
Preface  Preview Material  Table of Contents  Supplementary Material 
Courant Lecture Notes 2009; 217 pp; softcover Volume: 18 ISBN10: 0821847376 ISBN13: 9780821847374 List Price: US$33 Member Price: US$26.40 Order Code: CLN/18 See also: Orthogonal Polynomials and Random Matrices: A RiemannHilbert Approach  Percy Deift Integrable Systems and Random Matrices: In Honor of Percy Deift  Jinho Baik, Thomas Kriecherbauer, LuenChau Li, Kenneth D TR McLaughlin and Carlos Tomei Random Matrices, Frobenius Eigenvalues, and Monodromy  Nicholas M Katz and Peter Sarnak SkewOrthogonal Polynomials and Random Matrix Theory  Saugata Ghosh Eigenvalue Distribution of Large Random Matrices  Leonid Pastur and Mariya Shcherbina  This book features a unified derivation of the mathematical theory of the three classical types of invariant random matrix ensemblesorthogonal, unitary, and symplectic. The authors follow the approach of Tracy and Widom, but the exposition here contains a substantial amount of additional material, in particular, facts from functional analysis and the theory of Pfaffians. The main result in the book is a proof of universality for orthogonal and symplectic ensembles corresponding to generalized Gaussian type weights following the authors' prior work. New, quantitative error estimates are derived. The book is based in part on a graduate course given by the first author at the Courant Institute in fall 2005. Subsequently, the second author gave a modified version of this course at the University of Rochester in spring 2007. Anyone with some background in complex analysis, probability theory, and linear algebra and an interest in the mathematical foundations of random matrix theory will benefit from studying this valuable reference. Titles in this series are copublished with the Courant Institute of Mathematical Sciences at New York University. Readership Graduate students and research mathematicians interested in mathematical foundations of random matrix theory. Reviews "Anyone with some background in complex analysis, probability theory, and linear algebra and an interest in the mathematical foundations of random matrix theory will benefit from studying this valuable reference."  Zentralblatt MATH 


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