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arXiv · 1102.2970

Large deviations for the largest eigenvalue of an Hermitian Brownian motion

Catherine Donati-Martin·Mylène Maïda
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Abstract

We establish a large deviation principle for the process of the largest eigenvalue of an Hermitian Brownian motion. By a contraction principle, we recover the LDP for the largest eigenvalue of a rank one deformation of the GUE.

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Catherine Donati-Martin, Mylène Maïda. 2011-02-15. Large deviations for the largest eigenvalue of an Hermitian Brownian motion. https://arxiv.org/abs/1102.2970

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