Random matrix and partial differential equation
Random matrix and partial differential equation
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Horng Tzer Yau , Harvard University
It was known that Dyson Brownian motion is closely related to the local statistics of random matrices. In this lecture, I鈥檒l explain that Dyson Brownian motion can be studied by a partial differential equation with random coefficients. From the regularity theory of this PDE, important properties of听 local spectral statistics of random matrices can be derived.