Related papers: Matrix models and growth processes: from viscous f…
Random growth models are fundamental objects in modern probability theory, have given rise to new mathematics, and have numerous applications, including tumor growth and fluid flow in porous media. In this article, we introduce some of the…
We investigate the universality of singular value and eigenvalue distributions of matrix valued functions of independent random matrices and apply these general results in several examples. In particular we determine the limit distribution…
This thesis deals with the geometric and integrable aspects associated with random matrix models. Its purpose is to provide various applications of random matrix theory, from algebraic geometry to partial differential equations of…
We study the hermitean and normal two matrix models in planar approximation for an arbitrary number of eigenvalue supports. Its planar graph interpretation is given. The study reveals a general structure of the underlying analytic complex…
Given an $N$-dimensional sample of size $T$ and form a sample correlation matrix $\mathbf{C}$. Suppose that $N$ and $T$ tend to infinity with $T/N $ converging to a fixed finite constant $Q>0$. If the population is a factor model, then the…
We present a random-matrix realization of a two-dimensional percolation model with the occupation probability $p$. We find that the behavior of the model is governed by the two first extreme eigenvalues. While the second extreme eigenvalue…
We formulate theory of interacting scalar field on the fuzzy sphere as a random matrix model. We then analyze the expectation values of observables of the theory in the large N limit and we demonstrate that the eigenvalue distribution of…
We consider the correlation functions of eigenvalues of a unidimensional chain of large random hermitian matrices. An asymptotic expression of the orthogonal polynomials allows to find new results for the correlations of eigenvalues of…
This contribution to the proceedings of the Cracow meeting on `Applications of Random Matrix Theory' summarizes a series of studies, some old and others more recent on financial applications of Random Matrix Theory (RMT). We first review…
Random matrix theory has played an important role in various areas of pure mathematics, mathematical physics, and machine learning. From a practical perspective of data science, input data are usually normalized prior to processing. Thus,…
It is demonstrated that almost any S-matrix of quantum field theory in curved spaces posses an infinite set of complex poles (or branch cuts). These poles can be transformed into complex eigenvalues, the corresponding eigenvectors being…
Matrices are said to behave as free non-commuting random variables if the action which governs their dynamics constrains only their eigenvalues, i.e. depends on traces of powers of individual matrices. The authors use recently developed…
The loop equations for a chain of hermitian random matrices are computed explicitely, including the 1/N^2 corrections. To leading order, the master loop equation reduces to an algebraic equation, whose solution can be written in terms of…
This is a review of the Riemann-Hilbert approach to the large $N$ asymptotics in random matrix models and its applications. We discuss the following topics: random matrix models and orthogonal polynomials, the Riemann-Hilbert approach to…
The most general large N eigenvalues distribution for the one matrix model is shown to consist of tree-like structures in the complex plane. For the m=2 critical point, such a split solution describes the strong coupling phase of 2d quantum…
We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to…
We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each sample become large. When all but finitely many, say $r$,…
This paper investigates global and local laws for sample covariance matrices with general growth rates of dimensions. The sample size $N$ and population dimension $M$ can have the same order in logarithm, which implies that their ratio…
We consider the random matrix ensemble with an external source \[ \frac{1}{Z_n} e^{-n \Tr({1/2}M^2 -AM)} dM \] defined on $n\times n$ Hermitian matrices, where $A$ is a diagonal matrix with only two eigenvalues $\pm a$ of equal…
The article reviews recent developments in the theory of fluctuations and correlations of energy levels and eigenfunction amplitudes in diffusive mesoscopic samples. Various spatial geometries are considered, with emphasis on…