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A method to generate new classes of random matrix ensembles is proposed. Random matrices from these ensembles are Lax matrices of classically integrable systems with a certain distribution of momenta and coordinates. The existence of an…
It is shown that the polynuclear growth model is a completely integrable Markov process in the sense that its transition probabilities are given by Fredholm determinants of kernels produced by a scattering transform based on the invariant…
We investigate the $\tau$-function of the quadrilateral lattice using the nonlocal $\bar\partial$-dressing method, and we show that it can be identified with the Fredholm determinant of the integral equation which naturally appears within…
We study Fredholm determinants of the Painlev\'e II and Painlev\'e XXXIV kernels. In certain critical unitary random matrix ensembles, these determinants describe special gap probabilities of eigenvalues. We obtain Tracy-Widom formulas for…
We study the Fredholm determinant of an integrable operator acting on the interval $(0,s)$ whose kernel is constructed out of a hierarchy of higher order analogues to the Painlev\'{e} III equation. This Fredholm determinant describes the…
The aim of the paper is to develop a general theory of solvability of linear inhomogeneous boundary-value problems for systems of ordinary differential equations of arbitrary order in Sobolev spaces. Boundary conditions are allowed to be…
In the paper we develop a general theory of solvability of linear inhomogeneous boundary-value problems for systems of first-order ordinary differential equations in spaces of smooth functions on a finite interval. This problems are set…
Macdonald processes are probability measures on sequences of partitions defined in terms of nonnegative specializations of the Macdonald symmetric functions and two Macdonald parameters q,t in [0,1). We prove several results about these…
Consider a symmetric (finite) matrix ensemble, with a certain probability distribution. What is the probability that the spectrum belongs to a certain interval or union of intervals on the real line? In this paper, we show that, upon…
A feature of certain ensembles of random matrices is that the corresponding measure is invariant under conjugation by unitary matrices. Study of such ensembles realised by matrices with Gaussian entries leads to statistical quantities…
Random matrix theory has played a major role in several areas of pure and applied mathematics, as well as statistics, physics, and computer science. This lecture aims to describe the intrinsic freeness phenomenon and how it provides new…
We apply an analogue of the Zakharov-Shabat dressing method to obtain infinite matrix solutions to the Toda lattice hierarchy. Using an operator transformation we convert some of these into solutions in terms of integral operators and…
Some significant quantities in mathematics and physics are most naturally expressed as the Fredholm determinant of an integral operator, most notably many of the distribution functions in random matrix theory. Though their numerical values…
We derive exact matrix integral representations for different sums over partitions. The characteristic feature of all obtained matrix models is the presence of logarithmic (or, vice versa, exponential) terms in the potential. Our derivation…
We prove Fredholm determinants build out from generalizations of Schur measures, or equivalently, arbitrary multiplicative statistics of the original Schur measures are tau-functions of the 2D Toda lattice hierarchy. Our result apply to…
We introduce probabilistic frames to study finite frames whose elements are chosen at random. While finite tight frames generalize orthonormal bases by allowing redundancy, independent, uniformly distributed points on the sphere…
The Fredholm determinants of a special class of integral operators K supported on the union of m curve segments in the complex plane are shown to be the tau-functions of an isomonodromic family of meromorphic covariant derivative operators…
We study Fredholm determinants related to a family of kernels which describe the edge eigenvalue behavior in unitary random matrix models with critical edge points. The kernels are natural higher order analogues of the Airy kernel and are…
The level spacing distributions which arise when one rescales the Laguerre or Jacobi ensembles of hermitian matrices is studied. These distributions are expressible in terms of a Fredholm determinant of an integral operator whose kernel is…
We define a class of random measures, spatially independent martingales, which we view as a natural generalisation of the canonical random discrete set, and which includes as special cases many variants of fractal percolation and Poissonian…