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Random Matrix Theory: Invariant Ensembles and Universality
by Percy Deift
This book features a unified derivation of the mathematical theory of the three classical types of invariant random matrix ensembles--orthogonal, unitary, and symplectic. The authors follow the approach of Tracy and Widom, but the exposition here contains a substantial amount of additional material, in particular, facts from functional analysis and the theory of Pfaffians. ...more
Paperback, 217 pages
Published October 19th 2009 by Courant Institute of Mathemetical Sciences
(first published 2009)
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Random matrix theory (RMT) has become quite a hot research area in applied mathematics over the past 25 years or so. This monograph is an outstanding addition to the literature on RMT, and is structured according to graduate-level courses offered by each author at their respective universities. This volume is an excellent complement/supplement to Terence Tao's "Topics in Random Matrix Theory" (surveyed by this reviewer approx. a month ago). Deift and Goiev's approach is more direct and ...more