Random walkers versus random crowds: Diffusion of large matrices

We consider Brownian random walks of infinitely large matrices using the tools of free random variables calculus. We establish relations between stochastic evolution of hermitian and unitary ensembles. We point out that matrix-valued diffusion equation develops non-linear terms, responsible for such phenomena as shock-waves. We comment the connection between unitary matrix diffusion and two-dimensional Yang-Mills theory. Finally, we speculate on application of string model techniques to the problem of quantum transport, where infinite products of pseudounitary matrices play the major role. (C) 2010 Elsevier B.V. All rights reserved.