Related papers: PDE methods in random matrix theory
A new formula for the probability that a standard Brownian motion stays between two linear boundaries is proved. A simple algorithm is deduced. Uniform precision estimates are computed. Different implementations have been made available…
The perturbed GUE corners ensemble is the joint distribution of eigenvalues of all principal submatrices of a matrix $G+\mathrm{diag}(\mathbf{a})$, where $G$ is the random matrix from the Gaussian Unitary Ensemble (GUE), and…
Situations in many fields of research, such as digital communications, nuclear physics and mathematical finance, can be modelled with random matrices. When the matrices get large, free probability theory is an invaluable tool for describing…
In operator algebra, the linearization trick is a technique that reduces the study of a non-commutative polynomial evaluated at elements of an algebra A to the study of a polynomial of degree one, evaluated on the enlarged algebra A x M r…
The properties of the reduced density matrix describing an interval of N sites in an infinite chain of free electrons are investigated. A commuting operator is found for arbitrary filling and also for open chains. For a half filled periodic…
We introduce a new family of probability distributions on the set of pure states of a finite dimensional quantum system. Without any a priori assumptions, the most natural measure on the set of pure state is the uniform (or Haar) measure.…
We provide a characterization of continuous semimartingales whose law is invariant with respect to predictable random rotations. In particular we prove that all such semimartingales are obtained by integrating a predictable process with…
We study the trajectorywise blowup behavior of a semilinear partial differential equation that is driven by a mixture of multiplicative Brownian and fractional Brownian motion, modeling different types of random perturbations. The linear…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
In this article, we study eigenvalue problems associated to self-adjoint operators and their approximation obtained by subspace projection, as used in the reduced basis method for instance. We provide error bounds between the exact…
The eigenvalue spacing of a uniformly chosen random finite unipotent matrix in its permutation action on lines is studied. We obtain bounds for the mean number of eigenvalues lying in a fixed arc of the unit circle and offer an approach…
We consider the joint distribution of real and imaginary parts of eigenvalues of random matrices with independent entries with mean zero and unit variance. We prove the convergence of this distribution to the uniform distribution on the…
Consider Ginibre's ensemble of $N \times N$ non-Hermitian random matrices in which all entries are independent complex Gaussians of mean zero and variance $\frac{1}{N}$. As $N \uparrow \infty$ the normalized counting measure of the…
Concentration of measure is a phenomenon in which a random variable that depends in a smooth way on a large number of independent random variables is essentially constant. The random variable will "concentrate" around its median or…
We consider a weighted random walk on the backbone of an oriented percolation cluster. We determine necessary conditions on the weights for Brownian scaling limits under the annealed and the quenched law. This model is a random walk in…
We consider operator-valued polynomials in Gaussian Unitary Ensemble random matrices and we show that its $L^p$-norm can be upper bounded, up to an asymptotically small error, by the operator norm of the same polynomial evaluated in free…
In this monograph, we construct and study a sigma-finite measure on continuous functions from R_+ to R, strongly related to many probability measures obtained by penalisation of Brownian motion, i.e. as limits of probabilities which are…
We review methods to calculate eigenvalue distributions of products of large random matrices. We discuss a generalization of the law of free multiplication to non-Hermitian matrices and give a couple of examples illustrating how to use…
In a recent study of large non-null sample covariance matrices, a new sequence of functions generalizing the GUE Tracy-Widom distribution of random matrix theory was obtained. This paper derives Painlev\'e formulas of these functions and…
We study numerically scattering and transport statistical properties of the one-dimensional Anderson model at the metal-insulator transition described by the Power-law Banded Random Matrix (PBRM) model at criticality. Within a scattering…