Math 833: Random Matrices | UW Mathematics

Prerequisites:

Basics in probability theory and linear algebra. Some knowledge of stochastic processes will also be helpful.

Instructor:

Benedek Valko

Time and Place:

TR 09:30-10:45

textbooks:

Reference books:
Mehta, M. Random Matrices
Forrester, P. Log-gases and Random matrices
(book in preparation: http://www.ms.unimelb.edu.au/~matpjf/matpjf.html)
Deift, P. A. Orthogonal polynomials and random matrices: a Riemann-Hilbert approach.

Course Content:

The course is an introduction to random matrix theory. We will cover results on the asymptotic properties of various random matrix models (Wigner matrices, Gaussian ensembles, Dyson's beta-ensemble). We will investigate the limit of the empirical spectral measure both on a global and local scale.