R A N D O M    M A T R I X    T H E O R Y,    F A L L  2 0 2 2

Lectures: Wednesday, 9.00am-10.50am, in Warren Weaver Hall 512.

Lecturer: Paul Bourgade. office hours Thursday 10.00am-12.00, you also can email me (bourgade@cims.nyu.edu) to set up an appointment or just drop by (WWH 629).

Course description: This course will introduce techniques to understand the spectrum of large random self-adjoint matrices. Topics include determinantal processes, Dyson's Brownian motion, universality for random matrices and related problems for the Riemann ζ function.

Prerequisites: Basic knowledge of linear algebra, probability theory and stochastic calculus is required.

Textbooks: There is no reference book for this course. Possible useful texts are:

Greg Anderson, Alice Guionnet and Ofer Zeitouni. An Introduction to Random Matrices.
Percy Deift, Orthogonal Polynomials and Random Matrices: A Riemann-Hilbert Approach.
Laszlo Erdos and Horng-Tzer Yau's lecture notes on universality for random matrices.

A tentative schedule for this course is (click on the title for detailed content):

Problem sets.