Fluctations of the empirical law of large random matrices (Q5939322)
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scientific article; zbMATH DE number 1625691
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fluctations of the empirical law of large random matrices |
scientific article; zbMATH DE number 1625691 |
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Fluctations of the empirical law of large random matrices (English)
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7 August 2003
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central limit theorem
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empirical law
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large random matrices
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Wigner matrices
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Ito formula
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fluctuations
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Hermitian process
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The author investigates fluctuations of the empirical law of large random matrices around the limits when the size goes to infinity, with the help of stochastic calculus. By using these results he deals with the non-commutative case of two independent Wigner matrices.NEWLINENEWLINENEWLINEIn Section 1, he states primary results on the Wigner matrix using the Ito formula and Chebyshev polynomials. In Section 3 he dicusses the fluctuations for two matrices, generalizing the Ito formula for a double Hermitian process and using stochastic calculus.
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