics, but most of the classical areas of random matrix theory remain the province of experts. Over the last decade, with the advent of matrix…
This paper discusses a forgotten remark of Paul L\'evy (1935), determining the asymptotic distribution of sums of i.i.d. random variables with tails $cx^{-\alpha}\psi(\log x)$, where $0<\alpha<2$ and $\psi$ is a periodic function on…
Borwein integrals are one of the most popularly known phenomena in contemporary mathematics. They were found in 2001 by David Borwein and Jonathan Borwein and consist of a simple family of integrals involving the cardinal sine function…
We study multi-matrix models which may be viewed as integrals of products of tau functions which depend on the eigenvalues of products of random matrices. In the present paper we consider tau functions of the hierarchy the two-component KP…
This paper was written, apart from one technical correction, in July and August of 2013. The, then very recent, breakthrough of Y. Zhang \cite{Z} had revived in us an intention to produce a second edition of our book "Opera de Cribro", one…
The notion of matrix entropy was introduced by Tropp and Chen with the aim of measuring the fluctuations of random matrices. It is a certain entropy functional constructed from a representing function with prescribed properties, and Tropp…
The purpose of this article is to put forward the claim that Hurwitz's paper "Uber die Erzeugung der Invarianten durch Integration." [Gott. Nachrichten (1897), 71-90] should be regarded as the origin of random matrix theory in mathematics.…
Over the past decades, a great body of theoretical and mathematical work has been devoted to random-matrix descriptions of open quantum systems. In these notes, based on lectures delivered at the Les Houches Summer School "Stochastic…
Let $\mathfrak{M}_n$ be the multiplicative monoid of $n \times n$ matrices over a finite field. The monoid algebra $\mathbf{C}[\mathfrak{M}_n]$ has been studied for several decades. One of the important early results is Kov\'acs' theorem…
This is the material for two lectures given at Ecole Polytechnique in May 2011 for the math teachers of "classes pr\'eparatoires"(parallel to the undergraduate classes in universities). The introduction is a personal overview on Fourier…
We merge in this note our two discussions about the Read Paper "Particle Markov chain Monte Carlo" (Andrieu, Doucet, and Holenstein, 2010) presented on October 16th 2009 at the Royal Statistical Society, appearing in the Journal of the…
This manuscript presents shortly the results obtained by participants of the scientific seminar which is held more than twenty years under leadership of the author at Donetsk University. In the list of references main publications are…
This is a survey article written for a workshop on L-functions and random matrix theory at the Newton Institute in July, 2004. The goal is to give some insight into how well-distributed sets of matrices in classical groups arise from…
The paper is devoted to the contribution in the Probability Theory of the well-known Soviet mathematician Alexander Yakovlevich Khintchine (1894-1959). Several of his results are described, in particular those fundamental results on the…
It is proved that the random integral mappings (some type of functionals of L\'evy processes) are always isomorphisms between convolution semigroups of infinitely divisible measures. However, the inverse mappings are no longer of the random…