Computing the Tracy-Widom distribution for arbitrary \(\beta>0\)

arXiv2304.04951MaRDI QIDQ6192138

Thomas Trogdon, Yiting Zhang

Publication date: 12 February 2024

Published in: SIGMA. Symmetry, Integrability and Geometry: Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2304.04951

zbMATH Keywords

Fourier transformationTracy-Widom distributionnumerical differential equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Random matrices (probabilistic aspects) (60B20) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Other physical applications of random processes (60K40) Random operators and equations (aspects of stochastic analysis) (60H25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Random matrices (algebraic aspects) (15B52) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical methods for eigenvalue problems for boundary value problems involving PDEs (65N25)

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