The Random Matrix Theory Of The Classical Compact Groups
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The Random Matrix Theory of the Classical Compact Groups
Author: Elizabeth S. Meckes
language: en
Publisher: Cambridge University Press
Release Date: 2019-08
Provides a comprehensive introduction to the theory of random orthogonal, unitary, and symplectic matrices.
An Introduction to Random Matrices
Author: Greg W. Anderson
language: en
Publisher: Cambridge University Press
Release Date: 2010
A rigorous introduction to the basic theory of random matrices designed for graduate students with a background in probability theory.
Topics in Random Matrix Theory
Author: Terence Tao
language: en
Publisher: American Mathematical Soc.
Release Date: 2012-03-21
The field of random matrix theory has seen an explosion of activity in recent years, with connections to many areas of mathematics and physics. However, this makes the current state of the field almost too large to survey in a single book. In this graduate text, we focus on one specific sector of the field, namely the spectral distribution of random Wigner matrix ensembles (such as the Gaussian Unitary Ensemble), as well as iid matrix ensembles. The text is largely self-contained and starts with a review of relevant aspects of probability theory and linear algebra. With over 200 exercises, the book is suitable as an introductory text for beginning graduate students seeking to enter the field.