A diffusive matrix model for invariant β-ensembles
We define a new diffusive matrix model converging towards the β -Dyson Brownian motion for all β ∈ [0 , 2] that provides an explicit construction of β -ensembles of ran- dom matrices that is invariant under the orthogonal/unitary group. We also describe the eigenvector dynamics of the limiting matri...
| Main Authors: | , |
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| Format: | Article |
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Institute of Mathematical Statistics
2018
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| Online Access: | http://hdl.handle.net/1721.1/116184 https://orcid.org/0000-0003-4524-8627 |