Random matrix is a matrix-valued random variable?. Random matrix theory studies mainly the behaviour of eigenvalues and various functions of random matrices; as such it has large importance in physics.
V. L. Girko, Theory of random determinants, Transl. from Russian (Višča Škola, Kiev 1980, MR82h:60002). Mathematics and its Applications (Soviet Series) 45, Kluwer 1990, MR1080966
Freeman J. Dyson, Statistical theory of the energy levels of complex systems, I, J. Math. Phys. 3 1962 140–156, MR143556, doi; II, JMP 3 1962 157–165, MR143557, doi; III, JMP 3 1962 166–175, MR143558, doi; A Brownian-motion model for the eigenvalues of a random matrix, JMP 3 1962 1191–1198, MR148397, doi
J J M Verbaarschot, M R Zirnbauer, Critique of the replica trick, J. Phys. A: Math. Gen. 17 (1985) 1093-1109, pdf
Revised on October 11, 2011 22:52:25
by Zoran Škoda