DYNAMICS OF THE MCKEAN-VLASOV EQUATION

被引：49

作者：

CHAN, T

机构：

来源：

ANNALS OF PROBABILITY | 1994年 / 22卷 / 01期

关键词：

EIGENVALUES OF RANDOM MATRICES; WIGNER SEMICIRCLE LAW; MEASURE-VALUED DIFFUSION; MCKEAN-VLASOV EQUATION;

D O I：

10.1214/aop/1176988866

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This note studies the deterministic flow of measures which is the limiting case as n --> infinity of Dyson's model of the motion of the eigenvalues of random symmetric n x n matrices. Though this flow is nonlinear, highly singular and apparently of Wiener-Hopf type, it may be solved explicitly without recourse to Wiener-Hopf theory. The solution greatly clarifies the role of the famous Wigner semicircle law.

引用

页码：431 / 441

页数：11