Random Matrix and Partial Differential Equation
Speaker: Horng-Tzer Yau, Harvard University
Location: Warren Weaver Hall 1302
Date: Monday, March 10, 2014, 3:45 p.m.
It was known that Dyson Brownian motion is closely related to the local statistics of random matrices. In this lecture, I’ll 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 local spectral statistics of random matrices can be derived.