An introduction to random matrix theory
Probability
2017-10-31 v1
Abstract
These are lectures notes for a 4h30 mini-course held in Ulaanbaatar, National University of Mongolia, August 5-7th 2015, at the summer school "Stochastic Processes and Applications". It aims at presenting an introduction to basic results of random matrix theory and some of its motivations, targeted to a large panel of students coming from statistics, finance, etc. Only a small background in probability is required.
Keywords
Cite
@article{arxiv.1710.10792,
title = {An introduction to random matrix theory},
author = {Gaëtan Borot},
journal= {arXiv preprint arXiv:1710.10792},
year = {2017}
}
Comments
55 pages, 10 figures