Related papers: PDE methods in random matrix theory
We compute the Brown measure of the non-normal operators $X = p + i q$, where $p$ and $q$ are Hermitian, freely independent, and have spectra consisting of $2$ atoms. The computation relies on the model of the non-trivial part of the von…
The eigenvalue spectrum of the sum of large random matrices that are mutually "free", i.e., randomly rotated, can be obtained using the formalism of R-transforms, with many applications in different fields. We provide a direct…
We introduce a generalization of Wegner's $n$-orbital model for the description of randomly disordered systems by replacing his ensemble of Gaussian random matrices by an ensemble of randomly rotated matrices. We calculate the one- and…
Investigating the dynamics of learning in machine learning algorithms is of paramount importance for understanding how and why an approach may be successful. The tools of physics and statistics provide a robust setting for such…
Can the behavior of a random matrix be improved by modifying a small fraction of its entries? Consider a random matrix $A$ with i.i.d. entries. We show that the operator norm of $A$ can be reduced to the optimal order $O(\sqrt{n})$ by…
We describe a novel algorithm for rounding packing integer programs based on multidimensional Brownian motion in $\mathbb{R}^n$. Starting from an optimal fractional feasible solution $\bar{x}$, the procedure converges in polynomial time to…
This paper presents a novel approach to characterize the dynamics of the limit spectrum of large random matrices. This approach is based upon the notion we call "spectral dominance". In particular, we show that the limit spectral measure…
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…
The random matrix ensembles are applied to the quantum statistical two-dimensional systems of electrons. The quantum systems are studied using the finite dimensional real, complex and quaternion Hilbert spaces of the eigenfunctions. The…
We show that at any location away from the spectral edge, the eigenvalues of the Gaussian unitary ensemble and its general beta siblings converge to Sine_beta, a translation invariant point process. This process has a geometric description…
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming a functional prior to the ODE solution, which is then…
We define a new diffusive matrix model converging towards the $\beta$-Dyson Brownian motion for all $\beta\in [0,2]$ that provides an explicit construction of $\beta$-ensembles of random matrices that is invariant under the…
We introduce an approach to study certain singular PDEs which is based on techniques from paradifferential calculus and on ideas from the theory of controlled rough paths. We illustrate its applicability on some model problems like…
We review some recent results on connections between Brownian motion, Whittaker functions, random matrices and representation theory.
Since the introduction of Dyson's Brownian motion in early 1960's, there have been a lot of developments in the investigation of stochastic processes on the space of Hermitian matrices. Their properties, especially, the properties of their…
We investigate theoretically the emergence of classical statistical physics in a finite quantum system that is either totally isolated or otherwise subjected to a quantum measurement process. We show via a random matrix theory approach to…
In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the expansion of Brownian motion in this polynomial basis are…
Consider non-intersecting Brownian motions on the real line, starting from the origin at t=0, with a number of particles forced to reach p distinct target points at time t=1. This work shows that the transition probability, that is the…
I present here some results on the statistical behaviour of large random matrices in an ensemble where the probability distribution is not a function of the eigenvalues only. The perturbative expansion can be cast in a closed form and the…
Suppose that $X_{1}$ and $X_{2}$ are two $*$-free (generally unbounded) random variables with Brown measures $\mu_{X_{1}}$ and $\mu_{X_{2}}$, respectively. Using properties of classical free additive convolutions, we develop a method for…