Courant Institute of Mathematical Sciences
Mathematics Colloquium
March 10, 2014
Speaker: Horng-Tzer Yau, Harvard University
Title: Random matrix and partial differential equation
Abstract:
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.