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1 - Introduction

Published online by Cambridge University Press:  03 February 2011

Greg W. Anderson
Affiliation:
University of Minnesota
Alice Guionnet
Affiliation:
Ecole Normale Supérieure, Lyon
Ofer Zeitouni
Affiliation:
Weizmann Institute/University of Minnesota
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Summary

This book is concerned with random matrices. Given the ubiquitous role that matrices play in mathematics and its application in the sciences and engineering, it seems natural that the evolution of probability theory would eventually pass through random matrices. The reality, however, has been more complicated (and interesting). Indeed, the study of random matrices, and in particular the properties of their eigenvalues, has emerged from the applications, first in data analysis (in the early days of statistical sciences, going back to Wishart [Wis28]), and later as statistical models for heavy-nuclei atoms, beginning with the seminal work of Wigner [Wig55]. Still motivated by physical applications, at the able hands of Wigner, Dyson, Mehta and co-workers, a mathematical theory of the spectrum of random matrices began to emerge in the early 1960s, and links with various branches of mathematics, including classical analysis and number theory, were established. While much progress was initially achieved using enumerative combinatorics, gradually, sophisticated and varied mathematical tools were introduced: Fredholm determinants (in the 1960s), diffusion processes (in the 1960s), integrable systems (in the 1980s and early 1990s), and the Riemann–Hilbert problem (in the 1990s) all made their appearance, as well as new tools such as the theory of free probability (in the 1990s). This wide array of tools, while attesting to the vitality of the field, presents, however, several formidable obstacles to the newcomer, and even to the expert probabilist.

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Publisher: Cambridge University Press
Print publication year: 2009

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  • Introduction
  • Greg W. Anderson, University of Minnesota, Alice Guionnet, Ecole Normale Supérieure, Lyon, Ofer Zeitouni, Weizmann Institute/University of Minnesota
  • Book: An Introduction to Random Matrices
  • Online publication: 03 February 2011
  • Chapter DOI: https://doi.org/10.1017/CBO9780511801334.002
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  • Introduction
  • Greg W. Anderson, University of Minnesota, Alice Guionnet, Ecole Normale Supérieure, Lyon, Ofer Zeitouni, Weizmann Institute/University of Minnesota
  • Book: An Introduction to Random Matrices
  • Online publication: 03 February 2011
  • Chapter DOI: https://doi.org/10.1017/CBO9780511801334.002
Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • Introduction
  • Greg W. Anderson, University of Minnesota, Alice Guionnet, Ecole Normale Supérieure, Lyon, Ofer Zeitouni, Weizmann Institute/University of Minnesota
  • Book: An Introduction to Random Matrices
  • Online publication: 03 February 2011
  • Chapter DOI: https://doi.org/10.1017/CBO9780511801334.002
Available formats
×