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arXiv · 1710.10792

An introduction to random matrix theory

Gaëtan Borot
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Abstract

These are lectures notes for a 4h30 mini-course held in Ulaanbaatar, National University of Mongolia, August 5-7th 2015, at the summer school "Stochastic Processes and Applications". It aims at presenting an introduction to basic results of random matrix theory and some of its motivations, targeted to a large panel of students coming from statistics, finance, etc. Only a small background in probability is required.

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Gaëtan Borot. 2017-10-30. An introduction to random matrix theory. https://arxiv.org/abs/1710.10792

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