Lecture notes on random matrix theory: the results, the applications, and the analytical tools

Abstract

Random matrix theory has established itself as a theoretical cornerstone of the mathematical sciences over the past century. It has undeniable utility in areas of research as diverse as nuclear physics, finance, ecology and disordered systems. The purpose of these notes is twofold. First, the most famous and widely used classic results are derived in a pedagogical manner, mostly using the comparatively elementary and transparent cavity method. The significance of each result is then demonstrated in the context of a particular application. There are also some select exercises at the end of each section. In the second part of these notes, a reference guide of analytical techniques for the random-matrix/disordered-systems practitioner is provided. Introducing the diagrammatic, replica, path-integral, and supersymmetric formalisms from first principles, we rederive some of the aforementioned classic results, particularly focussing on the simplest one -- the semicircle law. Innovations such as the population dynamics method and the tools of free probability theory are also included. We discuss the merits of each analytical approach, and we highlight the contexts in which each becomes particularly useful.